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Updated July 28, 2023
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April 12th, 2020, 01:24 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
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
April 12th, 2020, 01:40 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
SMCJB
Sunday morning Math exercise....
FYI
ES 2500 represents a 10% drop in ES, 2350 a 15.5% drop and 2200 a 21% drop.
Time decay is 11 days, Thursday 9th April Close to Monday 20th April Close
Vol increase is 10
points not 10%
I think this chart highlights several things. Most Importantly it shows how large an effect a change in
volatility can have. Without an increase in volatility returns on a 10% drop are unimpressive for all options.
On Feb 19 ES hit high of 3388. On Mar 11 (21 days) it dropped 19.5%. The VIX went up about 40 points.
So if ES dropped ~20% in 11 days the VIX probably would rise by a lot more than 10 points. More like 40+.
So many variables!
April 12th, 2020, 01:55 PM
Houston TX
Legendary Market Wizard
Experience: Advanced
Platform: TT Stellar & Tradestation
Broker: Primarily Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
ron99
Am I correct that the
breakeven line at 100% is the option on Apr 20 is the same
premium as it was on Apr 9?
The breakeven line is wrong. The Y axis is % returns so breakeven should be at 0%. Corrected below.
ron99
Could you please do this for ESm20 and EW3n20 options? It would be interesting to see how different DTEs compare.
Done. See Below
ron99
On Feb 19 ES hit high of 3388. On Mar 11 (21 days) it dropped 19.5%. The
VIX went up about 40
points .
So if ES dropped ~20% in 11 days the VIX probably would rise by a lot more than 10 points. More like 40+.
So many variables!
Yes so many variables. All add some 20% vol changes later. That involves more spreadsheet mods than charting the new expiries though.
April 15th, 2020, 08:12 AM
Posts: 3,668 since Jul 2012
Thanks Given: 1,893
Thanks Received: 7,378
ron99
I didn't get rise in ES futures from 3:30 to 4 pm like it did last 3 Fridays.
I bought 120 EW3k20p1500 at 32.00 for my regular account. Bought 210 for my IRAs.
Hi Ron -
Did you ever close or roll this trade?
Thanks for sharing!
April 15th, 2020, 10:53 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
kevinkdog
Hi Ron -
Did you ever close or roll this trade?
Thanks for sharing!
I exited at a large loss.
April 15th, 2020, 11:05 AM
Posts: 3,668 since Jul 2012
Thanks Given: 1,893
Thanks Received: 7,378
ron99
I exited at a large loss.
Ughh sorry to hear that. I was hoping you pulled a rabbit out of your hat like you have many times before.
When Ohio opens for business, we'll have to have lunch at Bob Evans in Medina again!
Kevin
April 15th, 2020, 01:44 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
kevinkdog
Ughh sorry to hear that. I was hoping you pulled a rabbit out of your hat like you have many times before.
When Ohio opens for business, we'll have to have lunch at Bob Evans in Medina again!
Kevin
As we all well know, can't make every trade a winner.
Yeah lunch sometime.
April 15th, 2020, 01:50 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 curious how the ROI% (no fees or commissions in calculation) would be today for various strikes of long puts. Here is chart for EW3n20 that are 93 DTE . ES futures were at 2771.75 at that time. Down 2.51%. Current price was average of bid and offer.
The highest ROI% is for options that settled yesterday at a price between 4.00 and 7.50.
April 15th, 2020, 04:39 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
Here is chart for 4:37. Prices have dropped a little even though ES futures are about the same (2771) as prior chart.
April 23rd, 2020, 01:54 PM
westhills california US
Posts: 94 since May 2015
Thanks Given: 131
Thanks Received: 20
Hi
Any one selling put credit spreads Ron99 strategy?
I know Ron is waiting for Trump to leave.
mROI looks pretty good on puts(-1 for +2) Delta 0.03 and 0.015.
Thanks
Babak
Last Updated on July 28, 2023