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That request was mine, when they said they couldn't do the full range, I asked for the first trading day of the month for each month within that range. Maddie was very helpful. I attach the files here.
She said there's an active project to add SPAN historical data to Datamine (CME database service).
@Dudetooth, I'm not sure if this format works with XLS-SPAN and has all the information used in XLS-SPAN. I haven't tried it yet.
Additional data from CME was provided for the first trading day of each month from 5/1/08 to 4/1/09. The hope was to understand how different strategies would have behaved during a recession.
The files provided by CME are attached. A review of the …
With the 2008 first of the month SPAN files we now have I was able to test how my strategy would have done.
On 20080901 sold one ESz8p990 delta 4.65 and sold two ESz8p875 delta 1.30 (next strike higher was 900 with a 1.72 delta) which gives a net delta of 2.05. I used 6xIM.
Interesting that on Nov 3, even though futures were down 314 and the short was ITM, the spread only had a 17.1% draw down and was not on margin call (acct used for IM was 63.5%).
On Dec 1 the position was far ITM including the longs. You would have been on margin call before Dec 1 so I don't know the exact amount of draw down but it would have been less than the 46% on Dec 1.
Can you compare the margin numbers? I get different results for % of IM. I have your initial margin as 1,148. In December the % of margin used is calculated as [1,361 + (610 - 98)] / 1,148 = 163%. The 1,361 is the Maintenance margin (1701 / 1.25).
Here's an interesting observation that I think myrrdin has made before. There's less volatility in option value the closer you are to being ITM (higher initial delta).
Here are results using deltas of -5 and -1.5 (similar results as Ron's).
If we go further OTM with deltas of -3 and -0.5 the loss is greater.
If we go closer ITM with deltas of -7 and -2.5 there's actually a gain because the very far OTM options increase in value faster with the vol spike. You actually go on margin call at a profit
