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Updated July 28, 2023
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September 5th, 2017, 12:24 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
Calamari88
Do seasonal tendencies apply to the T-bond, 10 year T-note and 5 year T-note?
Yes, there are seasonal tendencies for the financial futures. But according to my experience, they are less reliable than the seasonals for other commodities, eg. grains & beans, coffee, or the energies.
Best regards, Myrrdin
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
September 5th, 2017, 06:12 AM
New York, United States
Posts: 7 since Aug 2017
Thanks Given: 0
Thanks Received: 1
Selling option on furtures is easy to understand but difficult to master.
September 5th, 2017, 12:46 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
LordV
Interesting article. Thanks
This statement in the last paragraph is very important
Quoting
It’s also important to remember that the real value in this strategy is only during times of extreme overvaluation in the stock market. Most of the time “tail hedging” in this way does not add any real benefit and can actually be a major hindrance to overall performance. That said, the stock market currently meets Spitznagel’s uppermost threshold for hedging
September 5th, 2017, 02:13 PM
toronto/ontario/canada
Experience: Intermediate
Platform: MC,TOS
Trading: currency,treasury
Posts: 31 since Jan 2012
Thanks Given: 1
Thanks Received: 4
I checked it on -200-300 points drop with `30%vol it works well like a hedge,but on -50points drop with with less volatility doesn't make sense.
September 5th, 2017, 03:04 PM
Burlington, Vermont
Experience: Beginner
Platform: StockTwits
Broker: Robinhood
Trading: ES, GC, ZB
Posts: 708 since Jun 2015
Thanks Given: 879
Thanks Received: 781
ron99 can you look this over to see if I'm understanding your strategy correctly?
the attached screen shot shows a position in SPY I tried to set up in emulation of your strategy, which I understand is a put ratio backspread with the short strike at -20% of current price and the long strike at whatever gives you 2.00+/- Delta on the trade. If that is correct I'm showing a net credit collected of only 0.25 which I assume I hold to expiration to collect 100% of the premium collected. I'm confused about the amount of cash coverage you suggest, I believe it is 6x the IM, which in my case is Max Loss on the trade as this is an IRA . So in this case ML is $2675 * 6 = $16,050 per tranche?
Forgive me but it doesn't seem like a great ROI especially if held for the full 90+/- days. I must be misunderstanding something.
September 5th, 2017, 04:01 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
nathanologist
ron99 can you look this over to see if I'm understanding your strategy correctly?
the attached
screen shot shows a position in SPY I tried to set up in emulation of your strategy, which I understand is a put ratio backspread with the short
strike at -20% of current price and the long strike at whatever gives you 2.00+/-
Delta on the trade. If that is correct I'm showing a net credit collected of only 0.25 which I assume I hold to expiration to collect 100% of the
premium collected. I'm confused about the amount of cash coverage you suggest, I believe it is 6x the IM, which in my case is Max Loss on the trade as this is an
IRA . So in this case ML is $2675 * 6 = $16,050 per tranche?
Forgive me but it doesn't seem like a great ROI especially if held for the full 90+/- days. I must be misunderstanding something.
We have never tested it on SPY, only on options on ES futures.
September 5th, 2017, 04:19 PM
Burlington, Vermont
Experience: Beginner
Platform: StockTwits
Broker: Robinhood
Trading: ES, GC, ZB
Posts: 708 since Jun 2015
Thanks Given: 879
Thanks Received: 781
ron99
We have never tested it on SPY, only on options on ES futures.
OK, regardless, do I have the strategy basics correct?
September 5th, 2017, 04:53 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
nathanologist
OK, regardless, do I have the strategy basics correct?
Yes for that version of the strategy. Exit at 50% drop of net premium .
I am currently selling 2 puts at 3 delta and buying 3 puts at 1 delta and using 4xIM.
September 8th, 2017, 01:09 AM
vancouver BC/Canada
Experience: Beginner
Platform: Zaner360, OX
Broker: DeCaley
Trading: options
Posts: 264 since Jan 2015
Thanks Given: 13
Thanks Received: 205
ron99
Interesting article. Thanks
This statement in the last paragraph is very important
For those that want a more detailed view of this...here's another article...
Analysis of Mark Spitznagel Tail Hedging, Part 2 | greyenlightenment.com
Honestly I was thinking of adding it into my overall strategy but after reading the above, I'm not sure.
/rsm005/
September 10th, 2017, 01:54 PM
Henderson, NV, USA
Posts: 63 since Feb 2015
Thanks Given: 91
Thanks Received: 33
myrrdin
Yes, there are seasonal tendencies for the financial futures. But according to my experience, they are less reliable than the seasonals for other commodities, eg. grains & beans, coffee, or the energies.
Best regards, Myrrdin
Thanks Myrrdin, that's good to know. I'd also appreciate your thoughts on seasonal tendencies on the currencies futures.
Last Updated on July 28, 2023