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Hey Ron, new with futures options, although I have traded options for quite sometime. If it's a spread, let's say vertical spread (covered), wouldn't the margin be limited to the spread width only? i.e., ES Mar 16 -2000 put/+1000 PUT IM = $100, can the MM increase more than $100 IM?
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What happens when...
SPX was down 5% or more in the week
SPX was down 2% or more on Thursday
SPX was UP on Friday
This has happened 15 times, but 11 of the 15 were 1929-39 and one was 1950.
The 3 occurrences in the last 67 years, were 11/21/2008, 3/6/2009 & 9/23/2011.
The market was up 2 of 3 times the next day with an average of 2.6% (+6.47, -1.00, +2.33)
The market was up all 3 times Tuesday versus Monday, and all 3 times Tuesday versus Friday with an average 2 day move of 5.3% (+7.17, +5.30, +3.43)
The market was up 2 of 3 times Wednesday versus Tuesday, and all 3 times Wednesday versus Friday with an average 3 day move of 5.93% (+10.96, +5.56, +1.29)
Of course the market hasn't settled up yet today.
There's a lot more examples of it closing down on Friday (36 occurences), with 16 since 1950 and 12 since 1980. The pattern is a lot more random if this happens but it does include the Friday before Black Monday (Fri 10/16/87) when the market dropped 20.46% on Monday but also 10/10/2008 where it rallied 11.58% the next day.
FOREX37 -- Have you talked to your brokerage? I'd be curious to know if they attempted to contact you before liquidating and also what time the trade happened.
------------------------------------------------ P U R C H A S E & S A L E ------------------------------------------------
DATE MARKET BUY SELL CONTRACT DESCRIPTION TRADE PRICE CCY DEBIT/CREDIT
-----------------------------------------------------------------------------------------------------------------------------------
29-JAN-18 CME 3 PUT APR 18 Mini S&P EOM 2350.00 5.00 USD
06-FEB-18 CME 3 PUT APR 18 Mini S&P EOM 2350.00 105.00 USD
TOTAL 3 3 EX- 30-APR-18 P&S USD 15,000.00 DR
Would it be accurate to say some markets have inherently more volatile premiums and therefore the drawdowns allowable in a trading system should be adjusted by individual market rather than having one global rule for drawdowns? For example should one market be allowed 6X initial margin excess and another allowed only 3x initial margin excess depending on past variability over the life of an average trade in a given market?
