Question about selling Index Futures Options

Hi all,

Instead of naked puts or Iron Condors, I'm also interested to apply Collars strategy on futures options (on index/commodities) but there are few hurdles I can think of:
- we have to 'roll' the underlying futures contract on every expiry (i.e. quarterly), which means additional cost
- we might have some slight difference in the underlying price when rolling out the Collars (e.g. when rolling between Sept and Oct)
- we are charged interest on the margin borrowed to purchase the underlying futures contract

Would greatly appreciate for anyone's experiences/thoughts on this?

Thanks!
Aswin

 

Thanks for the interesting data, but I have a few questions.

1) What is a 30% incentive fee?
2) What does CTA mean?
3) How does a $1 premium system give $250 premium?

BTW, in addition to the P/L shown any related cash would earn interest (about 5% recent years).

Thanks again,

Don

 

You asked (see Qs below):

Q1) What is a 30% incentive fee?

A1) The CTA takes a 30% fee. In other words, before the fee, the return was 100/70 higher.

Q2) What does CTA mean?
A2) Commodity Trading Advisor

Q3) How does a $1 premium system give $250 premium?
A3) The SP multiple is $250- just as the ES multiple is $50

The CTA is Zenith Index Options. If you go to the following link and scroll down to the 6th CTA you will find it:
http://www.ctaguide.com/CTAspt_longterm.htm

I have no association with them. It just seemed that their results were relevant to this discussion.