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PC-SPAN
Started:October 23rd, 2013 (09:36 AM) by ron99 Views / Replies:41,553 / 403
Last Reply:November 19th, 2016 (08:49 AM) Attachments:100

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PC-SPAN

Old February 9th, 2014, 07:35 AM   #171 (permalink)
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CafeGrande View Post
Thanks again! Very impressive. I think adding the volatility measures can help everyone become a better risk manager, if not trader.

One question: Does the PC-SPAN documentation tell you how many trading days are used for the historical volatility (HV) calculation, and does the day count vary across exchanges?

Good question ... I can't find any mention on how HV is calculated (within the pa2 files under the Type B record it is referred to as "Base Volatility"). I couldn't find any mention from either CME or ICE, but my understanding is that however they calculate it, that methodology is the same across the exchanges that use SPAN.

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Old February 10th, 2014, 03:43 PM   #172 (permalink)
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^

Thanks. I couldn't get the Mar Nat Gas Hist Vol figure from Friday to match with common 20, 40, or 50 day HV measures, so maybe they're using an oddball day count. I can figure that out with trial and error and see if it applies to the other products. I think (hope) they're using the standard HV method based on "close only" - it could get more difficult if they're using one of the methods based on daily ranges. Anyway, not a big deal, it's nice to have the HV number in there.

Quick question about the columns that appear to be unused (see image). I made a 'work copy' and I'm messing around with some sample trades, making some format changes and so on. I noticed in a spread calculation that column F populates, so I'll leave that one alone, but could I...

- hide column G?
- insert an aggregate Delta (No. of contracts x per contract Delta) in column AE?
- insert my percent OTM calculation in column AF?

...without messing things up?

Again, great tool and I appreciate all the effort that went into it.

Attached Thumbnails
PC-SPAN-capture.png  

Last edited by CafeGrande; February 10th, 2014 at 03:49 PM.
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Old February 10th, 2014, 07:45 PM   #173 (permalink)
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CafeGrande View Post
I couldn't get the Mar Nat Gas Hist Vol figure from Friday to match with common 20, 40, or 50 day HV measures, so maybe they're using an oddball day count. I can figure that out with trial and error and see if it applies to the other products. I think (hope) they're using the standard HV method based on "close only" - it could get more difficult if they're using one of the methods based on daily ranges.

Whatever their methodology, it appears to change throughout the day. I just took a quick look at the mid-day snapshot (i.pa2) for the 7th and it showed 70.88% for the NGH4 where the settlement showed 62.4%. That's kind of bugging me now. Please let me know if you figure it out.


CafeGrande View Post
Quick question about the columns that appear to be unused (see image). I made a 'work copy' and I'm messing around with some sample trades, making some format changes and so on. I noticed in a spread calculation that column F populates, so I'll leave that one alone, but could I...

- hide column G?
- insert an aggregate Delta (No. of contracts x per contract Delta) in column AE?
- insert my percent OTM calculation in column AF?

On the Tracker tab there is no data that gets populated into column G, so hiding it will not mess anything up ... nor will adding your calculations to columns AE and AF. The only thing would be if you go to delete an option it will only erase over to column AD ... that would have to be adjusted within the code (let me know if you need help with that).

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Old February 10th, 2014, 10:53 PM   #174 (permalink)
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When I try to copy a worksheet from my master sheet to XLS-SPAN I get a message saying that the XLS-SPAN does not have as many rows and columns as my worksheet and it refuses to copy the sheet.

Is there a way to make it work? Otherwise it is telling me to copy and paste the cells which would take more time.

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Old February 11th, 2014, 07:47 AM   #175 (permalink)
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ron99 View Post
When I try to copy a worksheet from my master sheet to XLS-SPAN I get a message saying that the XLS-SPAN does not have as many rows and columns as my worksheet and it refuses to copy the sheet.

Is there a way to make it work? Otherwise it is telling me to copy and paste the cells which would take more time.

