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PC-SPAN
Started:October 23rd, 2013 (09:36 AM) by ron99 Views / Replies:41,565 / 403
Last Reply:November 19th, 2016 (08:49 AM) Attachments:100

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PC-SPAN

Old December 3rd, 2013, 03:46 PM   #91 (permalink)
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Error Handling

@Dudetooth -

Is there a way to enhance the error tracking for cases where the option is listed but has no open interest? Here is an example - the 3rd one in the list has no open interest (the first 2 have some open interest):

HOF4 HOF4 P 2.49 -1
HOF4 HOF4 P 2.5 -1
HOF4 HOF4 P 2.51 -1



The problem is once the macro stops, if you try running "portfolio" again, no results are given. You actually have to exit the spreadsheet, and start over. I'm guessing the first time through it is writing something "bad" to the temp sheet, and then when you re-run, no results are obtained.

Thanks!

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Old December 3rd, 2013, 03:51 PM   #92 (permalink)
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kevinkdog View Post
@Dudetooth -

Is there a way to enhance the error tracking for cases where the option is listed but has no open interest? Here is an example - the 3rd one in the list has no open interest (the first 2 have some open interest):

HOF4 HOF4 P 2.49 -1
HOF4 HOF4 P 2.5 -1
HOF4 HOF4 P 2.51 -1



The problem is once the macro stops, if you try running "portfolio" again, no results are given. You actually have to exit the spreadsheet, and start over. I'm guessing the first time through it is writing something "bad" to the temp sheet, and then when you re-run, no results are obtained.

Thanks!

I was having same problem. Dudetooth sent me this correction that works OK.

To fix the issue you are having with the portfolio sub:
1) Go into the 'PortfolioRisk' sub and delete/hide the 'On Error GoTo GetOut' and the 'GetOut:' lines.
2) Go into the 'CalcRisk' sub and add 'Worksheets(tab1).Select' right under the 'GetOut:' line.

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Old December 3rd, 2013, 08:52 PM   #93 (permalink)
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kevinkdog View Post
I have been playing around with currencies in the SPAN spreadsheet. Here is what I have found:

1. In the spreadsheet, the delta calculations for Euro (6E) and Yen (6J) are double what they actually are. This can be corrected easily in the code (by changing code to d1=1). @Dudetooth - can you verify this?

2. For settlement dates, the Options Express Trade Calculator gives the options expiration date as 3 days before the SPAN settlement date. This is true for all currencies I looked at (BP, EC, CD, AD, JY). So, if you are used to calculating ROI based on OEX date, the SPAN spreadsheet ROI will be lower.

For ROI calculations, I believe you want to use options expiration date, not settlement date. Can someone confirm my thinking?


3. I have added the following currencies: BP, AD, CD. Code is below:

Kevin,

Thanks for the code for the other currencies ... they'll make it to the next build.

I'm not seeing the issue with delta that you were seeing. I haven't added the news currencies to the code yet, so I just calculated a couple EC and JY options with the current code to see what the differences were (I did not change the d1 variable either).

SPAN's results:
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Spreadsheet's results:
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Sorry, I'm not seeing the discrepancies.

With the settlement dates I was looking at the Feb and Mar options for EC and JY.

From OX Options Quotes:
Euro FX February 2014 Options (66 days to expiration) Expiration Date: 2/7/2014
Euro FX March 2014 Options (94 days to expiration) Expiration Date: 3/7/2014

From CME's Product Calendar:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


The Spreadsheet is reflecting the settlement date from the risk arrays. I looked at product calendars for CL, NG, GC, EC, JY, LC, LH on CME and KC and SB on ICE, and the only options I saw that had a last trade date that was different than the settlement was LH, so as far as I know only LH ROI would be affected (there may be others I didn't check yet).

