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Updated July 28, 2023
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March 3rd, 2017, 07:13 AM
Riga Latvia
Posts: 107 since Jan 2013
Thanks Given: 441
Thanks Received: 72
myrrdin
I think about raising the profitability of my stocks account by selling
OTM index call options. The account is a margin account at IB. As for principle reasons I buy stocks only for cash in this account there is enough margin available.
I think about selling ES call spreads with a
delta of 6 – 8 % and approx. 100
DTE . Currently the ESM C2650-C2550. I intend to hedge 50 to 100 % of the delta of the stocks. Buy back and sell again, when the calls are at 50 %.
Any thoughts ?
Would it be preferable to sell SPX options ?
Would you use other deltas or DTE ?
Best regards, Myrrdin
After my studies better results showing Put ratio spread (instead of Call spread), DTE 30-50.
For example today: ESM Put sell 2380/buy 2 Put 2265. (some example in attachment)
Attached Files
Elite Membership required to download: Put ratio spread.xlsx
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
March 3rd, 2017, 08:00 AM
Linz Austria
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,688
Thanks Received: 2,651
uuu1965
After my studies better results showing Put ratio spread (instead of Call spread),
DTE 30-50.
For example today: ESM Put sell 2380/buy 2 Put 2265. (some example in attachment)
Thank you for your studies.
Indices fall faster than they move upwards. When the S&P crashes my stocks will lose value and the put ratio spread will lose value. I like put ratio spreads, but only as a speculative position and not as a hedge.
Best regards, Myrrdin
March 3rd, 2017, 08:56 AM
Riga Latvia
Posts: 107 since Jan 2013
Thanks Given: 441
Thanks Received: 72
myrrdin
Thank you for your studies.
Indices fall faster than they move upwards. When the S&P crashes my stocks will lose value and the put ratio spread will lose value. I like put ratio spreads, but only as a speculative position and not as a hedge.
Best regards, Myrrdin
Sorry for my carelessness! You are absolutely right!
March 3rd, 2017, 11:38 AM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
myrrdin
I think about raising the profitability of my stocks account by selling
OTM index call options. The account is a margin account at IB. As for principle reasons I buy stocks only for cash in this account there is enough margin available.
I think about selling ES call spreads with a
delta of 6 – 8 % and approx. 100
DTE . Currently the ESM C2650-C2550. I intend to hedge 50 to 100 % of the delta of the stocks. Buy back and sell again, when the calls are at 50 %.
Any thoughts ?
Would it be preferable to sell SPX options ?
Would you use other deltas or DTE ?
Best regards, Myrrdin
What are the IM requirements at IB for short ES calls?
March 3rd, 2017, 11:52 AM
Linz Austria
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,688
Thanks Received: 2,651
ron99
What are the IM requirements at IB for short ES calls?
For the spread, IM is $1690.
Best regards, Myrrdin
March 3rd, 2017, 11:59 AM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
Here is a chart of Base Volatility for the ESm17 contract .
When it was over 15% ES put premiums were OK. When it dropped below 15% the premiums lost value and ROI decreased.
It looks like we bottomed on 2/15 at 11.2% and yesterday we were at 12.6%.
For reference to more normal times, here is ESm6 showing it was above 20 thirteen months ago.
BV was 12.9% yesterday. It was 17.1% a year ago.
March 3rd, 2017, 12:05 PM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
myrrdin
For the spread, IM is $1690.
Best regards, Myrrdin
How much cash excess for these positions?
March 3rd, 2017, 12:45 PM
Linz Austria
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,688
Thanks Received: 2,651
ron99
How much cash excess for these positions?
Excess liquidity is approx. 50 %.
Or do you mean something else ?
March 3rd, 2017, 01:04 PM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
I was looking at selling NG puts. But looking deeper into it I'm not sure that is very profitable right now.
A July NG 2.35 put is 0.022. June is 0.018. May is 0.014.
So each month closer strike is only 0.004 or $40 lower in premium . Very low possible ROI. 0.4% using 6xIM.
Now if I had sold on Feb 27 when the NGm7p235 was 0.038 that would have been a different story.
March 3rd, 2017, 01:06 PM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
Interesting how today the June ES puts are offered lower on a day futures are lower.
Last Updated on July 28, 2023