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Thanks for info. In cases like this, what would you do if the extra margin requirement took away whatever excess you had, and now your system tells you to exit? It would be an exit not due to change in option price, but primarily because of increased margin - would you treat your decision differently, based on the root cause (option price going up vs. margin going up)?
Can you help answer these questions from other members on NexusFi?
No. Usually if margins are raised it was because of a severe price movement. In that case it is probably best to either bail or move to a further OTM strike.
Yes, and you would need more than that, if margin requirements rose enough while you had the trade on.
Yes and no - you might have to sell a lot to make significant money, but you could sell 1, 10 or 100, and still have the same return rate, if it is based on initial margin.
The important thing to keep in mind is that the margin required changes with the option strike price/month, and it changes on a daily basis.
So, for example, with October CL Puts right now from Options Express:
90 put (.02 delta) >> initial margin = $872.52
95 put (.07 delta) >> initial margin = $1886.28
99 put (.17 delta) >> initial margin = $2993.76
Build your in a dynamic data list. One column Year, One column Day one Column price. This just past your year data into the long table. Then use Pivot table and or chart function to create the chart Ron has posted as a simple line chart. The key is to have the date column absent of a the Year and use the Year value as the series label.
hi ron (though its kevins post), out of interest as CLZ3 90P has a delta which fits with your strategy have you been selling any of these? i am surprised by the delta being that low for a 90P.
re the ES spreads, from other forums i have read that TOS provides much more liquidity, though there seems to be a lot of debate over which is the cheapest. I will have to check TOS out.
Ron, Thanks for post your approach to seasonal charts in excel. It spurred me on to complete some work I had been doing with XSP seasonality in excel. Here I have applied it to USO as I don't have a data service for futures. I would imagine it would provide a similar seasonal chart for the continuous month in CL. (Is that reasonable to suggest?). I have normalized the prices for each year so the extent of the moves are comparable. Thoughts and feedback welcomed.
Even though the delta 'fits'...90 is simply too close to the underlying. A quick drop of several dollars on bearish news will send the delta through the roof and magnify the premium. December w/Nov expiration is a lot of time for something to happen.
hi opts - yes i def agree hence the question. if it closes below 100 then imo it has a way to fall further. but for that reason i am struggling to find puts of any value.
its imposs trying to put on LH call/put spreads at decent price, gonna have to leg into them if you want to run the theta down with a hedge.
