Futures Options

C2’s great!

That said, I can’t find a way to enter Futures Options trades. Seems it may not be possible yet. Any plans to enable them soon?


We did a lot of work with futures options early in C2 development – in fact, almost added them several times. But there is a problem. Even today, most important futures options are pit traded. Even more so than the underlying pit-traded futures, the bid-ask spreads posted for the public are sheer fiction. Last trades are reported quite late, and often inaccurately.

So it would be a nightmare for C2 to support them in a computerized simulation of trading. I’d have hours and hours of customer service work, for an instrument class that most traders don’t use or care about.

Now, I personally trade options on futures, and think they are a valuable tool in a speculator’s/investor’s arsenal. But until the bulk of futures options trading moves to electronic exchanges, it’s unlikely that C2 will support them. That said, I suspect this move will happen within a few years. I plan on being around that long, and encourage you to stick around, too.


Thanks for the reply. Of course you’re right about the bid/ask spreads, and I understand the difficulty.

Maybe options on Globex products will prove easier in the future.

Until then, I’ll do my best with straights futures. A pity, though, as good risk-averse options selling strategies, like those used by some leading managed futures funds (i.e. strangle writing programs on the S&P), become out of the question. If and when futures options are viable, I’ll be one to set up a program using them.

Still, I think C2 is fantastic and thank you for providing it.

But until the bulk of futures options trading moves to electronic exchanges, it’s unlikely that C2 will support them.

There is hope. When the futures markets including options on futures, provide all-electronic trading platforms, there will be fewer ways for insiders to cheat – at least that is what I hope for.

Quick thought:

A simplified way to include futures options could be to

use first filled futures options order after a c2 signal is sent.

So I place a futures options market order on July NYMEX crude, and C2 simply records the next “last” order, as is viewable from any quote service. Otherwise, to perhaps increase reality, a simple average of all “last” quotes from the 10 minutes or so after the order is placed could be chosen.

To facilitate, one might only allow market orders (and maybe “market-if-touched”) orders, so no limit, “or better” orders, etc. “Good-till-cancelled” would be fine, as long as m-i-t and not “or better”.

Does this make sense?

Anyway, Matthew, I appreciate the formidable amount of programming you must face…


Oops – just saw that your previous response already answered a lot of my questions. I understand your fear of last orders, but not all markets are the same.

Some markets with great fills for futures options include NBOT world sugar, CME eurodollars, cbot treasurys, NYBOT orange juice. Horrible fills tend to be in metals. Generally yet consistently nasty fills are in energies at the NYMEX.

Doubtless you know this, and I don’t want to push a moot point. I just really like to hedge with options and use strategies like backspreads, butterflies, no-brainer naked writes, etc. Maybe I’ll have to extend into – gulp – stocks!

There’s probably a way to make it work reasonably well. But, as always, the trade-off is between the resources needed to develop the software and the demand by users. I’ll re-evaluate this again when I have some free cycles to investigate.