I have multiple accounts. IB only deals in the ES and I can move them overnight. Even though SP is electronic at night, IB doesn't deal in it since it is pit traded during the day. There are times when it makes more sense to use bigger contracts for certain parts of the position, and others where it makes more sense to be more granular with smaller contracts.
Writing Options on ES and SP (S&P Futures) instead of SPX
- Thread starter andysmith
- Start date
I have multiple accounts. IB only deals in the ES and I can move them overnight. Even though SP is electronic at night, IB doesn't deal in it since it is pit traded during the day. There are times when it makes more sense to use bigger contracts for certain parts of the position, and others where it makes more sense to be more granular with smaller contracts.
I believe Robert has made comments to that effect. His partner and legal scholar, Hannah Terhune has written columns with great justification for the change. I believe one of the recent issues of a futures/options magazine (Chicago publisher - can't recall the name) ran her latest column about the matter.
Would everything that has been discussed also apply to NDX/MNX, ND, and NQ?
I like trading NDX options b/c of the liquidity. I'm looking into switching to NQ options, mainly b/c of the SPAN margin. I hedge using NQ futures. These don't reduce the margin against naked NDX options but would against naked NQ options.
Is this logic sound? Any potential cons of selling NQ options vs. NDX/MNX?
While I'm at it, I guess the same logic would go for the Russell 2000 index options vs. futures options.
To me it all pins on whether the ES, NQ and EZ futures options are liquid enough so you don't get killed on the bid/ask spread.
I like trading NDX options b/c of the liquidity. I'm looking into switching to NQ options, mainly b/c of the SPAN margin. I hedge using NQ futures. These don't reduce the margin against naked NDX options but would against naked NQ options.
Is this logic sound? Any potential cons of selling NQ options vs. NDX/MNX?
While I'm at it, I guess the same logic would go for the Russell 2000 index options vs. futures options.
To me it all pins on whether the ES, NQ and EZ futures options are liquid enough so you don't get killed on the bid/ask spread.
ktm,
A couple of questions:
1) In terms of risk management, do you use a stop loss -- something like what Ansbacher does -- close the spread when the loss reaches 2x the orignial credit received? Or do you roll the spread away from the market?
2) Are you still employing credit spreads these days, given that vol is near an all time low and expected to pop?
Thank you!
Andy.
A couple of questions:
1) In terms of risk management, do you use a stop loss -- something like what Ansbacher does -- close the spread when the loss reaches 2x the orignial credit received? Or do you roll the spread away from the market?
2) Are you still employing credit spreads these days, given that vol is near an all time low and expected to pop?
Thank you!
Andy.
A quick (probably stupid) question guys...
Does the "fill or show" rule apply to the SPX options as well?
Just wondering if there is difference in SPX vs. equity options.
Since SPX is an index and CBOE has the monopoly on it...
Though it probably does not make any difference as far as the SEC rule...
Thanks!
Does the "fill or show" rule apply to the SPX options as well?
Just wondering if there is difference in SPX vs. equity options.
Since SPX is an index and CBOE has the monopoly on it...
Though it probably does not make any difference as far as the SEC rule...
Thanks!
As the VIX moves, the window gets more narrow (or wider) but it's still a viable strategy with the right structure.
I don't have a fixed price or percentage for closeout when things are going against me. A lot depends on my hedges for that month, time to expiry, other positions etc... If I wrote a call spread and bought some futures to hedge, I may roll away or take some futures off and roll a smaller number. I don't know that Max really closes on a double. If he does, then he also has other positions that he doesn't talk about. By my math if you write both sides for about the same price and close one when it doubles and ride the other all the way to zero, you haven't made anything. He has a lot of positive months, albeit small ones.
I understand that several funds based on selling index options show their best performance to be when the VIX is falling or flat. They suffer when VIX is ascending. Have you taken this into consideration and are you doing anything to make your overall position vega positive?
WRT Ansbacher, the guys is returning 25%/year and his fund is only $150M or so. Shouldn't it be $5B give his performance? Or are investors not happy with his R/R?
WRT Ansbacher, the guys is returning 25%/year and his fund is only $150M or so. Shouldn't it be $5B give his performance? Or are investors not happy with his R/R?
The main difference between SPX and the equity options is that SPX is not electronic to nearly the same extent. If you do not hit a posted bid or offer, which is electronic with some brokers, your order will be sent to a broker in the pit to be outcried before being posted for electronic display.
I can tell you from experience Andy that most if not all large money allocators or family offices or institutions want nothing whatsoever to do with strict premium sellers.
Way way too much perceived unhedgable risk and catastrophic loss risk for big money to be involved. That is an absolute fact of managed money life.
Otherwise Max would be loaded with AUM.
Way way too much perceived unhedgable risk and catastrophic loss risk for big money to be involved. That is an absolute fact of managed money life.
Otherwise Max would be loaded with AUM.
because I wonder if Max is still around due to survivorship bias?