mickojak 

Hi Ron, Thanks for the answer. But, in that "Extremely Rare" occasion, what actually happens to my account? Mick

https://www.cmegroup.com/clearing/files/IR-284_OptionsExercise.pdf

https://www.danielstrading.com/2013/01/31/do-you-understand-option-expiration-exercising-and-assignment-now-you-will

Thank you Ron,
Thats all the information I need.
Much appreciated.
Mick

ron99 

It is just for first day of month. Selling Options on Futures? That request was mine, when they said they couldn't do the full range, I asked for the first trading day of the month for each month within that range. Maddie was very helpful. I attach the files here. She said there's an active project to … Make sure you read the posts below it. You have to make a change to file name. Or see Dudetooth's fix here. Again read posts after this post for fixes. PC-SPAN Small code fix from what I can tell in order to get Track to work with the older PA2 files. 1) Go to Class Modules COption 2) Find: Public Property Let OptContract(Value As String) pOptContract = Value If pCSVPA2 = "CSV" Then pType8Opt … Let us know what you find.

Thanks for pointing me to the post, Ron. I am still working on modifying the file, but as I am tinkering with some idea to test the ES strategies, I noticed several things, and perhaps someone with a better coding experience may test some of these better than I can:
1. During the major correction (crash) in 2008-2009 in ES, ZB is pretty much unscathed. Have you tested the 2 by 3 spreads on ZB by any chance?
2. I know you don't like the naked put, but what I noticed with naked put on ZB (this is the most straight forward to back test, so I started with this) it has a very small margin multiplier (so far the maximum MM during correction in ZB is about 4x to 5x IM). Have not tested this during the 08, still have not fixed the code for Tracking sheet. I tested naked put strategy 3 delta on 2013-2017, average ROI annualized about 22% during correction months (7 data points), and about 19% including correction months (on 16 data points). This includes commission of $8/contract roundtrip (I round up to include exchange fees, etc). This is assuming the position is left until expiration, so the potential annualized ROI will be greater than the number above. I just figure, this most likely will not have the major correction as significant as ES (ZB IMO has a very low risk of having a major correction - if it ever does, we probably wouldn't be worrying about our trading accounts at that point )

note my method of calculating the annualized ROI is: (IP - (CTRC# x Comm)) / (IM x MM) x 365 / DTE
where
IP = Initial Premium
CTRC# = contract number
Comm = commission
IM = Initial Margin Requirement
MM = Margin Multiplier (adjust this depend on your risk - currently I set this at 5x)
DTE = Day to Expiration

Another idea that I have been thinking (and I believe someone on this thread might have mentioned before, which prompt me to tinker on this further) is exiting based on Actual Annual ROI vs Target Annualized ROI vs Annualized ROI left. For example, using the formula above, If I enter a trade and intend to leave it until expiration
IP = $100
Comm = $8
IM = $300
MM = 5x
DTE = 90
Position Naked put, CTRC# = 1


Target Annualized ROI = (100 - (8x1)) / (300 x 5) x 365 / 90 = 92 / 1500 x 365 / 90 = 24.8%
If at any point during the life of the position, my actual annualized ROI is greater than the target annualized ROI, I will exit the position, but only if I can enter a position where the Target Annualized ROI on the new position is greater than the annualized ROI left.

Annualized ROI left formula = (PLeft - (CTRC# x Comm))/ (IM x MM) x 365 / DTELeft
Where
PLeft= Premium Left
CTRC# = contract number
Comm = commission
IM = Initial Margin Requirement
MM = Margin Multiplier
DTELeft = Day to Expiration Left in the position.

Actual Annualized ROI = (PObtained - (CTRC# x Comm))/ (IM x MM) x 365 / PositionDays
Where
PObtained = Premium obtained (unrealized profit)
CTRC# = contract number
Comm = commission
IM = Initial Margin Requirement
MM = Margin Multiplier
PositionDays = number of days the position has been open

let me know your thoughts,
NN

640 call december corn is 3 deltas but it is trading at $1. That means the premium collected is just $50. I wonder why cordier recommended this trade against his own rule of selling anywhere between 10 to 15 deltas? The trade played out well so far (imargin may have expanded) from the premium point of view. I think he is weighing more on his fundamental analysis rather than option selling theory.

