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PC-SPAN
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Created: by ron99 Attachments:118

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PC-SPAN

  #381 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 216 since Sep 2012
Thanks: 26 given, 243 received


woodward View Post
In that case, @Dudetooth or anyone else, if you have any quick and ready insights into the mysterious format that you'd be willing to share, it would be appreciated. I can always comb through your code but having the CME file formats on hand made everything so snappy.

Just out of curiosity, this thread goes back a while, after ICE raised its rates, @ron99 was skeptical in post #370 about anyone continuing to trade their instruments. How is that playing out?

This is what I used to figure out their format: SPAN for ICE

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  #382 (permalink)
Trading Apprentice
Seoul Korea
 
Futures Experience: Beginner
Platform: None
Favorite Futures: None
 
Posts: 4 since Apr 2016
Thanks: 7 given, 6 received


Dudetooth View Post
This is what I used to figure out their format: SPAN for ICE

The @Dudetooth abides! Exactly what I was hoping for. Enormous respect for your work and everything you've contributed.

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  #383 (permalink)
Elite Member
Ukraine
 
Futures Experience: Beginner
Platform: Zaner360
Favorite Futures: Options on futures
 
Posts: 11 since May 2015
Thanks: 119 given, 6 received


Hi All!

First of all, thanks @Dudetooth for a great spreadsheet. This is a work of art, it helps a lot.

I am trying to figure out how to estimate the initial margin for ES spread, but can't figure out how to do it in the spreadsheet . I am using a @ron99 version of the PC-Span spreadsheet.

My steps:

1. Choose two strikes from the "Scanner"
2. Click send to the tracker
3.Highlight two rows with both strikes
4. Attach the same number under S1 column, e.g 1 on both
5. Press track spread

I have had few attempts to estimate the initial margin for the following contracts in the spreadsheet:

Sell -1 ESZ6 P1660 4.98 delta
Buy +2 ESZ6 P1410 1.53 delta

I have got $210 as for initial margin per one spread as for August 2, 2016.

I have 20160802 in both cells designed to track historic data.

Secondly, i have downloaded a Ron's version of a PC-Span spreadsheet where ES-mini Weekly Options are included in "required format" list by defaultt, although what symbols should i type in the scanner paget so that it would scan a ES-mini weekly options?

I am typing

Futures month: EW3
Min DTE:20
Max DTE:140
Min value: $20
Max Delta: 10
Min ROI: 2%

I am looking for EW3V6 option ( expires on 31 October 2016 )

Eventually, the result would not come up?
Am i doing something wrong here?

Many thanks, Jerard

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  #384 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 216 since Sep 2012
Thanks: 26 given, 243 received


Jerard View Post
I have had few attempts to estimate the initial margin for the following contracts in the spreadsheet:

Sell -1 ESZ6 P1660 4.98 delta
Buy +2 ESZ6 P1410 1.53 delta

I have got $210 as for initial margin per one spread as for August 2, 2016.

I am getting $210 for the spread's IM as well.


Jerard View Post
I am looking for EW3V6 option ( expires on 31 October 2016 )

Are you looking to scan for EW3V6 options are you looking to find a particular one? I don't have Ron's version handy, but I believe that there is a cell for a date on the Scan tab as well ... if you are scanning and you don't have that date correct you might not get what you are looking for.


Last edited by Dudetooth; August 3rd, 2016 at 10:16 AM. Reason: changed comment
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  #385 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary


Jerard View Post
Secondly, i have downloaded a Ron's version of a PC-Span spreadsheet where ES-mini Weekly Options are included in "required format" list by defaultt, although what symbols should i type in the scanner paget so that it would scan a ES-mini weekly options?

I am typing

Futures month: EW3
Min DTE:20
Max DTE:140
Min value: $20
Max Delta: 10
Min ROI: 2%

I am looking for EW3V6 option ( expires on 31 October 2016 )

Eventually, the result would not come up?
Am i doing something wrong here?

Many thanks, Jerard

Did you get any options? I did it using your parameters and I only got 5 options. EW3V6 1880-1900. That was because all lower strikes were lower than 2% ROI.

Lower your Min ROI and you will get more options.

Also make sure you have 20160802 in cell G1.

The Futures symbol (column A) would need to be EW3.

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  #386 (permalink)
Elite Member
Ukraine
 
Futures Experience: Beginner
Platform: Zaner360
Favorite Futures: Options on futures
 
Posts: 11 since May 2015
Thanks: 119 given, 6 received

Futures are lower today. Zaner360 margin calculator showed me a $361 for this spread. I have heard that margin calculators ,and in particular on Zaner360, are not the most accurate to estimate the initial margin, however i'm really curios if margin increased from yesterday settlement more than 1.5 times...

Well, i am literally typing EW1 in scanner. I have added all of EW symbols ( e.g. EW1- EW4 )... and it worked. I am guessing i have typed something else out there.

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  #387 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 216 since Sep 2012
Thanks: 26 given, 243 received


Jerard View Post
Futures are lower today. Zaner360 margin calculator showed me a $361 for this spread. I have heard that margin calculators ,and in particular on Zaner360, are not the most accurate to estimate the initial margin, however i'm really curios if margin increased from yesterday settlement more than 1.5 times...

Some brokerages charge SPAN IM + the value of the position, or Total IM. Yesterday's Total IM for that spread was $340 ($210 SPAN IM + $130 value of spread).

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  #388 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary

This is what I just got for that spread using Zaner360

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I get 204.60 for IM. So if you add the 204.60 plus the option value of 57.50 you get 262.10. So Zaner includes the option value in the IM.

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  #389 (permalink)
Elite Member
Ukraine
 
Futures Experience: Beginner
Platform: Zaner360
Favorite Futures: Options on futures
 
Posts: 11 since May 2015
Thanks: 119 given, 6 received


ron99 View Post
This is what I just got for that spread using Zaner360

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I get 204.60 for IM. So if you add the 204.60 plus the option value of 57.50 you get 262.10. So Zaner includes the option value in the IM.

The margin i have got from Zaner360 is based on the contract that expires on 16 December. The margin i was referring to is not for EW3 options, but for ESZ6 contract.

Currently for the spread -1 OESZ6 P1660 and +2 OESZ6 P1410 the initial margin is $340. Net option value is $130 respectively. Therefore the spreadsheet shows a SPAN margin $210,less net option value.


You asked what options did i get from the spreadsheet.
The thing is, i am only getting EW1 and EW4 options. I have neither EW2 nor EW3 options. I don't know why is that.

I can not make a screenshot since i am using windows on a Mac and there is no PrtScreen button on the keyboard.

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  #390 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary



Jerard View Post
The margin i have got from Zaner360 is based on the contract that expires on 16 December. The margin i was referring to is not for EW3 options, but for ESZ6 contract.

Currently for the spread -1 OESZ6 P1660 and +2 OESZ6 P1410 the initial margin is $340. Net option value is $130 respectively. Therefore the spreadsheet shows a SPAN margin $210,less net option value.


You asked what options did i get from the spreadsheet.
The thing is, i am only getting EW1 and EW4 options. I have neither EW2 nor EW3 options. I don't know why is that.

I can not make a screenshot since i am using windows on a Mac and there is no PrtScreen button on the keyboard.

Sorry about me using Oct and not Dec.

I think the version of XLS-SPAN of mine you are using was created before the EW3 contract started being used. You can either download Dudetooth's latest version or you can request me to post my current version which works for EW3.

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