You're right! I was thinking emini S&P FOP. Once contract needs several thousand margin.

wow... this is indeed a very great forum with many interesting posts on futures options! I am very glad to have found this forum as there aren't many out there which talk about future options so extensively!

hi all in this forum, I have been selling options for a number of years, starting out with stock options initially and then moved into futures options, ES. also doing commodities options like grains, energy, etc.

wd

I am glad to find a forum of traders selling options. As probably many of you, I was made aware of this topic some years ago reading the book of Cordier & Gross. I trade more or less according to their suggestions, but there are exceptions. Main exception is that in cases where I have a clear opinion of the next move I also sell close to the money options. But this is only a small share of my portfolio. And in some cases I go beyond half a year of time left until expiry.

I would appreciate to discuss current and future positions here. Currently I hold

SN15 C1200
BOH15 C33
WH15 C600
SBH15 P16.5
CTK15 P60
LHJ15 C90
NGH15 C7

Recently I sold the grains, NG and CT options, some months ago SB and LH.

I would appreciate your comments, and further trade suggestions.

Best regards from Austria, Myrrdin

Has anyone had good or bad experiences with trying to hedge deep out of the money puts with a short future
contract(s) in order to mitigate delta (minimize delta)? Thanks in advance.

myrrdin 

I am glad to find a forum of traders selling options. As probably many of you, I was made aware of this topic some years ago reading the book of Cordier & Gross. I trade more or less according to their suggestions, but there are exceptions. Main exception is that in cases where I have a clear opinion of the next move I also sell close to the money options. But this is only a small share of my portfolio. And in some cases I go beyond half a year of time left until expiry. I would appreciate to discuss current and future positions here. Currently I hold SN15 C1200 BOH15 C33 WH15 C600 SBH15 P16.5 CTK15 P60 LHJ15 C90 NGH15 C7 Recently I sold the grains, NG and CT options, some months ago SB and LH. I would appreciate your comments, and further trade suggestions. Best regards from Austria, Myrrdin

Wow those are extremely risky options. Some of them are ITM. I would never trade anything like those. You need to be a lot further OTM.

datahogg 

Has anyone had good or bad experiences with trying to hedge deep out of the money puts with a short future contract(s) in order to mitigate delta (minimize delta)? Thanks in advance.

Mostly bad. The futures would reverse and I ended up losing money on the futures.

ron99 

Wow those are extremely risky options. Some of them are ITM. I would never trade anything like those. You need to be a lot further OTM.

Thank you for your comment.

As I mentioned usually some of my positions are ITM or ATM in case I have a very strong opinion concerning a market and the volatility is not sufficient to get satisfying premium (eg. currently cotton). Most of the time the number of these positions is smaller than currently.

Usually I enter positions betwees 300 and 1000 US$ per option, and delta of 0.1 - 0.2. I never trade very "cheap" options of less than 100 US$, as the number of options for a position would get too big, and, thus, the risk in case of a surprising move to the wrong direction would be significant.

Would you like to share some of your current favourite positions ?

Best regards, Myrrdin

datahogg 

Has anyone had good or bad experiences with trying to hedge deep out of the money puts with a short future contract(s) in order to mitigate delta (minimize delta)? Thanks in advance.

I tried it some years ago, but was not able to avoid losses in the futures.

Best regards, Myrrdin

myrrdin 

Thank you for your comment. As I mentioned usually some of my positions are ITM or ATM in case I have a very strong opinion concerning a market and the volatility is not sufficient to get satisfying premium (eg. currently cotton). Most of the time the number of these positions is smaller than currently. Usually I enter positions betwees 300 and 1000 US$ per option, and delta of 0.1 - 0.2. I never trade very "cheap" options of less than 100 US$, as the number of options for a position would get too big, and, thus, the risk in case of a surprising move to the wrong direction would be significant. Would you like to share some of your current favourite positions ? Best regards, Myrrdin

I only do options with deltas < 0.03. No where near as high as you.

Nobody that has posted in this thread sells ATM or ITM options except you.

I suggest you read the thread and see what we have been doing.

ron99 

I only do options with deltas < 0.03. No where near as high as you. Nobody that has posted in this thread sells ATM or ITM options except you. I suggest you read the thread and see what we have been doing.

I am aware that this thread is based on the ideas of Cordier & Gross. And I like these ideas, and most of my option selling trades since around 2005 were according to their concept. But I thought it might be interesting for some traders here to read about other concepts of selling options, which I applied successful in recent years. Anyway, in future I will only communicate and discuss trade ideas within the frame of Cordier & Gross. I hope that is ok for you.

Cordier & Gross suggest to sell options with deltas lower than 0.20 (=20 %). Thus, the trades I would like to discuss here (and I hope you allow for a small tolerance concerning delta) are

SN15 C1200
WH15 C600
NGH15 C7

I am looking forward to an interesting and fruitful discussion on these and other option selling trades.

Best regards, Myrrdin