PC-SPAN - Options on Futures | futures io social day trading
futures io futures trading


PC-SPAN
Updated: Views / Replies:51,222 / 478
Created: by ron99 Attachments:113

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 113  
 
Thread Tools Search this Thread
 

PC-SPAN

  #121 (permalink)
Trading Apprentice
Moscow Russia
 
Futures Experience: Intermediate
Platform: OX, OEC
Favorite Futures: Futures Options
 
Posts: 7 since Oct 2012
Thanks: 110 given, 0 received

Thank you, Dudetooth and Ron!
I manually downloaded cme.s.pa2 from CME site and renamed the nyb.20131210.s.pa2 to nyb.s.pa2. Now it seems to work OK!
I can edit VBA only following step by step instructions.

Reply With Quote
 
  #122 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,652 since Jul 2011
Thanks: 770 given, 4,582 received
Forum Reputation: Legendary

After reading what vp62 did, I checked the CME website and realized that there is a file named cme.s.pa2.zip that is the current file without the date in it. There is also an unzipped version too. cme.s.pa2

I did not know that.

Reply With Quote
 
  #123 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received


Does anyone happen to know what CME uses net delta for? This goes back to Kevin's observation that the delta seems too high for currencies when calculated by PC-SPAN. The delta in the risk arrays is referred to composite delta by CME. Depending on the market, the composite delta is multiplied by a scaling factor to create the net delta. I'm wondering if this net delta can be ignored when we are looking at finding the delta of a single position or simple spread.

Reply With Quote
 
  #124 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received

Margin Without PC-SPAN V3

Here's the latest spreadsheet with a few updates (just in time for the Holidays):
  • Added Aus Dollar, Brit Pound, Can Dollar, Soybean Meal, Soybeal Oil, Copper, T-Bills, T-Notes, Eurodollars (see Setup tab in spreadsheet for all commodities supported).
  • Modified the selection process so that you can now calculate for multiple options. Click + drag or ctrl + click to select your option(s). Run multiple calculations without running the entire portfolio or running each one at a time. The process will seem a little backwards at first: now you select the option(s) first and then click the button. 'Add to Portfolio' and Delete Selection' use the same selection method allowing you to use that feature on multiple options. Selection for the Spread Risk is done the old way (click button first and then select option).
  • No longer displaying the SPAN IM, SPAN MM and Total MM, just showing Total IM.
  • Now displaying the 'composite delta' for the individual option. As noted earlier in conversations, EC, JY, S, W, and C have their delta multiplied by a certain factor when run through PC-SPAN. From what I have been able to gather this is called 'net delta' by CME and is used when calculating for the offsetting of positions within a portfolio. 'Net delta' shouldn't really be a factor when analyzing individual options.
  • Added ROI to the calculated fields with the ability to adjust the multiple of IM you want held for that position.
  • Tried to streamline code to run a little faster by stopping Excel from making unnecessary calculations while running the code and grabbing more from the risk arrays rather than making calculations (a lot of what we need is right in the arrays).
  • Tried to trap most of the errors so that they cause the code to simply exit, except when running Portfolio Risk (errors will skip current line and continue). So if you calculate for an option and no data is populated it is likely that the option was not found (wrong month or strike).
  • Added some basic portfolio tools to track trades and delete old calculations.
  • Old pa2 files and their zips are deleted by default so you don't get a build-up in your folder.

I'm just supplying the 97/2003 version .xls to make things simpler.

I've run a couple of tests using options for each commodity that can be calculated in the spreadsheet at this time and I am pretty sure I have most of the bugs worked out. I've noticed that Total IM may be off from what is reported in PC-SPAN, but with the discrepancies I saw it was less than $1. As usual, please let me know if you find any issues and I will try to get them fixed.

Merry Christmas!

Margin Without PC-SPANv3.xls

Reply With Quote
The following 5 users say Thank You to Dudetooth for this post:
 
  #125 (permalink)
Trading Apprentice
Java/IN
 
Futures Experience: Beginner
Platform: TOS
Favorite Futures: gold
 
Posts: 12 since Nov 2013
Thanks: 2 given, 0 received

Dudetooth,

How is the spreadsheet you developed different from the pc-span software created by the exchange? Is the spreadsheet able to calculate able to compute span margins without the pc-span software installed? Thanks.

Reply With Quote
 
  #126 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,652 since Jul 2011
Thanks: 770 given, 4,582 received
Forum Reputation: Legendary

You don't need PC-SPAN to use Dudetooth's spreadsheet. And it works far easier than PC-SPAN.

