Danno's futures-options blog

That's exceptional trading there.

Have you visited the thinkorswim website?

Do they have any tools that can help you in your analysis?

as an example: I use a lot of range analysis in an attempt to determine whether a day is going to consolidate or generate range expansion ... and I try to stay out of the consolidation days ... then if I can just get the direction right, I'll be OK!:D

You've got the concepts down pat, now if you can just skew your winning percentage ... Blamo!

Best,

Jimmy Jam

P.S. The strategic element of good options trading has always fascinated me, this thead opens up an whole new arena of trading for me (on the intellectual side, if nothing else).
 
Nope, haven't check out that site yet, but it looks like they have limited futures options. And even then, only on the financial instruments. Personally, I still prefer the paper, pen & ruler techniques of analysis... :)

11-Jul-06 - COCOA vertical spread analysis

Alright, here's the entry to the cocoa spread. I figured it had reached a peak based upon the penant-like channel and reversal of RS-14:

060711-Cocoa-sep06a.gif


Nice thing about spreads is I end up with limited losses (and gains) regardless of what happens to the underlying instrument:

060711-Cocoa-sep06b.gif


A. Cocoa ends up rising. I collect all $440 premium of short-put. Depending up on how quickly I can get out of the long-puts, I can end up with -50-110% loss. :(

B. Cocoa stagnates between spread, in which case, I still keep all of short-put premiums. Depending upon where it ends up in between, I can sell off the long-put for about $1000 to $2000 for a +50-150% gain

C. Cocoa drops below below short-spread can be the best scenario if I can close out the short-puts quickly enough.. Unfortunately in this case, it moved so darn fast, I couldn't get out until it was too late and took a -2000 loss on them. This severely cut into the +3300 win on the long-puts for only a +1290 (+134%) gain.

The short-put limited my gains here. The small amount of insurance it provided resulted in a much larger limit on the gains. By getting greedy and collecting a larger $440 premium, I sacrificed thousands in gains. That's because the short-put has only a 100% win potential while losses are much, much larger.

Better play in this case would've been to sell more OTM puts for lower premiums, say... $150-200 for Sep-1550s instead. In which case, it wouldn't have cut into the profits as much and given me an extra $1000 in profits for a 200% gain instead. :)
 
Here's a list of trending markets I picked up from another thread.
***
Trendiness Report starting Jan. 1996 ending Dec. 2005
at least 10 days in the trend

1. Mini Value Line
2. Nikkei Index
3. 90 Day T-Bill
4. Short Sterling
5. Japanese Yen
6. Palladium
7. Fed Funds
8. Australian Dollar
9. Goldman Sachs C.I.
10. Soybean Meal
11. British Pound
12. Platinum
13. CRB Futures
14. Euro
15. Pork Bellies
16. Swiss Franc
17. Dollar Index
18. Corn
19. Lumber
20. Eurodollars
21. Gold
22. NYSE Comp.
23. KC Wheat
24. Mexican Peso
25. Soybeans
26. Natural Gas
27. Cocoa
28. Feeder Cattle
29. Oats
30. Canadian Dollar
31. Orange Juice
32. Muni Bonds
33. Minn Wheat
34. Heating Oil #2
35. Copper
36. S&P 400 Midcap
37. Live Hogs
38. Rough Rice
39. T-notes
40. Unleaded Gas
41. Crude Oil
42. Russell 2000
43. Live Cattle
44. Soybean Oil
45. Cotton #2
46. Sugar #11
47. Silver
48. Wheat
49. Dax Index
50. Emini Nasdaq
51. T-bonds
52. S&P 500
53. German Bund
54. Coffee
55. Nasdaq 100
56. 5 YR T-Notes
57. Long Gilt Bond
58. FTSE 100 Index
59. Dow Jones Index
60. 10 YR T-Notes
61. Emini S&P 500
***
Seeing as how you're more than willing to venture into a number of the territories listed, perhaps it can help.
 
Quote from JimmyJam:
Heh, your analysis is incredible.

Seeing as how you love the paper and pencil/strategic analysis approach. I don't guess you'd be interested in this baby?

http://www.amazon.com/gp/product/04...355209/ref=sr_1_4/102-2056771-2465769?ie=UTF8
More...
Thanks Jimmy, I'm currently going over "Trading Options on Futures" - Labuszewski & Nyhoff right now. I might make your pick the next reading assignment. :)

Looks like you've given me a lot of options to examine! I really don't want to do this full-time you know! ;)
 
Instead of trending markets, you may want to look at markets which actually have appreciable options volume. My first post (at the bottom of the page) has some good statistics on just that issue:

http://foption.blogspot.com

OJ's volume is about my lower limit on futures options. Beyond that, fills get pretty erratic.
 
31-jul-06 long Coffee call

Feelin' bullish on coffee that day...

060731-CoffeeCall.gif


31-jul-06: BUY (1) Coffee Sep-100 call 862.50-
8-jul-06: SELL (1) Coffee Sep-100 call 2250.00+
1387.50 (+160.87%) :)
 

Attachments

Quote from FullyArticulate:
Instead of trending markets, you may want to look at markets which actually have appreciable options volume. My first post (at the bottom of the page) has some good statistics on just that issue:
More...
Thanks, I'll have to explore that a little more. Trending markets have been good to me: DannosCMGIcalls.jpg.

Playing the time/IV side of the options premium rather than the instrinsic value still scares the #$@! out of me! :confused: Made a play on coffee anyway...

9-Aug-06 set up credit-spread on Coffee with 2-days to go

060809-CoffeeSpread.jpg


OPEN
08/09/06 SELL: (2) 110-call Sep-Coffee 975.00+
08/09/06 BUY: (2) 120-call Sep-Coffee 150.00-
825.00+ total

CLOSE
08/11/06 EXPR (2) 110-call Sep-Coffee 0.00
08/11/06 EXPR (2) 120-call Sep-Coffee 0.00
00.00- total

RESULTS
825.00+ + 00.00- = 825.00+ TOTAL (+450%)


This was the scariest thing I've every done as the $7500 risk between the spread was more my entire portfolio! Got a margin-call for about $2500 and ended up closing out some other position to cover it.

While the higher percentage-return may look attractive, margin-requirements and risk will limit how much I can actually make in total dollars/month from this technique... I guess my risk-tolerance is pretty low, I hardly ever buy OTM options:(
 
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