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Ron I have read much of this topic you started. It a good learning for me. Just so I understand your ES strategy you sell a put @ -.5 delta an buy 2@ -.15 delta as protection? Is that correct?
You very much. One of the biggest things that I would like to know is if it's possible to have an if condition within the spreadsheet. For example, let's say that we put in a spread and start running the simulation based on how things are going is possible to add on will remove positions automatically and have the spreadsheet continue with the new parameters.
That's not possible that what I would love to find out is if a position goes into margin call that what the addition of a 3rd potentially due to the margin requirements. Is there any way to figure that out based on the information provided in the spreadsheet?
The XLS-SPAN spreadsheet does not run simulations. It does not do long term studies automatically. You manually pick the options and start and end dates and run it for just those options. Then do that over and over and over to do a long term study.
TFOpts, has devised a system to do it but it is extremely complicated to set up.
So I have been trying to put together a interesting simulation to find out is it provides additional protection automatically. Based on Ron's recent post it looks like the PC-SPAN spreadsheet will be able to do this you might have the tools that can. Specifically what I'm trying to do is the following
1. Add a put automatically when the margin reaches 50 to 60%, start with something arbitrary and modify.
2. The time of expiration and the Delta are still unknown and it's something I wanted to experiment with as part of the simulation.
I did something very similar when the Brexit vote was looming. I ended up buying a put that expired a week after the vote for pennies and ended up with a massive gain when the market reacted to the "yes" vote. The thought is to use margin excess as a barometer to add a put with the time and expiration being something TBD.
Ron, to be clear that we are using puts with negative deltas and not calls, I think you mean the short has a delta of -0.0500 or -5.00% and the longs have deltas of -0.0150 or -1.50%.
