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Is your exit still set to 3x IM? Once I start again I'm going with 20% below the current market with a 1:1 spread that's 100pts wide. I think that's what the consensus was in the earlier parts of this thread, correct?
Thanks,
/rsm005/
Can you help answer these questions from other members on NexusFi?
I exit at 50% drop in premium. I'm staying with 5.00 delta short with two 1.50 delta longs.
I updated all of my long term studies on ES puts.
Here is a summary.
All of the data is in the attached spreadsheet. If you change the Margin Factor (yellow cells) on the summary sheet the ROIs and other data will change.
The 82415 sheet has various positions entered on 8/17/15. You can change the Margin Factor on these also on the summary page.
It seems that when a medium or larger sell off occurs my span margin requirements increase by a factor of 2 or 3.
What value have other put sellers noticed during down turns? This is for markets correlated with the ES futures.
For other markets such as ZB (30 Yr), corn, wheat, etc , not correlated with ES the increase in span margin would be less?
If the factor of 2 or 3 is a reasonable number for span margin increase, then would it be prudent to
limit span margin to 1/3 of account value?
The worst span margin increase in large sell off depends on how much is your span and the credit that you receive. Since OTM puts did atleast 10x on 24/8/15, it would be hard to believe that the max margin expansion was 2-3.
My worst on CL was a margin call and my span was around 30%, with a credit received of also 30% (meaning that I was collecting a credit of 30% the value of my account).
When I do 1.5SD strangles on CL, the max margin I would allocate is 20%.
ITM options tends to move less when there are large moves. According to my manual backtests, the max drawdown of a straddle that had 30-40 dte left on 24/8/2015 was around 2.2x, which is not much when you consider that some strangles did 20x-30x that day.
Seems reasonable. But the Cordier/Gross number of 50% seems like an invitation to disaster.
Since 24/8/2015 I have used ratio spreads, and my span margin is rarely over 20% of account.
Anyone have the ftp link to download SPAN files, can't seem to find it anymore. I am trying to do an experiment to see how these spreads react to a down trending market...gotta go way back to find that.
If you have XLS-SPAN (found in PC-SPAN thread) you can just type in the dates and it will download the files. I believe on ICE products you can go back to 2008.
d one?