I so want to sell the Jan NG 3.00 puts too because if you already have on the 5.50 calls then the margin doesn't increase at all to put on the puts.
But when I see that the last 2 years Jan NG futures were the same price as it is now and how they dropped 70 & 90 cents before expiration, I am going to have to pass on the 3.00 puts.
Looking at last year, the 3.00 put was at 0.009 on Oct 18th. It was still at 0.006 on Dec 13th. Not much profit over almost 2 months. And I suspect that margin increased in the time between those dates.
Last edited by ron99; October 19th, 2013 at 09:24 AM.
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If you sell a futures option with a delta of 0.04 , and the position goes against you. The option delta will increase.
Is there a numerical value for the option delta that you use as a value to consider exiting the position.
Ron99: Been trading options on stocks for a long time. Difficult finding someone who trades options on futures. I assume the leverage is considerably greater than stock options? Any platform you know of that sim trades them?
Thinkorswim (TOS, from TDAmeritrade) provides sim function that allows you trade everything such as stock, option and future. Though the list of future products with options is short, it does include most common ones.
I've been able to get this to work to create a performance bond risk summary of the portfolio ... not sure yet how to get anything like the Scan Risk Contributions in the Reports tab ... looks like that will need a different kind of script to run the spanReport utility.
Here's what I did:
- In the C:\Span4 folder (default location for installation of program) I placed a copy of the following:
-- Unzipped risk array files (cme.20131018.s.pa2 & nyb.20131018.s.pa2)
-- My portfolio file that I generated in PC-SPAN by right-clicking on my portfolio and selecting Copy Positions To File to generate a .pos file (RJO 131018.pos)
- Then I opened Notepad to create my script and typed in the following lines: Load C:\Span4\cme.20131018.s.pa2
Load C:\Span4\RJO 131018.pos
-- I saved it as a text file named SpanScript.txt in the C:\Span4 folder
- Then in Notepad, on a clean slate I typed in: spanit C:\Span4\SpanScript.txt
-- Saved this as a batch file (File->Save As changing the Save as type to All Files) named SPAN-Batch.bat in the same folder where the spanit.exe file is (should be C:\Span4\Bin)
Just double-click my batch file (SPAN-Batch.bat), and it will load the risk arrays and portfolio, calculate and create a csv file named Summary in the C:\Span4 folder with my performance bond summary.
Hopes this helps.
Make the following changes to the instructions above to see the Position and PB Requirement Reports:
- In the SpanScript.txt type the following lines: Load C:\Span4\cme.20131018.s.pa2
Load C:\Span4\RJO 131018.pos
- In the SPAN-Batch.bat file type the following lines: C:\Span4\Bin\spanit.exe C:\Span4\SpanScript.txt
This will create the reports in the C:\Span4\Reports folder.
Last edited by Dudetooth; October 19th, 2013 at 05:07 PM.
Reason: Updated info
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