I find when taking a long option position as a "flyer" punt on a quick price movement, the best performance has to reflect what is possible - let alone likely - in reality.

Futures prices rarely move more than 5 days on the spin in the same direction. TO get the best performance from an option, one needs a reasonable move, which if over more than one session obviously needs to be in the same direction.

Consider how many days on the spin a very strong trend move (such as a breakout) might take the price in that direction..

My own findings are that 5 days (maximum) represents the optimum play period. I'm not talking about buying options on a friday for expiry at next friday's close, as that is 6 days. 7 if one includes markets that trade sunday night.

I'm thinking more about picking up options late in the monday session for example, for that same friday close expiry. Locals and other professionals "crush" premiums around then, especially on options that are considered "too far out of the money to matter" - typically over a day's decent move away in that particular market.

For instance, an option on S&P that is 30 points away strike wise could be picked up on the bid for very little. We're talking 0.1 here, or $25 per contract + commissions (which may well be as much as the premium!)

This is why I trade 10 lot clips, as this brings my own commissions down by more than half what I'm charged for single lots.

A 10 lot 0.1 clip in big S&P options would therefore in this example be picked up for a total outlay of $250 plus 10 lots of whatever commission one happens to be charged. Let's say, another $250 in this instance.

If one cannot pick up such options for such prices, then one doesn't make the trade - simple.

When one DOES succeed in making the trade, then 90% of the time it is going to expire worthless.

However... On the few occasions that one pulls off such a flyer trade, the profit will be and need to be many times what you laid out. My own target figure is around 20-1 as I like returns comparable to horse bets, and I find 20-1 more than makes up for the times I get nowhere.

I typically trade out of the option (when it makes the money) if I am offered more than I believe it is worth at any point. I might take a closing bid of 4.0 in the above example (20 times what I paid including commissions) on the day before expiry, when the market might will still be a few points OTM, and I don't believe enough of a move my way will occur on last day. 3-4 days your way on the spin I find is hard to follow up on friday with a 5th day, so I take the profit when I see it.

These are just my experiences of option trading in this particular market. I find that leaving them until expiry has often involved the worthless settle, so it is important to be on the offer with a clear price target in mind when trading options.