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I keep track of SPAN margins and OX margins on a spreadsheet. Daily I compare the two using a Watch List on OX, which has all of the front month contracts for each commodity, with my SPAN numbers. I use the email notices I get from CME and ICE to keep track of SPAN margin changes.
Unfortunately OX doesn't always keep the margin column on the Watch List and on the Quote Detail page up to date. It may be 1-2 days behind. So I may find out after the fact. The Trade Calc is always up to date.
Thanks for a great threat, I've been selling options for quite some time, but have really learnt a ton of new things here. thanks to all that have contributed.
A few months back I put together a super simple trade calculator based on some of the common rules of this threat plus a few of my own, I find I now use it to screen every trade I do. I'm amazes at how many trades I would have taken before that now show up as 'no goes' in the calc. I key the data in from OX trade calculator.
Basically key in the, contract, premium, initial margin, current date and expiry date, and it spits out DTE, rate of return till expiry ( I base that on 65% reserve cash, not 2/3 like some others), rate of return for 30 days. Above 2.5% shows green, below shows red.
I also key in the delta, above 0.05 shows red, below green, and it provides a risk return factor (RRF), which is basically the rate of return for 30 days / delta. What I'm looking for here is to get the best return at the lowest delta. I'm still tinkering with what determines an acceptable RRF, at the moment I've settled with above 1, seems to work good. The higher the figure the better.
Short DOTM CL puts in particular give great RRF's, and seem to be a staple sell for many here, with good reason. I used to sell a lot of currency options, but have avoided them recently as the risk return factor is actually generally very poor.
I'm looking for trades showing all greens. So far keeping me more on the straight and narrow.
Maybe some of you can find it useful or give you some ideas of your own for creating helpful little trading tools customized to the way you trade.
Ron, thanks, as you'll know SPAN margin calc across a wide variety of contracts can be a bit of dark science.
I try and compare margin requirements by checking the difference in margin the next day on the statements against the initial OX calc, when putting on new positions, but of course I know that is not accurate as the other positions margins are also altering.
I do track my average margin efficiency , with OEC its 26.3% and with Crossland it's 23.5%, both quite close , in other words for every $1 premium collected I'm putting up about $4 in margin. I find that useful to quickly eyeball what size I'm looking to sell when excess margin becomes available.
I still maintain a small account with OX, unfortunately non- US traders don't get the better commission rates, so can't really compare margins better. But as a general guide for me it works fine.
One, interesting thing I've noted since selling further out than I used to the average margin efficiency has dropped about 2-3% on average.
It is possible for non-US traders to negotiate better comms with OX. I told them I wanted to move from IB because the margins are better at OX, but they would have to come closer to IB's $2.32. They put me on the standard US rate of £3.50 (+ fees).
It appears that OX started requiring 45% more margin across the board on my IRA account vs my regular account. Is this just me or is anyone else seeing this?
