Martinghoul
Senior member
- Messages
- 2,691
- Likes
- 277
What is the underlying for the option? The fwd price of the underlying is the right price to use. If we're talking about a Dec12 expiry option onto Dec12 futures, Dec12 futures price should be used.
marameo
Junior member
- Messages
- 19
- Likes
- 0
I am talking about FTSE100 options, so the underlying is supposed to be the index cash market. That's what confuses me...
Martinghoul
Senior member
- Messages
- 2,691
- Likes
- 277
The underlying can be the cash mkt, but, like I said, the right price to use is the fwd price of the underlying. That means futures.
marameo
Junior member
- Messages
- 19
- Likes
- 0
Ok, now please consider the case where there is not fwd trading for a given expiry (that is not the case for FTSE100, I know); whay should I do? Say, for NOV12 options there is not NOV12 future trading. Could I just obtain the synthetic underlying (or future) by going thru the following: strike+call-put (maybe ATM) from NOV12 options? All in all, a synthetic future should already price in dividends and suchlike.
Thanks
Martinghoul
Senior member
- Messages
- 2,691
- Likes
- 277
Yes, although that's circular... Generally, the equity index fwd for any given expiry date is easy enough to compute (with varying degrees of accuracy). There are some issues arnd the computation, but we don't need to get into that.
In your case, however, it's a bit different. If I'm not mistaken, FTSE futures options have monthly expiries, but the underlying contracts are quarterly. So for your Nov12 expiry option, the underlying should still be Dec12. You should check the contract spec, though, as I could be wrong.
Martinghoul
Senior member
- Messages
- 2,691
- Likes
- 277
Actually, correction, I lie... FTSE options are quoted on the cash index, rather than the futures, so you do need the Nov fwd. From what I am seeing it should be arnd 5800 or 5802.70. You can compute it as discussed above.
Flat right now.
Watching the grains to sell calls on. Russian wheat problems still giving a bump there. 950 resistance is the area to watch.
Corn....Rains and cooler temps did little to slow that one down but the current news is starting to sound just a little 'has the top been reached' sort of.
Oil is even more of a political commodity. Anything for votes I guess.
Watching the grains to sell calls on. Russian wheat problems still giving a bump there. 950 resistance is the area to watch.
Corn....Rains and cooler temps did little to slow that one down but the current news is starting to sound just a little 'has the top been reached' sort of.
Oil is even more of a political commodity. Anything for votes I guess.
December coffee looks like it is trying to find a bottom.
Dec Wheat and Corn took big hits today...watching those call premiums.
If the Dec corn breaches and closes below 780 area 750 looks like next target there. Still a lot of weather psychological volatility within the grains. Longer term weekly charts offer little help because of the extreme run up on the daily charts in corn. Wheat = double top from around May 2011. Strong down bar forming on the weekly. 850 on the downside probable target area.
3 foot ground swell rolling in on the beach....see ya.
Dec Wheat and Corn took big hits today...watching those call premiums.
If the Dec corn breaches and closes below 780 area 750 looks like next target there. Still a lot of weather psychological volatility within the grains. Longer term weekly charts offer little help because of the extreme run up on the daily charts in corn. Wheat = double top from around May 2011. Strong down bar forming on the weekly. 850 on the downside probable target area.
3 foot ground swell rolling in on the beach....see ya.
Very interesting Optsonly, keep'em coming.
I have been writing options on futures this year in my Sipp pension account.
Do you follow James Cordier of Liberty Trading Group.at all?
Brit
Brit:
I read the book a while back and it did add some fuel to the fire for me. I've been trading for about 15 years and only recently, few years ago, I started to really take note of the option premiums. It can be a slow way to make money but I would rather be fishing the flats versus being glued to a computer watching quotes all day. I am probably going to move this to the forex factory forum That is a friendlier environment and I do trade FX some.
I read the book a while back and it did add some fuel to the fire for me. I've been trading for about 15 years and only recently, few years ago, I started to really take note of the option premiums. It can be a slow way to make money but I would rather be fishing the flats versus being glued to a computer watching quotes all day. I am probably going to move this to the forex factory forum That is a friendlier environment and I do trade FX some.
