Opportunities in CME Corn Futures
The bear trend in Corn for nov'13 options maturity did offer some opportunities to stay net short in calls and at the same time stay short in deep out of the money puts as well. the salient features of this strategy is to
- cover a mild upside by buying 1:2 call spread of 465/485 strike
- to gain from a range bound trend by selling deep OTM puts of 440/430 strike
- sell futures with the intention of protecting the put shorts in case market falls rapidly.
The result of this strategy was that after it was suggested on Sep-24, we could see a net return of 15 cents from this Strategy. the benefit in considering options as a part of your portfolio is that some times like these when the price falls at a diminished rate of change being net short in the options provides better opportunities than being futures short.
|
CME Corn Futures and options closing rates as on 18-Oct-13 |
|||||||||
|
Date |
Buy/Sell |
Month |
Strike |
Call |
Pay/Rec |
Lots |
Net Pay/Rec |
CMP |
MTM P/L |
|
9/24/2013 |
buy |
Nov'13 |
465.00 |
call |
-8.50 |
1.00 |
-8.50 |
0.75 |
-7.75 |
|
9/24/2013 |
sell |
Nov'13 |
485.00 |
call |
3.50 |
2.00 |
7.00 |
0.25 |
6.50 |
|
Date |
Buy/Sell |
Month |
Strike |
Put |
Pay/Rec |
Lots |
Net Pay/Rec |
CMP |
MTM P/L |
|
9/24/2013 |
sell |
Nov'13 |
440.00 |
put |
6.25 |
1.00 |
6.25 |
5.00 |
1.25 |
|
9/24/2013 |
sell |
Nov'13 |
430.00 |
put |
3.50 |
1.00 |
3.50 |
1.50 |
2.00 |
|
Date |
Buy/Sell |
Month |
Entry |
SL |
lots |
Exit |
CMP |
MTM P/L |
Risk reward |
|
9/24/2013 |
sell |
Dec'13 |
454.50 |
465.00 |
1.00 |
430.00 |
441.50 |
13.00 |
2.33 |
