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Search: Posts Made By: TFOpts
Forum: Options October 9th, 2017, 10:14 AM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Yes, commissions and fees are assumed to be $7...

Yes, commissions and fees are assumed to be $7 round-trip.
Forum: Options October 5th, 2017, 07:15 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
See the following table, run 3 with 5 x IM is...

See the following table, run 3 with 5 x IM is less than 100%. It has about the same risk and return profile as the 2-3 strategy.
https://nexusfi.com/attachments/237418
Forum: Options August 6th, 2017, 11:31 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
There is more risk if you keep options until...

There is more risk if you keep options until expiration. For example, using Ron's original strategy of 1 short at -5 delta and 2 long at -1.5 delta; the success rate is 100% from 2013 to 2016 if you...
Forum: Options July 12th, 2017, 09:43 AM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Yes, see bottom of this post (uses 6 x IM but you...

Yes, see bottom of this post (uses 6 x IM but you get the idea): https://nexusfi.com/options-futures/12309-selling-options-futures-621.html#post647780

I would've said: sell one option with the...
Forum: Options July 8th, 2017, 07:43 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Here you go, added one more: ...

Here you go, added one more:
https://nexusfi.com/attachment.php?attachmentid=237418

Here's a visual of these methods mapping risk and reward. Ideally you'd want to be in the top left of the...
Forum: Options July 8th, 2017, 02:29 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Sorry, I should've clarified the labels. E is...

Sorry, I should've clarified the labels. E is the expectation,or average, of the daily mROI. Median is the middle value of the daily mROI. Avg mROI is the average monthly return you would've...
Forum: Options July 7th, 2017, 03:54 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
ron99, Your question prompted the idea of...

ron99,

Your question prompted the idea of keeping the ITM margin constant (e.g. at 20%) and letting the short delta float. Here are some results: run 1 is short 1 at -5 delta and long 1 at -3...
Forum: Options July 7th, 2017, 01:09 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Bob, ITM margin (there's probably a better...

Bob,

ITM margin (there's probably a better name for this) is the percent change in the underlying future that would bring the short option in the money. The formula is K/S - 1, where K is the...
Forum: Options July 7th, 2017, 09:52 AM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
That chart is for a sell one (-5 delta) buy one...

That chart is for a sell one (-5 delta) buy one (-3 delta) structure with 6 x IM as margin held.

The results are similar for the other runs as well. The reason is that, when the ITM margin is...
Forum: Options July 6th, 2017, 11:53 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Ron, Here's the distribution for a few deltas: ...

Ron,
Here's the distribution for a few deltas:
https://nexusfi.com/attachment.php?attachmentid=237287
Only the -3 delta would have a high chance of being safe for the 2011 drop. Note that these...
Forum: Options July 3rd, 2017, 09:32 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
My runs include $7 RT fees. If you compare...

My runs include $7 RT fees.

If you compare run 0 (sell 1 at -5 delta and buy 2 at -1.5 delta) to run 2 (sell 1 at -5 delta and buy 1 at -3 delta), the returns are about the same (especially at the...
Forum: Options June 6th, 2017, 07:59 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
No, I use the settle data from CME. Large price...

No, I use the settle data from CME. Large price variations are only somewhat accounted for when you want to exit at a % of premium, e.g. exit when 200% of premium is reached, my model assumes you...
Forum: Options June 6th, 2017, 04:21 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Thanks for the post. This may be a bit naïve,...

Thanks for the post. This may be a bit naïve, but would auto-trading help get out closer to the desired exit price? Let's say you use a simple strategy selling naked ES puts and getting out...
Forum: Options June 6th, 2017, 03:42 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Ron, Based on my reading of this thread, you...

Ron,

Based on my reading of this thread, you had good success with commodity options for a long time and only started concentrating in ES for the last couple of years. I understand the ES...
Forum: Options June 6th, 2017, 10:41 AM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
rsm005, I finally have historical results...

rsm005,

I finally have historical results using protective puts. The scenario that seemed to work the best is to buy the puts when you reach about 50% of margin. Higher than 50% and the puts...
Forum: Options June 2nd, 2017, 04:30 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Ron, yes I used the end of day (settle) values...

Ron, yes I used the end of day (settle) values for the margin and the price. I suppose those would be the values you trade on Tuesday then.
Forum: Options June 2nd, 2017, 04:28 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Thanks Ron! How's this for the roll? ...

Thanks Ron!

How's this for the roll?
Margin Held + Init Short - Short Buy + Init Roll Short - Init Long > Maintenance Margin(t) + Roll Short(t) - Long(t)

Where,
Init Short = the value of the...
Forum: Options June 2nd, 2017, 02:44 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
I need a better understanding of margin calls and...

I need a better understanding of margin calls and what the requirements are when positions change. I'm still trying to model purchasing protective options when things get dicey (rsm005's idea) and...
Forum: Options June 1st, 2017, 10:27 AM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Based on a quick study of historical data, it...

Based on a quick study of historical data, it doesn't look like dollar cost averaging (DCA) works very well for the type of option writing described in this thread. It produces quite a bit lower ROI...
Forum: Options May 31st, 2017, 11:30 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
The data I'm currently using is only for...

The data I'm currently using is only for contracts started in 2013 through 2016. The contracts started in 2016 continue into 2017 but no new trades are made in 2017. At the end of Q2 I'll consider...
Forum: Options May 30th, 2017, 03:07 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Best Days of the Week

Based on data from 2013-2016, the best days of the week to sell ES options using Ron's strategy are Monday and Thursday. It is generally understood that the value of selling on Thursday is the...
Forum: Options May 30th, 2017, 02:55 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
rsm005, I like the idea but it will be difficult...

rsm005, I like the idea but it will be difficult to test. The tool I have currently chooses options on a given date and under a given strategy and rides those options out until the exit point is...
Forum: Options May 30th, 2017, 02:51 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Ron, to be clear that we are using puts with...

Ron, to be clear that we are using puts with negative deltas and not calls, I think you mean the short has a delta of -0.0500 or -5.00% and the longs have deltas of -0.0150 or -1.50%.
Forum: Options May 27th, 2017, 11:51 AM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Maybe rsm005 is looking for good instructions on...

Maybe rsm005 is looking for good instructions on how to use XLS-Span, such as the ones you took time to detail here: ...
Forum: Options May 26th, 2017, 03:13 PM
Replies: 7,370
Views: 2,026,305
Posted By TFOpts
Not sure. I pull the initial maintenance ratio...

Not sure. I pull the initial maintenance ratio directly from the cme files using XLS-SPAN and that's where I noticed the difference.
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