I have been selling call, call spreads, put and put spread options on the futures for the last year. I have been using a pretty simple strategy doing these setups. If the ES is up or down over 20 handles + then I will sell counter direction options with a 15 or so delta.
So for example. Today the ES is trading 3257 + 23 handles or so. The 3300 Jan 17 is selling for 3.75 with an 85% chance of being out of the money at the time of expiration. So I would keep the money.
I have been doing this for about a year now. Earlier this year, I laid out some Jan 10 3260 and 3270 naked puts. They were pretty much underwater the day I after I sold them, but the percentages were still in my favor. This is not unusual because I am usually selling them between the bid and ask.
The Iran missile attacks last night tanked the market and also tanked the price of those calls. I had the opportunity to get out for a scratch and slight profit. The math worked out that there was a 98% chance of those being out of the money on Friday, so I did not cover those positions. Now those calls are underwater again. That was a mistake on my part.
I got greedy. When I have been in negative positions for a length of time, a day or more, I should have been happy with just taking them off for break even. Live to fight another day. I should have done that last night.