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Selling Options on Futures?
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Selling Options on Futures?

  #6171 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Favorite Futures: Options on Futures
 
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LordV View Post
@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.

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  #6172 (permalink)
Trading Apprentice
Chicago IL/USA
 
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ron99 View Post
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,

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  #6173 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Favorite Futures: Options on Futures
 
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LordV View Post
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,

-2.06 net delta. No problem. A -5 x -1.5 is a net -2.00. So this spread is about the same.

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  #6174 (permalink)
Elite Member
Cape Town South Africa
 
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ron99 View Post
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.

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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..............

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  #6175 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Kruger View Post
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

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

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  #6176 (permalink)
Elite Member
Cape Town South Africa
 
Futures Experience: Beginner
Platform: Zaner 360
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Posts: 19 since Jun 2015
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ron99 View Post
In the upper left you should see this

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

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).




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

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  #6177 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
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Kruger View Post
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."

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  #6178 (permalink)
Elite Member
Cape Town South Africa
 
Futures Experience: Beginner
Platform: Zaner 360
Broker/Data: DeCarley
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ron99 View Post
Did you do this?

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

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


This is what I did

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  #6179 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary


Kruger View Post
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


This is what I did

Sorry but it looks like my file doesn't have the XLS-SPAN tab.

This attached file should work. The file I attached in that post didn't have macro ability because I saved it in 97-2003 format, not macro enabled. I should have zipped the original.

I asked the forum moderators to change that post's attached file.

Attached Files
Register to download File Type: zip XLS-SPAN (05a) Copy for forum2.zip (474.6 KB, 11 views)

Last edited by ron99; June 12th, 2017 at 12:30 PM.
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  #6180 (permalink)
Elite Member
vancouver BC/Canada
 
Futures Experience: Beginner
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Favorite Futures: options
 
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Programatic data feed?


All,

I've switched over from DeCarley to ThinkorSwim and also to a Mac. I know it's not the best but the screen is so much easier on the eyes. Either way, I can no longer use a lot of the programatic tools that I was able to leverage on Windows. RTD for excel for example. I'm trying to build a new set of tools that automatically grabs

1. bid/ask
2. last
3. volume
4. IM
5. MM
6. Underlying price

and a few other metrics. I've searched yahoo, google, and other website's financial pages but no one provides pricing for options on futures. Does anyone have a site that has a data feed that I can leverage? I really don't want to put the numbers in manually.

/rsm005/

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