Brit:
..adding to that....
Just a few thoughts: Depending on how fast the market moves and how fast the premium deteriorates, you could exit a trade in a few weeks with a good chunk of the premium gone and in your pocket. I'm sure this is old news to you but if I've got 40, 50, 60% of the premium in hand then I'm taking it. It's rare to hold an option sold with 90 days until expiration for 90 days. I'm working on getting more aggressive in a few markets and, for instance, instead of going long a contract within a trend sell puts instead while keeping an eye on the fundamental and seasonal aspects of the market along with a few technicals. Less chance to get whipsaw stopped out when selling option.
I'm sure you read through the thread and saw the few posts from the several people basically calling me an idiot saying how can you trade something when you don't know what the value is of what you are trading, which is 100% true. With my few thousand posts at the forex factory, not one negative comment like the ones here. Anyway, we are not buying options, we are selling them. The greeks? What's important here??? You know the answer, low delta.
..adding to that....
Just a few thoughts: Depending on how fast the market moves and how fast the premium deteriorates, you could exit a trade in a few weeks with a good chunk of the premium gone and in your pocket. I'm sure this is old news to you but if I've got 40, 50, 60% of the premium in hand then I'm taking it. It's rare to hold an option sold with 90 days until expiration for 90 days. I'm working on getting more aggressive in a few markets and, for instance, instead of going long a contract within a trend sell puts instead while keeping an eye on the fundamental and seasonal aspects of the market along with a few technicals. Less chance to get whipsaw stopped out when selling option.
I'm sure you read through the thread and saw the few posts from the several people basically calling me an idiot saying how can you trade something when you don't know what the value is of what you are trading, which is 100% true. With my few thousand posts at the forex factory, not one negative comment like the ones here. Anyway, we are not buying options, we are selling them. The greeks? What's important here??? You know the answer, low delta.
Totally agree with taking some or all off the table when over 50% earned. I usually sell next month out and think about covering when it becomes current month or the theta, amount earned per day, is less than can be got from the next contract out.
By the way there is a good thread on selling futures options over at Big Mike Trading if you are interested. Sensible comments and useful info too.
Selling Options on Futures? - Commodities Futures Trading
Brit
By the way there is a good thread on selling futures options over at Big Mike Trading if you are interested. Sensible comments and useful info too.
Selling Options on Futures? - Commodities Futures Trading
Brit
Martinghoul
Senior member
- Messages
- 2,691
- Likes
- 277
optsonly, have you ever experienced a large move in the underlying accompanied by a spike in wing vol? Just curious...
This threads been quiet for a while, so thought I'd post on a recent trade I did in late August, 21st to be exact in Gold options, just to through some ideas out there on analysing the markets for good option sale opportunties.
The attachments make it clearer, but over the last few years I've worked on combining seasonality, using Moores and Gary Kayman's Trends in Futures service which does a good job of catching the larger trends and also analyses disegregated COT data, which is something I follow closely to confirm trades.
With GCZ, there was good technical structure in the rising wedge, a strong September seasonal approaching and big money was starting to add to their long positions, overall a great set-up to sell puts on a confirmation breakout.
Which is what happened, selling the 1500 puts at the $1638 mark for 13.50.
The attachments make it clearer, but over the last few years I've worked on combining seasonality, using Moores and Gary Kayman's Trends in Futures service which does a good job of catching the larger trends and also analyses disegregated COT data, which is something I follow closely to confirm trades.
With GCZ, there was good technical structure in the rising wedge, a strong September seasonal approaching and big money was starting to add to their long positions, overall a great set-up to sell puts on a confirmation breakout.
Which is what happened, selling the 1500 puts at the $1638 mark for 13.50.
Attachments
billybuster
Newbie
- Messages
- 4
- Likes
- 0
which broker are you using ? I use IB and their margin for naked options is much greater than 2x premium