On side note i closed my Nifty option trade for a 60% profit. I had created a ratio credit spread 3:1 short Nifty10000PEJune x 3 and long Nifty10100CEJune x 1 earlier which i closed today. MRoi was 4%.
This my 3rd month trading short options. First month was profit 2nd was a loss.

jefforey 

640 call december corn is 3 deltas but it is trading at $1. That means the premium collected is just $50. I wonder why cordier recommended this trade against his own rule of selling anywhere between 10 to 15 deltas? The trade played out well so far (imargin may have expanded) from the premium point of view. I think he is weighing more on his fundamental analysis rather than option selling theory. On side note i closed my Nifty option trade for a 60% profit. I had created a ratio credit spread 3:1 short Nifty10000PEJune x 3 and long Nifty10100CEJune x 1 earlier which i closed today. MRoi was 4%. This my 3rd month trading short options. First month was profit 2nd was a loss.

I do not like holding very cheap options, eg. the CZ C640. This is even more true in a weather market. In case severe heat and dryness develop towards July, price and volatility will explode. This risk is not worth the very small profit potential.

Sometimes I agree with James Cordier, sometimes I do not. I take his suggestions as trading ideas, but check them as all other trading ideas.

Best regards, Myrrdin

jefforey 

640 call december corn is 3 deltas but it is trading at $1. That means the premium collected is just $50. I wonder why cordier recommended this trade against his own rule of selling anywhere between 10 to 15 deltas? The trade played out well so far (imargin may have expanded) from the premium point of view. I think he is weighing more on his fundamental analysis rather than option selling theory. On side note i closed my Nifty option trade for a 60% profit. I had created a ratio credit spread 3:1 short Nifty10000PEJune x 3 and long Nifty10100CEJune x 1 earlier which i closed today. MRoi was 4%. This my 3rd month trading short options. First month was profit 2nd was a loss.

Where did you see that Cordier trade suggestion?

This April 26 article says sell Dec 470 calls. https://seekingalpha.com/article/4166047-taking-cash-cob-corn

It was in 25 April Email seminar.

Quoting 

selling theDecember Corn 4.70 call may be a good place to start.Look for a May rally to drive premium to $600 or better for an optimum sale.

https://www.optionsellers.com/taking-cash-off-the-cob-in-corn/?utm_source=all-subscribers&utm_medium=email&utm_content=infusionsoft-link%20&utm_campaign=corn-seminar-04-25&inf_contact_key=52975108d9a791b9ecb758e5768d827322860a76a992935b52c491f1db7b19a9

Sorry, I never meant to say that cordier recommended selling 640 calls. SORRY! It came out wrong. one of the problems when you are typing from your phone. very sorry again. I was talking about selling 470 Calls which were recommended by cordier but those have a very large delta (around 27).

Narnar 

Thanks for pointing me to the post, Ron. I am still working on modifying the file, but as I am tinkering with some idea to test the ES strategies, I noticed several things, and perhaps someone with a better coding experience may test some of these better than I can: 1. During the major correction (crash) in 2008-2009 in ES, ZB is pretty much unscathed. Have you tested the 2 by 3 spreads on ZB by any chance? let me know your thoughts, NN

I haven't looked into ZB. How did the options do early 2015 when it did a quick rise then crash? The crash second half of 2016? I like to see how things performed during a worst case scenario.

Yes keeping the position on when there is not another good position to add, if the current one still looks good, can be used. I have done it.

ron99 

I haven't looked into ZB. How did the options do early 2015 when it did a quick rise then crash? The crash second half of 2016? I like to see how things performed during a worst case scenario. Yes keeping the position on when there is not another good position to add, if the current one still looks good, can be used. I have done it.

For the crash in early 2015, with naked put @ 3 delta, the MM come out to 4.3 x IM for 81DTE and 3.7x IM for 109 DTE.
Somewhat similar with mid 2016, naked put @ 3 delta, see image attached. 3x, 2.1x, 1.9x for 77DTE, 105DTE, and 140DTE, respectively.


Note the annualized ROI is based on the MM above and not based on 5xIM.

Ron what is your opinion on silver strangle suggested by cordier. I am papertrading this.
Sold 1 x put1400March2019 @ 0.110 for $550 delta .08
Sold 1 x call2200March2019 @ 0.120 for $600 delta .09
Total premium collected is $1150. I believe the margin will be $2200. mRoi will be 5%.