@ron99

If you get a spare minute would you please tell me what you would have as
initial and maintenance margin for 20 ESU7P1800 by 10 ESU7P2040 99 DTE? (5 by 1.5 Delta)

IB has $13190 X $10552

Thanks

I get for all contracts combined $2,772 IM then divide that by 1.1 to get MM of $2,520.

Friday's settlement had the 2040 at -4.72 delta. The 1800 was -1.33 delta. But that is a -2.06 net delta.

Man, that is crazy...

It was -5 x -1.5 when we were trading at the lows.

May I ask why you are pointing out that it was a -2.6 net Delta?
Is that a problem?

Thanks,

This is the post from 2015 with modifications to current version XLS-SPAN (05b) Copy for Forum

The first thing you will need is this folder on your computer.

C:\Span4\Data

All spreadsheets and files need to be in this file. It must have this name exactly as shown.

This Excel spreadsheet is 2010 version. It needs to be Macro enabled. When you first open it it will say Security Warning Macros have been disabled. Click on the box that says Enable Content.

The Excel sheet was done by @Dudetooth. It is a fantastic spreadsheet. Amazing work.

The excel attached is his spreadsheet with a few modifications that I have made to it. The PC-SPAN thread has his version of it at the end of the thread.

On the Parameters sheet the first thing to do is to go to column D and put an "x" in this column for all commodities you will ever use. This is only for CME products. The ICE products listed will be included. This is so that the CME file size can be reduced dramatically and things will run much faster. Right now only the commodities listed can be run.

There are over 2,000 symbols at the CME. Just about all of us will us less than 20. This will reduce the lines in the file from almost 470,000 to < 100,000.

You will need to download a disk array file (CME & ICE) for each trading day you want to include in your research.

Right now you can put in the date (YYYYMMDD format) in cell A1 on the Track sheet and then click tab XLS-SPAN (to the right of "File" then click "Download" on left. But you can only do that for the dates that the CME has in the current file. In cell D1 you can enter a later date and download multiple days of files. Don't try to do multiple years. I have had problems when downloading too many days.

The first date available is 20130102.

Here is the link to the files.
ftp://ftp.cmegroup.com/pub/span/data/

Click on cme.

Here is part of what you will get right now.



Some folders at the top and then files below them.

We are downloading the files that looks like this cme.20151202.s.pa2.zip The "s" is the important part. That is the end of the day file.

As you can see the files on this example start with 20151130 and go to 20151204.

If you think you will ever need 2013 files I suggest you get all of them now before the end of the year because in the past the CME has removed old years from this ftp page when a new year started. You can just put the zipped files in a separate folder and if you need them you can unzip them into the Data folder.

If you need ICE files they are in the folder named "nyb". They don't need to be reduced in size.

How to use the spreadsheet will be in a following post.

The spreadsheet is saved in Excel 97-2003 format because the forum software wouldn't let me upload a spreadsheet that was macro-enabled.

If you have a newer version of Excel then immediately after opening it and enabling macros, click Save As and use Save as type: Excel Macro-Enabled Workbook.

Remember it must be in folder C:\Span4\Data

Hi Ron99,
I am unable to find the following tab:
click tab XLS-SPAN (to the right of "File" then click "Download" on left......

HELP..............

In the upper left you should see this



Click on XLS-SPAN. Then on left of this ribbon is a 4 colored button that says Download below it. Click on that.

I'm obviously missing something .........please bear with me, a newbie in this business

Did you do this?

" immediately after opening it and enabling macros, click Save As and use Save as type: Excel Macro-Enabled Workbook."

This is what I did