Selling Options on Futures?

July 19th, 2016, 04:58 PM

Thank you very much for your reply myrrdin, ron99

Can someone help me clarify this information?

How did you calculate SPAN margin for a credit spread on CME website? I've attached a picture and I wonder if the number "$14,360" is the margin I am required to put in?

If that is the case, why currently TOS requires only approx. $7,700 for the same amount of contracts (LONG 20 P1950 and SHORT 20 P2000). Pictures are also attached.

If that is not the case, can you guys show me the right way to calculate the SPAN margin for vertical credit spread on CME website? Greatly appreciate

July 19th, 2016, 05:35 PM

huybebe2009

Thank you very much for your reply myrrdin, ron99

Can someone help me clarify this information?

How did you calculate SPAN margin for a credit spread on CME website? I've attached a picture and I wonder if the number "$14,360" is the margin I am required to put in?

If that is the case, why currently TOS requires only approx. $7,700 for the same amount of contracts (LONG 20 P1950 and SHORT 20 P2000). Pictures are also attached.

If that is not the case, can you guys show me the right way to calculate the SPAN margin for vertical credit spread on CME website? Greatly appreciate

I can't get CME CORE to work. I got the same margin as you did.

Most of us use XLS-SPAN Excel spreadsheet created by Dudetooth. It can be found here.

PC-SPAN

Here is XLS-SPAN (05 beta) the bare-bones version I had mentioned earlier. The majority of the code has been reworked and in my opinion has better performance than the previous code.

A few notes:
-This was created to work with Excel 2007+ in the …

July 20th, 2016, 01:24 PM

Interesting how when doing average prices for a seasonal chart that one or two years can affect the average a lot.

Here is Sep ES average for 7 years (2009-2015). You would think that prices should start dropping. (Yellow line is average price)

Here is same chart with 2011 removed. 2011 is when Congress was threatening to not raise the debt limit and the credit rating of the US was lowered.

Here is chart with 2011 & 2015 removed. 2015 had the price crash late in August.

Flat prices in Aug. If you assume that 2011 & 2015 were abnormal years, likely, then the recent seasonal trend for August is flat.

These charts are available at my Tableau page. Seasonal Futures ES https://public.tableau.com/profile/ron.h8870

July 20th, 2016, 01:28 PM

Looking at the median rather than the average will reduce the effect of the outliers considerably.

July 20th, 2016, 05:03 PM

I just stumbled upon this, kind of amazed I wasn't aware of it already, but...

An approximation for an at-the-money option with a short time to maturity is:

call = put = StockPrice * 0.4 * volatility * Sqrt( Time )

For more details take a look at Quantitative Finance Stack Exchange: options - What are some useful approximations to the Black-Scholes formula? the most popular answer gives a really good explanation of why.

August 1st, 2016, 12:54 AM

ron99

Interesting how when doing average prices for a seasonal chart that one or two years can affect the average a lot.

Here is Sep ES average for 7 years (2009-2015). You would think that prices should start dropping. (Yellow line is average price)

Here is same chart with 2011 removed. 2011 is when Congress was threatening to not raise the debt limit and the credit rating of the US was lowered.

Here is chart with 2011 & 2015 removed. 2015 had the price crash late in August.

Flat prices in Aug. If you assume that 2011 & 2015 were abnormal years, likely, then the recent seasonal trend for August is flat.

These charts are available at my Tableau page. Seasonal Futures ES https://public.tableau.com/profile/ron.h8870

Ron,

Quick question, have you done seasonals like this for every month? I've been quietly trading the 1:2 spread in lots of 10 with a max of 50 at any one time. So far it's working well but I'm taking Nov. off for obvious reasons and if Trump gets elected somehow I'm gonna re-think the entire strategy

.

/rsm005/

August 1st, 2016, 10:48 AM

rsm005

Ron,

Quick question, have you done seasonals like this for every month? I've been quietly trading the 1:2 spread in lots of 10 with a max of 50 at any one time. So far it's working well but I'm taking Nov. off for obvious reasons and if Trump gets elected somehow I'm gonna re-think the entire strategy

.

/rsm005/

If you go to the link you can look at any month for many commodities. Over the weekend I added some so that CL, NG, ZC, ZS, ZW, LH, ES are now available. More to come as I can find the time.

August 3rd, 2016, 02:54 AM

Hi,
I read 2 articles about MM:
Simple [AUTOLINK]money management[/AUTOLINK] wins over time | Futures Magazine
How much trading capital is enough? | Futures Magazine

I do some homework (please see Excel) and get apr. the same results.
A few questions:
* How the author calculated necessary capital for the trade?

Thanks in advance!

August 3rd, 2016, 01:29 PM

uuu1965

Hi,
I read 2 articles about MM:
Simple [AUTOLINK]money management[/AUTOLINK] wins over time | Futures Magazine
How much trading capital is enough? | Futures Magazine

I do some homework (please see Excel) and get apr. the same results.
A few questions:
* How the author calculated necessary capital for the trade?

Thanks in advance!

I don't know how he came up with the $30,000 number.

For one market it should be $2,000 IM + 8 consecutive losses of $1,000 = $10,000 or 5X Margin Factor.

For 3 markets it should be $6,000 IM + 2 consecutive losses of $3,000 = $12,000 or 2X Margin Factor.

And I do agree with him that extra should be added on top of these numbers because reality doesn't match theory.

August 4th, 2016, 05:57 PM

Let's talk about exits for a sec.

Based on how the discussion has been going over the past few posts I wanted to see if there has been any additional thought given to exiting a position when it moves against you. Since most of us have not moved to or are considering moving to much higher margin excesses, in my case 9x-12x and with Ron maybe 6x or more, how has that affected your exit or roll strategy?

For me I'm thinking of rolling out when the market hits 1 standard deviation or earlier...perhaps when it breaks a major technical Resistance line. Does anyone have other thoughts to add?

Thanks,
/rsm005/

Selling Options on Futures?

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Selling Options on Futures?