I have been paper trading a strategy lately with futures options. I do realize that paper trading and trading with real money and orders are two totally different worlds. I have found that selling options on futures seems to be a simple yet profitable strategy. Such as selling DOTM puts during an uptrend or DOTM calls during a downtrend. For example, with the current uptrend, I would sell say -2 /ES JUN 1060 Puts @ 1.55 which is about 63 days out for $155 in premium. As for exit, I have been buying them back at $0.20 therefore, I wouldn't normally hold the contracts until expiry. As for an adjustment strategy, which I have not been able to test due to low volatility, I would simply turn it into a long put spread to either limit my risk and possibly still eek out a profit if market were to continue to fall. Products I have been studying are: /ES, /CL, /6E, /NG and /ZN. I would like to know if there is actually liquidity on DOTM strikes that would make it possible to even get orders filled?