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RapperT

Taking the Trades: How We Determine Allocation

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1 minute ago, Manish71 said:

So this TF strategy for options on futures for commodities can be scaled upto a $100k portfolio from $25k ?

It seems to me that this strategy would be limited by the risk management part of the equation. As John mentioned above, he would wanna have more underlying in the trade so that the risk is more distributed. There is virtually very little limit on the liquidity part.

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22 hours ago, Kim said:

It gave me quotes for ZC, CL, GC and HE for free. SB and KC required subscription. No idea why.

I could be wrong....but I don't believe TOS offers tradable options on /SB or /KC or any other of the ICE products for that matter.  Probably will not be possible to trade this system if one is on TOS (like me)  

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With regard to deltas in sugar, specifically.

I can't speak to other commodities as much but, since I trade a lot of sugar options, what I have noticed, is how quickly lower delta options double in price.

And this is during the course of one day.

It is more the norm than exception, that sugar can trade through 2-3 strikes a day.

Very often through them, and back around through them again in the other direction.

Maybe it is because I am still trading the " Feb" (Jan 15th) options, with much higher gamma, but it is not uncommon for many, lower delta options, to double during the day, as price moves through several strikes.

 

This would probably not be the case with 50+ delta options, and options without as much gamma that go out further in time.

So, despite these potential 100% gains, it probably is not practical for this kind of TF approach that re analyzes at the end of each day, and will tend to hold positions for longer periods of time.

 

But, if you knew that your time frame was going to be several days, maybe 2-4 days at most, then maybe a small allotment (ex 25%) to the nearer term options could boost returns.

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2 hours ago, cuegis said:

I can't speak to other commodities as much but, since I trade a lot of sugar options, what I have noticed, is how quickly lower delta options double in price.

And this is during the course of one day.

It is more the norm than exception, that sugar can trade through 2-3 strikes a day.

Interesting observation. Just curious to know - wouldn't the same apply to any volatile underlying? I don't have any options figures, and neither have I watched them, but I know that /CL has been very volatile lately, and can often move 2-5% in a day . It may be worth watching options on this. Or /HE and /LE - both can have large daily movements too. 

 

In fact, come to think of it, large moves in the underlying are a common feature of many commodities, with only quiet ones being things like soybean meal. Some of the options tend to have wider spreads though.

 

 

Edited by zxcv64

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On 12/22/2018 at 3:35 AM, RapperT said:

ok i replaced the table in the trade post..dont want to confuse anyone

@RapperT Did you take out the trade signal when you replaced the table or I am lost in the thread jungle? I can't seem to find the trade signals (up/down) of this past Friday...

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On 12/22/2018 at 9:42 PM, pboongird said:

I am really a newbie in future trading and not yet ready to pay for the real-time future options data. I have an account with ToS and learned by calling a helpline that I have to pay to see the real-time quotes on the softs products (sugar and coffee in our case). So, I cannot really see the price of those. However, the guy I talked to actually told me to check out www.investing.com to get the free real-time futures prices which I found it has a pretty decent chart. In addition, I want to hear if there is any other specific website that people here would recommend?

I am also with ToS. Even if you are able to get real-time quotes on sugar and coffee from investing.com, how do you place trades in ToS for Sugar and Coffee ? Because when I type in the symbols, /SB and /KC it says, "We can't find this symbol". ToS is able to display quotes for other commodities like Corn, Oil, Gold.

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1 hour ago, Manish71 said:

I am also with ToS. Even if you are able to get real-time quotes on sugar and coffee from investing.com, how do you place trades in ToS for Sugar and Coffee ? Because when I type in the symbols, /SB and /KC it says, "We can't find this symbol". ToS is able to display quotes for other commodities like Corn, Oil, Gold.

Hi Manish - I called the TOS service rep yesterday and the guy told me that you have to pay $110/month to be able to just see the quotes of all the softs products that traded on ICE (cannot even get a delayed quote). So, it seems to me that the fee is mandatory for the TOS platform if you wanna trade the future options there. After the call, I got an impression that ToS might not be the best platform to trade future options. Let's see if there is any other recommendation from the community.

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This is what TOS emailed to me the other day:

Hello, 

 

It looks like you are trying to view the ICE Market Data future symbols.

 

Unfortunately, TDA had a change in company policy and no longer pays the fees to view or trade the products. There is a monthly fee on $110 per month that was passed along to end users if they wish to trade these products.

