ES options use SPAN margining which is much more generous than Reg T for option sellers. Portfolio margin is also better than Reg T but you need more then $100k.
hey, i am not bashing you, as i even had a naked future option journal.....i just wanted to repeat a quick point. xflat2186 explained the very valid issues about calls. so you should reread his point. as i mentioned before, i do a lot of calls. in any case, good advice is to actively manage that short vol by protecting your credits the best you can. and again, there is a reason that something is priced so high , so far away. no free lunch.
I think the naked selling and regular buying is very easy to execute. The execution of a much more safer (less capital risk) Credit Spread is much more harder. Try using a credit spread anyway you can of close values, like 1350-1360. This limits the risk to 10*50 max risk, but how do you execute this. Any ideas? You can gamble and buy first and then sell the put. However, the value of the sell can reverse and you may not get a credit. Do you think it is better to do this through Options Desk at big brokers or IB? Thanks
I only trade index futures options. I do not trade stock options. How much do ES gap or drop. As long as market is coming down point by point even thou it can be fast I can still do adjustment to my position as long as it is not a gap down. Sept 11 2001 ES gap down 54 points when market reopen. This is the gap that I have no control if my strike is that near. I do not have put that is that close. In any case. like what someone mention there is no free lunch in this world, high premium is there for a reason. But then again I have never look back at futures trading even since I started on ES options and that is just me. I do not have strategy that I trying out that has a limited risk http://www.elitetrader.com/vb/showthread.php?s=&threadid=101030 but for ES I will pretty much be doing naked for the time being
This may help the discussion. Below are the published results, based on actual trades only and after a 30% incentive fee, for a CTA that currently uses a $1 premium system similar to that which benysl uses. (I apologize for the formatting). The initial capital is $50,000 and 1 SP put is sold each month ($250 premium) and puts are rolled in some cases- hence the losses in some months. The recent Rate of Return is about 12%, although it is just flat this year: Year Jan Feb Mar Apr May Jun July Aug Sep Oct Nov Dec Year 1999 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 5.9% 5.9% 2000 2.4% 4.5% 2.0% 2.6% 6.6% 1.1% 0.2% 1.0% 0.2% 2.7% 1.1% 4.0% 32.1% 2001 2.0% -2.5% 8.1% 4.3% 1.0% 2.7% 2.6% 0.5% -3.1% 4.7% 5.0% 3.0% 31.7% 2002 3.3% 2.8% 1.3% 0.3% 1.3% 1.9% 8.1% 0.5% 6.4% 7.2% 4.1% 2.2% 46.5% 2003 -1.1% 7.3% 0.8% 4.0% 2.1% 1.5% 0.6% 1.1% -0.9% 4.0% 0.5% 1.3% 23.1% 2004 0.9% 1.7% 2.7% 1.2% 0.8% 1.8% 1.2% 1.0% 1.9% 1.4% 1.1% 0.7% 17.6% 2005 0.5% 0.7% 0.9% 1.1% 1.2% 0.9% 1.0% 1.9% 1.7% 0.5% 1.1% 2.1% 14.4% 2006 1.5% 1.0% 1.5% 0.7% 1.4% 1.9% 0.9% 0.8% 1.1% 0.4% 0.1% 1.0% 12.8% 2007 0.6% -2.9% 3.4% 0.9% 1.8% 0.7% -3.7% N/A N/A N/A N/A N/A 0.5%
Are ES options the best choice? Or do they lack liquidity and hence big slippage? Aren't OEX options a lot more liquid? thanks
ES bid ask spread is pretty wide. But because most of the time I let it expire worthless so I do not need to worry too much about it. I prefer ES because it is electronics trading/ Now sure about QEX
windsurfer that is interesting thanks. Where did you get this data? Do they have it for other markets?