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Updated July 28, 2023
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September 15th, 2017, 01:38 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
manuel999
In both trades you exited before reaching a 50% decay in the option price.
What lead you to get out of the trade? Do you have a specific ROI target?
Thanks.
Because Friday Sep 15 is expiration of Sep options and futures. Seasonally prices drop this day and through end of month. Except it didn't do that in 2016. In 2013 it dropped 47.75. 2014 -44.25. 2015 -34.25. 2016 +15.25.
Still shooting for 50% drop. I was close enough that I decided to exit early in case the Friday drop happened.
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
September 15th, 2017, 01:39 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
datahogg
Has anyone had any luck with hedging short ES puts by selling an ES
futures contract ?
Nope. Get caught losing money because after adding ES future the future price reversed .
September 15th, 2017, 03:40 PM
westhills california US
Posts: 94 since May 2015
Thanks Given: 131
Thanks Received: 20
On 9/7/17 sold ESx7p2100(1)p1880(2) for 3.2 10x IM. Delta : 7 and 2 respectively.
Exited on 9/15/17 for 1.65
mROI=2.8% at almost 50% prem.
September 18th, 2017, 11:25 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
ron99
Because Friday Sep 15 is expiration of Sep options and futures. Seasonally prices drop this day and through end of month. Except it didn't do that in 2016. In 2013 it dropped 47.75. 2014 -44.25. 2015 -34.25. 2016 +15.25.
Still shooting for 50% drop. I was close enough that I decided to exit early in case the Friday drop happened.
Well that didn't work. Almost no drop on Friday. Price up today.
In hindsight I should have just stayed with plan, ignore everything else and not try to time entry and exit.
Looks like another seasonal (the drop on expiration day) that has quit working.
September 18th, 2017, 11:26 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
ROI is horrible now. Base Volatility (BV) is down to 9.8%. Lowest this year.
I looked up doing a new spread ESz7p2030(2)p1900(3) and possible ROI is only 0.4% because net premium is only $75 before costs with IM at $396.
I decided I'm going to take an RV trip and not have any positions on for that low ROI.
September 19th, 2017, 11:45 AM
Germany
Experience: Intermediate
Platform: TWS
Trading: Options on futures
Posts: 155 since Jul 2014
Thanks Given: 341
Thanks Received: 142
ron99
ROI is horrible now. Base
Volatility (BV) is down to 9.8%. Lowest this year.
I looked up doing a new spread ESz7p2030(2)p1900(3) and possible ROI is only 0.4% because net
premium is only $75 before costs with IM at $396.
I decided I'm going to take an RV trip and not have any positions on for that low ROI.
If this articles is correct, taking a one month vacation right now makes sense.
Volatility is lurking under the surface of the stock market - Business Insider Deutschland
September 22nd, 2017, 11:21 AM
Hasselt Belgium
Experience: Intermediate
Platform: Tws / Custom
Broker: IB
Trading: Unknown
Posts: 13 since Jul 2014
Thanks Given: 229
Thanks Received: 17
I'm looking for a way to chart the implied volatility of the commodity futures. Eg, a one year chart.
Currently I found only ivolatility. (and barchart.com but there is a lot of volatility data missing )
Do you guys know another source ?
September 22nd, 2017, 11:34 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
trendandfade
I'm looking for a way to chart the
implied volatility of the commodity futures. Eg, a one year chart.
Currently I found only ivolatility. (and barchart.com but there is a lot of
volatility data missing )
Do you guys know another source ?
MRCI has these charts, including seasonals for the implied volatility. I work with them for many years.
Best regards, Myrrdin
September 22nd, 2017, 12:07 PM
Bay Area, CA
Experience: Intermediate
Platform: TradeStation, TOS
Trading: Futures, Equities, Options on Futures
Posts: 48 since Feb 2017
Thanks Given: 53
Thanks Received: 30
trendandfade
I'm looking for a way to chart the
implied volatility of the commodity futures. Eg, a one year chart.
Currently I found only ivolatility. (and barchart.com but there is a lot of
volatility data missing )
Do you guys know another source ?
Thinkorswim platform can do this.
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Last Updated on July 28, 2023