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Old December 3rd, 2013, 09:00 PM   #94 (permalink)
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kevinkdog View Post
@Dudetooth -

Is there a way to enhance the error tracking for cases where the option is listed but has no open interest? Here is an example - the 3rd one in the list has no open interest (the first 2 have some open interest):

HOF4 HOF4 P 2.49 -1
HOF4 HOF4 P 2.5 -1
HOF4 HOF4 P 2.51 -1



The problem is once the macro stops, if you try running "portfolio" again, no results are given. You actually have to exit the spreadsheet, and start over. I'm guessing the first time through it is writing something "bad" to the temp sheet, and then when you re-run, no results are obtained.

Thanks!

I think you would need a different risk array.
S=*Settlement*cycle*–Settle*prices*for*all*products*with*OI*
C= Complete*cycle*–All*settle*price*for*all*products

So you'd want to download the cme.20131203.c.pa2.zip file ... code would need to change from s.pa2 to c.pa2, but that would be fairly easy. That file is about 3x the size of the s.pa2 (~150mb worth of text unzipped) ... not sure how much that will slow things down.

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Old December 3rd, 2013, 09:02 PM   #95 (permalink)
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Futures Edge on FIO

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@Dudetooth -

Try this one, based on 12/2/2013 settlement data:

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this shows delta>100, which can't be.

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Old December 3rd, 2013, 09:09 PM   #96 (permalink)
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kevinkdog View Post
@Dudetooth -

Try this one, based on 12/2/2013 settlement data:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



this shows delta>100, which can't be.

I know that in-the-money options should be no greater than 100, but PC-SPAN says the same thing as the spreadsheet:
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Just saying that I don't think it is the spreadsheet miscalculating ... at least not in this case.

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Old December 3rd, 2013, 09:12 PM   #97 (permalink)
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Dudetooth View Post
I know that in-the-money options should be no greater than 100, but PC-SPAN says the same thing as the spreadsheet:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Just saying that I don't think it is the spreadsheet miscalculating ... at least not in this case.



Very interesting! I would say that PC SPAN is wrong then, since delta can never be greater than 1.

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Old December 3rd, 2013, 09:16 PM   #98 (permalink)
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Dudetooth View Post
Kevin,

Thanks for the code for the other currencies ... they'll make it to the next build.

I'm not seeing the issue with delta that you were seeing. I haven't added the news currencies to the code yet, so I just calculated a couple EC and JY options with the current code to see what the differences were (I did not change the d1 variable either).

SPAN's results:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Spreadsheet's results:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Sorry, I'm not seeing the discrepancies.

With the settlement dates I was looking at the Feb and Mar options for EC and JY.

From OX Options Quotes:
Euro FX February 2014 Options (66 days to expiration) Expiration Date: 2/7/2014
Euro FX March 2014 Options (94 days to expiration) Expiration Date: 3/7/2014

From CME's Product Calendar:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


The Spreadsheet is reflecting the settlement date from the risk arrays. I looked at product calendars for CL, NG, GC, EC, JY, LC, LH on CME and KC and SB on ICE, and the only options I saw that had a last trade date that was different than the settlement was LH, so as far as I know only LH ROI would be affected (there may be others I didn't check yet).


Yes, you are correct. I had the incorrect date in Cell A1 - that date did not match the risk array date. My bad!

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Old December 3rd, 2013, 09:19 PM   #99 (permalink)
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kevinkdog View Post
I'm not sure what is going on then. Here is an example. The DTE in the spreadsheet shows 3 days difference. As of yesterday, the spreadsheet shows DTE=70, when it was actually 67 days to expiration.

The spreadsheet calculated by subtracting the date entered in A1 (the date of the risk file to download) from the settlement date in the risk file. So if you had Friday's date in A1 and did your calculation on Monday the spreadsheet would show 70 days where OX would be adjusting to Monday's date and giving you 67 days.

Perhaps that is what is going on.

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Old December 4th, 2013, 08:41 AM   #100 (permalink)
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I read through some of their material when I was researching the script language, but I somehow missed this part. With everything spelled out like this, I think you could eventually get Excel to do everything that PC-SPAN does.

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