 

If you agree to pay the fee here are the steps you will need to take: Log into tdameritrade.com -> Client Services -> Forma & Agreements -> type in ICE  in the search form -> You can download the PDF and send it in or attach it to this e-mail.

 

Here is a list of the symbols listed with ICE:

 

/TF (E-mini Russell 2000)

/DX (Dollar Index)

/CT (Cotton)

/CC (Cocoa)

/OJ (Orange Juice)

/SB (Sugar)

/KC (Coffee)

/YI (Mini-Silver)

/YG (Mini-Gold)

I hope this information helps and if you have any additional questions or concerns please don't hesitate to ask.

 

 

 

 

 

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13 hours ago, RapperT said:

Wish I could help, don’t have a TOS account.  @Jjapp do you still have one?

No.  Their app is nice but it doesn't run on linux.  IB takes time to get used to but I find them to be far better...and they openly publish their API.  TD Ameritrade makes it difficult to get.

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2 hours ago, Jjapp said:

No.  Their app is nice but it doesn't run on linux.  IB takes time to get used to but I find them to be far better...and they openly publish their API.  TD Ameritrade makes it difficult to get.

it actually does :)

http://mediaserver.thinkorswim.com/installer/install.html

 

as do IB or Tastyworks if anyone is interested. All three also have mobile apps.

Edited by ales19

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Just now, Jjapp said:

Very cool.  Must be new in the last few years.  Have they loosened up on the API too?

not sure about that, sorry

I was just looking for native linux apps when I contacted TOS and asked them. turns out TOS don't serve Australia anyway so I ended up going with IB (and now tatstyworks)

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11 minutes ago, zeon said:

At what point do you sell your close out your option  before expiration ? Can you start up with the program any week?

We close every Friday before opening our new positions.   Yes you can absolutely start anytime, the key is trading it consistently every week. 

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@RapperT - with this strategy are you not worried how the IV changes will effect this strategy? Given the options are long dater and Close to the money, the IV will cause PnL swings we cannot control. 

 

Theta may not be such an issue this far out.

 

Edited by candreouTrade

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24 minutes ago, candreouTrade said:

@RapperT - with this strategy are you not worried how the IV changes will effect this strategy? Given the options are long dater and Close to the money, the IV will cause PnL swings we cannot control. 

 

Theta may not be such an issue this far out.

 

We account for each asset's vol in our allocation algo...thats why you see some trades are much smaller than others some weeks.  Equity markets IV isnt an issue..no real correlation

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15 minutes ago, RapperT said:

We account for each asset's vol in our allocation algo...thats why you see some trades are much smaller than others some weeks.  Equity markets IV isnt an issue..no real correlation

I understand that you are adjusting position size based on the underlyings vol, but how about the IV of the options on these futures? These IV swings will swing PnL daily. 

 

How is does this IV move as the underlying trends upwards? 

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5 minutes ago, candreouTrade said:

 

How is does this IV move as the underlying trends upwards? 

You are taking Vega risk.  I haven't seen big vol drops with upward moves on futures...if anything it's been the opposite but I don't have a ton of data on it.  

Iv on futures does some counterintuitive things if you're used to equities.  We're not doing it right now but if you're into ratio spreads I've seen some interesting things with IV on occasion where IV actually decreases the further out of the money you go.

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3 hours ago, Jjapp said:

You are taking Vega risk.  I haven't seen big vol drops with upward moves on futures...if anything it's been the opposite but I don't have a ton of data on it.  

Iv on futures does some counterintuitive things if you're used to equities.  We're not doing it right now but if you're into ratio spreads I've seen some interesting things with IV on occasion where IV actually decreases the further out of the money you go.

Thanks - @RapperT great to get your input on this. Do you have any data showing how IV, moves when these trades start trending up? 

 

If IV moves down on these options when the underlying trends up,  then it would be good to know how much this IV and hence vega, offsets the delta gains on average.

Edited by candreouTrade

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We're not seeing IV drops but if you're worried about it just look at the Greeks.  Delta will show you the gains and Vega will give you the drop based on whatever IV decrease you're putting in your model.

I don't have time series data on IV for any of our trades to date.

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4 minutes ago, 4k de Bernie said:

When you open a new line (on GC for example) could you confirm that you systematically  close the previous one if any (for instance you close the previous GC to open a new one)? Thanks  

yes if the signal changes, or if we are under 37 DTE, or if the delta is significantly different on the new forecast we will close the first trade before opening a new one

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