Reply With Quote
 
  #127 (permalink)
Elite Member
Dallas, TX
 
Futures Experience: Advanced
Platform: T4, Zaner360, TOS
Broker/Data: DeCarley Trading
Favorite Futures: Options
 
Posts: 104 since Sep 2013
Thanks: 133 given, 50 received


ItalianBmT View Post
Dudetooth,

How is the spreadsheet you developed different from the pc-span software created by the exchange? Is the spreadsheet able to calculate able to compute span margins without the pc-span software installed? Thanks.

Like Ron said, you don't need the PC-SPAN software installed, BUT you DO need the PC-Span risk files. You'll notice in the spreadsheet a data field in the upper left corner of the spreadsheet next to the "Download Risk Arrays" button. You enter the most recent trading date (at least after 6pm Chicago time) and click on "Download Risk Arrays" button. This downloads the PC-Span risk files. Once you have that you should be able to use the spreadsheet to figure SPAN margins.

Reply With Quote
 
  #128 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received


ItalianBmT View Post
Dudetooth,

How is the spreadsheet you developed different from the pc-span software created by the exchange? Is the spreadsheet able to calculate able to compute span margins without the pc-span software installed? Thanks.

The spreadsheet also differs from PC-SPAN in that it is limited in what it can calculate. It cannot compute margin for complex spreads and for entire portfolios. The setup tab in the spreadsheet takes you step by step through what the spreadsheet can do.

Reply With Quote
 
  #129 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,652 since Jul 2011
Thanks: 770 given, 4,582 received
Forum Reputation: Legendary

I made a copy of Margin without PC SPAN for just ES weeklies and changed CalcRisk to look for 3 digits in con1 and added the product codes for EW and each weekly contract like EW1. I added a space after the 2 digit symbols and that worked OK for them. So ES and CL are working.

But it is not working for EW or EW1. It just comes back with the ES option not the EW or EW1 option.

ElseIf con1 = "ES " Then
str1 = "CMEES ES OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 SP"
strSearch3 = "4 SP"
strSearch4 = "B CMEES OOF201" & yr1 & umo1 & " 201" & yr2 & omo1
imm2 = 1
v1 = 0.5
ElseIf con1 = "EW " Then
str1 = "CMEEW ES OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 SP"
strSearch3 = "4 SP"
strSearch4 = "B CMEEW OOF201" & yr1 & umo1 & " 201" & yr2 & omo1
imm2 = 1
v1 = 0.5
ElseIf con1 = "EW1" Then
str1 = "CMEEW1 ES OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 SP"
strSearch3 = "4 SP"
strSearch4 = "B CMEEW1 OOF201" & yr1 & umo1 & " 201" & yr2 & omo1
imm2 = 1
v1 = 0.5

Note the code above does not show the correct number of spaces in lines. If you click on quote that shows the correct number of spaces in lines in this code.

Is it a mistake with this part of the code or somewhere else? If I use the PC SPAN program the EW & EW1 work OK with the same disk array.

Reply With Quote
 
  #130 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received



ron99 View Post
I made a copy of Margin without PC SPAN for just ES weeklies ...

Can you give a few examples of options you were looking to calculate (month/strike)?

Reply With Quote

Reply



futures io > > > > PC-SPAN

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

July Journal Challenge w/$1100 in prizes from TopstepTrader

July
 

An Afternoon with FIO member Softsoap

Elite only

Battlestations: Show us your trading desks and win $750 in prizes

August
 

Extended Ask Me Anything w/Brett Steenbarger

Elite only

Prototyping Python Strategies (part 3) w/Ran Aroussi

Elite only

Brannigan Barrett w/Axia Futures

Elite only

Introduction to Phillip Capital futures brokerage services

Aug TBD

How Monte Carlo Analysis Can Help Your Trading w/Kevin Davey

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Current PC Specs tderrick Tech Support 45 October 28th, 2012 03:40 PM
Any PC Gamers in here? forrestang Off-Topic 61 October 10th, 2012 02:37 PM
Virtual PC setup how? boze man Tech Support 5 September 8th, 2012 03:59 PM
I need PC help Boomer34 Tech Support 5 January 22nd, 2012 02:28 PM
PC Question NMTrader Off-Topic 0 July 12th, 2009 10:56 PM


All times are GMT -4. The time now is 10:45 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-07-27 in 0.07 seconds with 20 queries on phoenix via your IP 54.144.36.228