I believe it is because it is currently an Excel 97-2003 worksheet which limits the rows and columns (I was doing that for compatibility issues). I'm gathering you have Office 2007 or 2010 ... if your open XLS-SPAN and save it as an Excel Macro-Enabled worksheet, close it and reopen it you should be good to go. Max row will go from 65536 to1048576 ... max column will go from IV to XFD.

Hope this helps.

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Old February 11th, 2014, 10:39 AM   #176 (permalink)
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Dudetooth View Post
I believe it is because it is currently an Excel 97-2003 worksheet which limits the rows and columns (I was doing that for compatibility issues). I'm gathering you have Office 2007 or 2010 ... if your open XLS-SPAN and save it as an Excel Macro-Enabled worksheet, close it and reopen it you should be good to go. Max row will go from 65536 to1048576 ... max column will go from IV to XFD.

Hope this helps.

My XLS-SPAN was in compatibility mode. After I converted it, it worked. Thanks.

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Old February 13th, 2014, 04:31 PM   #177 (permalink)
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I found out that if you are using Tracker in XLS-SPAN, that you can change the date on the Scanner page (cell G1) and Tracker will run the data using that date (provided you have that day's array in your folder). It doesn't use the current report.

So if you want to see what the margin and premium was for your options in Tracker 5 days ago for example, just change the date and run it.

Here I ran Tracker for 20140207 and then copied and pasted the options below that set in columns A:E and ran Track Select for the 2nd set using the date 20140212.

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Old February 26th, 2014, 10:26 AM   #178 (permalink)
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Initial Margin

This is a wonderful tool Dudetooth. Thanks for sharing your work.

A question. On the Scanner sheet HEJ4 86P has an Initial Margin of $164. I understand that this is the exchange minimum.

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At OptionsXpress the Initial Requirement for LHJ486P is $124.20.

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Since OX can't charge less than exchange minimum I must be misunderstanding something here. Can anyone help me out?


Thanks,

Chris

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Old February 26th, 2014, 10:31 AM   #179 (permalink)
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MGBRoadster View Post
This is a wonderful tool Dudetooth. Thanks for sharing your work.

A question. On the Scanner sheet HEJ4 86P has an Initial Margin of $164. I understand that this is the exchange minimum.

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At OptionsXpress the Initial Requirement for LHJ486P is $124.20.

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


Since OX can't charge less than exchange minimum I must be misunderstanding something here. Can anyone help me out?


Thanks,

Chris

You are seeing SPAN + Value. There is an option on the setup sheet to show that or just IM. Select "Span" on that page, rerun and you should see $124. If you don't, try redownloading the data file.

My spreadsheet shows $124

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Last edited by kevinkdog; February 26th, 2014 at 10:36 AM. Reason: typo, thanks Ron99
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Old February 26th, 2014, 11:57 AM   #180 (permalink)
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kevinkdog View Post
You are seeing SPAN + Initial Margin. There is an option on the setup sheet to show that or just IM. Select "Span" on that page, rerun and you should see $124. If you don;t try redownloading the data file.

My spreadsheet shows $124

Chris,

As Kevin pointed out, the spreadsheet is set by default to calculate Total IM, which is the SPAN IM plus the net option value. SPAN IM will always be lower and give you a better ROI, but a word of caution ... make sure you know how your brokerage is calculating your margin requirements.

For example, at OX you can use either formula when looking at your overall margin requirements (what will drive a potential margin call):
1- Total Cash (account balance) - Total IM (SPAN IM + net option value)
2- Account Value (liquidation value, or Total Cash - net option value) - SPAN IM

They both incorporate the current net option value in the calculations. On the example you posted, OX listed $124 as the IM, but you'll see $164 listed as the Total Requirements, which is the same thing as Total IM.

For me, it is easier to track Total Cash (which changes only when a transaction occurs) - Total IM. Plus, since the net option value is being used when determining potential margin calls at the firms is use, I feel Total-IM is more accurate when calculating ROI.

My two cents worth.

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