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Posts Made By:
eudamonia
Forum:
Options
August 24th, 2015, 12:52 PM
Replies:
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Sticky:
Selling Options on Futures?
Views:
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Posted By
eudamonia
After the winter NG debacle of 2013/2014 I had a...
After the winter NG debacle of 2013/2014 I had a similar experience and similar epiphany. Keep the size small. The strategy (including the ES) works but I was way too large at IM X 3.
This is why...
Forum:
Options
July 2nd, 2015, 07:33 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
I can only deal with the facts and models we have...
I can only deal with the facts and models we have - as imperfect and incomplete as they may be. Although I might sound young and brash I'm not - and I agree that many fools have relied too heavily on...
Forum:
Options
July 2nd, 2015, 05:54 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
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Posted By
eudamonia
I also provided scenarios from 2010 and 2008. ...
I also provided scenarios from 2010 and 2008.
No, actually they wouldn't sell off any differently. If markets sold off 8.2% (your words not mine) IV would behave exactly the same (go up by...
Forum:
Options
July 2nd, 2015, 05:29 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
Also, I just want to say that I actually totally...
Also, I just want to say that I actually totally agree. There is no shame in starting (or even staying) small on size. Ron has been doing this successfully for years and knows far more than I do and...
Forum:
Options
July 2nd, 2015, 05:10 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
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Posted By
eudamonia
Your modeling is inaccurate for an actual Flash...
Your modeling is inaccurate for an actual Flash Crash scenario. See my modeling results with actual historical volatility surface data:
...
Forum:
Options
July 2nd, 2015, 04:06 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
In most cases, yes. I traded around 9/11, during...
In most cases, yes. I traded around 9/11, during Katrina, all during 2008, and the day of the flash crash. Prices were wild but you could get filled (maybe not at great prices but still). You could...
Forum:
Options
July 2nd, 2015, 03:29 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
It seems highly unlikely that a 21% drop (1987)...
It seems highly unlikely that a 21% drop (1987) will occur in a modern electronic market. These types of gaps were possible back when there was no overnight trading.
Also, ES options are open...
Forum:
Options
June 26th, 2015, 07:14 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
Maybe we can get a few of us together to pool the...
Maybe we can get a few of us together to pool the costs. I am also extremely interested in pre-2013 span files.
Forum:
Options
May 15th, 2015, 12:45 PM
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7,370
Sticky:
Selling Options on Futures?
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Posted By
eudamonia
The underlying Future is the EuroStoxx 50 (FESX)....
The underlying Future is the EuroStoxx 50 (FESX). So you take the big point value which is €10 per point and multiply it by the price of €13.50. This gives you a value of €135.
Forum:
Options
May 14th, 2015, 06:31 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
ron99 I updated with your spot prices.
ron99 I updated with your spot prices.
Forum:
Options
May 14th, 2015, 05:50 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
Along the lines of the earlier analysis I've...
Along the lines of the earlier analysis I've completed a model for prices during 2008. Interestingly, the Sept 2008 drop was only 73 points but due to the IV doubling made this the 2nd largest price...
Forum:
Options
May 14th, 2015, 01:50 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
Slight correction: ES notional value at...
Slight correction:
ES notional value at 2116 (current price) is equal to 2116 X 50 (the big point value) = $105,800. However, if you are assigned margin for the ES is ~$5,000 or 21:1 leverage....
Forum:
Options
May 14th, 2015, 01:32 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
Thanks for providing that. Yes, we should keep in...
Thanks for providing that. Yes, we should keep in mind that the model will not perfectly match actual option prices for a variety of reasons (buying/selling sentiment, slight errors in data, etc.)....
Forum:
Options
May 14th, 2015, 12:01 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
I have gone back and used your spot prices in the...
I have gone back and used your spot prices in the calculations above.
Forum:
Options
May 14th, 2015, 09:51 AM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
There was a question that was posed to ron99...
There was a question that was posed to ron99 regarding the Flash crash and for which he didn't have option price data.
I have attempted to model the prices for a couple of price drops including...
Forum:
Options
March 13th, 2014, 10:50 AM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
I would recommend reviewing the spread trades...
I would recommend reviewing the spread trades recommended at MRCI and SeasonalAlgo and do your own testing to see how they would suit you. That is what I did. If you want to discuss this further...
Forum:
Options
March 13th, 2014, 10:41 AM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
Not that I'm aware of.
Not that I'm aware of.
Forum:
Options
March 12th, 2014, 10:31 AM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
@Ron, I've been using SeasonalAlgo.com since...
@Ron,
I've been using SeasonalAlgo.com since October and agree that they provide a lot more analysis capabality than MRCI. I've been primarily using them for outright futures spreads (rather than...
Forum:
Options
February 20th, 2014, 12:31 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
Trades currently under consideration: May...
Trades currently under consideration:
May Soybeans SK41140P = .03 delta. $75 prem. $541 margin. 2.2% ROI. Seasonals flat to bullish.
May Soybean meal SMK4350P = .03 delta. $65 prem. $338.85...
Forum:
Options
February 5th, 2014, 06:21 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
@Ron any thoughts on Coffee? With the large move...
@Ron any thoughts on Coffee? With the large move up we've seen in the last week the premiums are starting to soar again.
Forum:
Options
December 30th, 2013, 10:54 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
Does anyone know the SPAN symbol for Live Cattle....
Does anyone know the SPAN symbol for Live Cattle. Can't seem to find it anywhere (I would think it would be LE or LC). Thanks.
Forum:
Options
December 19th, 2013, 02:25 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
From the charts you posted earlier it looks like...
From the charts you posted earlier it looks like this typically mean reverts. Is this mean reversion based on NG prices or overall supply or a certain time period?
Forum:
Options
December 19th, 2013, 01:57 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
It's interesting to see how unhinged March NG is...
It's interesting to see how unhinged March NG is from theoretical pricing:
Right now the March contract is up 16.6 cents.
$5.5 March calls which started the day at 0.15 delta are now 0.21...
Forum:
Options
December 14th, 2013, 07:26 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
Regarding the March/April Widowmaker trade I show...
Regarding the March/April Widowmaker trade I show that buying NGJ14 (April) and selling NGH14 (March) on December 16 and closing the position February 10 yields a marginal positive return 18 out of...
Forum:
Options
December 14th, 2013, 01:04 PM
Replies:
7,370
Sticky:
Selling Options on Futures?
Views:
2,026,234
Posted By
eudamonia
Sorry if that was a bit ambiguous :becky: To be...
Sorry if that was a bit ambiguous :becky: To be clear *anything* can happen in the markets. Some things are just very very improbable.
Typically, long term trends in NG (lasting 8-10 weeks)...
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