datahogg 

When selling out of the money ES put options, an amount of $ is received for their sale. Is there an average percentage of the sold $ that are used to buy long further out of the money puts for protection? Thanks in advance.

The ES strategy I use is to sell two -3.00 delta puts and buy three -1.00 delta puts. 90-120 DTE. Hold till net premium drops by 50%.

I haven't looked at average percentage.

Hello,
just curious if anyone is selling OTM options on NatGas or oil considering the near-record volatility levels? I looked over the last few thread pages and haven't seen much discussion on oil.
I did see what appeared to be some talk of people getting caught short on the Nat Gas volatility explosion recently-was anyone selling options with NatGas at record low volatility before the price spike?

I have on some CL put spreads. Apr 35/32. Doing well.

I have on some NG put spreads. Mar 2.70/2.60. Not doing so well. Thinking of adding NG call spreads.

Here's a chart to watch to see coming US recessions.

Notice that the timing is ahead of the official recession.

Looks like one is coming.
https://fred.stlouisfed.org/graph/?g=myyP



I added ES futures to chart.


Timing is 10 yr - 1 yr went below zero Mar 2000 and ES peaked Sep 2000.
Timing is 10 yr - 1 yr went below zero Jan 2006 and ES peaked Oct 2007.

psears 

Hello, just curious if anyone is selling OTM options on NatGas or oil considering the near-record volatility levels? I looked over the last few thread pages and haven't seen much discussion on oil. I did see what appeared to be some talk of people getting caught short on the Nat Gas volatility explosion recently-was anyone selling options with NatGas at record low volatility before the price spike?

I had sold some CLZ C92 / CLZ P28 strangles in fall, when volatility was extremly high. Bought them back already some time ago.

Currently I do not hold option positions in CL or NG.

Best regards, Myrrdin

Hi Myrrdin,
Curious as to what the premium was when the vol was sky high and what you closed them for? I see vol is still fairly high, so did you just collect the time erosion instead of waiting for a vol collapse to profit?
Where you worried that vol might go even higher against your short option (although I don't think it could have gone MUCH higher, lol)?

psears 

Hi Myrrdin, Curious as to what the premium was when the vol was sky high and what you closed them for? I see vol is still fairly high, so did you just collect the time erosion instead of waiting for a vol collapse to profit? Where you worried that vol might go even higher against your short option (although I don't think it could have gone MUCH higher, lol)?

I sold the strangles for $900 each and bought them back for $500. Meanwhile volatility has risen again. I only held the strangles for about two weeks in November - to short to collect that much time erosion.

The reason why I bought the spread back was the high risk holding it for about one year to collect 60 % of the profit, after I had collected 40 % of the profit in just two weeks. But I might enter this trade again.

Best regards, Myrrdin

Myrrdin, so did you sell options with a year to expiration? Why did you choose to go that far out vs. the typical 30-60 days to exp.? What would have been the difference in premium?

psears 

Myrrdin, so did you sell options with a year to expiration? Why did you choose to go that far out vs. the typical 30-60 days to exp.? What would have been the difference in premium?

I sold the strangles for $900 each. With 30 - 60 DTE the premium for these strikes would have been approx. 0. (I do not consider 30 - 60 DTE as "typical". I prefer to have 90 to 120 days.)

Best regards, Myrrdin

myrrdin 

I sold the strangles for $900 each. With 30 - 60 DTE the premium for these strikes would have been approx. 0. (I do not consider 30 - 60 DTE as "typical". I prefer to have 90 to 120 days.) Best regards, Myrrdin

Hi Myrrdin,

Why is 90-120 typical from your point of view, and why not 10-30 or 30-60 or 120-160?

thanks