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


PC-SPAN
Updated: Views / Replies:53,096 / 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

  #171 (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


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.

Reply With Quote
 
  #172 (permalink)
Trading for Fun
St Paul, MN, USA
 
Futures Experience: Advanced
Platform: Abacus
Broker/Data: RJO, Interactive Brokers
Favorite Futures: Commodity Futures & Options
 
Posts: 196 since Jan 2014
Thanks: 117 given, 191 received

^

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 02:49 PM.
Reply With Quote
 
  #173 (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



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).

Reply With Quote
The following user says Thank You to Dudetooth for this post:
 
  #174 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,720 received
Forum Reputation: Legendary

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.

Reply With Quote
 
  #175 (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
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.

Reply With Quote
The following user says Thank You to Dudetooth for this post:
 
  #176 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,720 received
Forum Reputation: Legendary


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.

Reply With Quote
 
  #177 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,720 received
Forum Reputation: Legendary

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.

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

Reply With Quote
 
  #178 (permalink)
Trading for Fun
Lancashire UK
 
Futures Experience: Intermediate
Platform: Tradestation, Interactive Brokers, OX
Favorite Futures: ES Z CL EURJPY
 
Posts: 52 since Jan 2013
Thanks: 42 given, 30 received

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.

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



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

Reply With Quote
 
  #179 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,363 since Jul 2012
Thanks: 1,112 given, 4,293 received
Forum Reputation: Legendary


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.

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



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

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread

Last edited by kevinkdog; February 26th, 2014 at 09:36 AM. Reason: typo, thanks Ron99
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #180 (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



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.

Reply With Quote
The following 3 users say Thank You to Dudetooth for this post:

Reply



futures io > > > > PC-SPAN

Thread Tools Search this Thread
Search this Thread:

Advanced Search



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

FuturesTrader71: TBA

Elite only

Al Brooks: TBA

Elite only

Jigsaw Trading: TBA

Oct 19

RandBots: TBA

Oct 24
     

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 01:13 AM.

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 2017-09-24 in 0.13 seconds with 20 queries on phoenix via your IP 54.198.52.8