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PC-SPAN
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Created: by ron99 Attachments:118

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PC-SPAN

  #421 (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

FYI for some reason the delta that is on the XLS-SCAN Scan sheet, which comes from CME files, does not match the delta on CME's Daily Bulletin.

For example for Feb 16th the Daily Bulletin shows the delta for a June 1900 put as .044. But XLS-SPAN shows it as 4.61. I realize that .044 is the same as 4.40. But that is not the same as 4.61.

They both do have the same settlement price of 5.90.

Anybody know why?

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  #422 (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


ron99 View Post
FYI for some reason the delta that is on the XLS-SCAN Scan sheet, which comes from CME files, does not match the delta on CME's Daily Bulletin.

For example for Feb 16th the Daily Bulletin shows the delta for a June 1900 put as .044. But XLS-SPAN shows it as 4.61. I realize that .044 is the same as 4.40. But that is not the same as 4.61.

They both do have the same settlement price of 5.90.

Anybody know why?

From what I can gather, it is the difference between Current Delta and SPAN Composite Delta. SPAN Composite Delta is the base delta that is multiplied by a certain factor to get a "net delta" that CME uses in portfolio calculations. The risk arrays actually have both values, but for XLS-SPAN I decided to use the SPAN Composite Delta so that it would generate the same delta that you would see in PC-SPAN. The CME bulletins are posting the Current Delta.

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The following 2 users say Thank You to Dudetooth for this post:
 
  #423 (permalink)
Trading Apprentice
Toronto
 
Futures Experience: Advanced
Platform: IB
Favorite Futures: CL,NG,GC,ES
 
Posts: 5 since Aug 2015
Thanks: 3 given, 1 received

Is there a way to add Theta?


Dudetooth - Is there a way to add Theta to Track and Hist Data worksheets?

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  #424 (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


dkpmba View Post
Dudetooth - Is there a way to add Theta to Track and Hist Data worksheets?

It's already there, just select it from the drop-down of the header (cTheta). If that header is on the Track tab when you run the H-Track code it will be included on the Hist Data.

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Cheers

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  #425 (permalink)
Trading Apprentice
Toronto
 
Futures Experience: Advanced
Platform: IB
Favorite Futures: CL,NG,GC,ES
 
Posts: 5 since Aug 2015
Thanks: 3 given, 1 received


Dudetooth View Post
It's already there, just select it from the drop-down of the header (cTheta). If that header is on the Track tab when you run the H-Track code it will be included on the Hist Data.

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Cheers

Thanks, Dudetooth! I chime with others for this Great piece of work.

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  #426 (permalink)
Trading Apprentice
hong kong China
 
Futures Experience: None
Platform: NinjaTrader
Favorite Futures: Crude CL
 
Posts: 1 since Apr 2017
Thanks: 0 given, 0 received

PC SCAN error msg - attempted an unsupport operation

I am trying to get margin requirement of commodity option. but i get the error message - attempted an unsupport operation when i tag to " New portfolio ". How can i solve it ?

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  #427 (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


lawchan526 View Post
I am trying to get margin requirement of commodity option. but i get the error message - attempted an unsupport operation when i tag to " New portfolio ". How can i solve it ?

Sorry, I've never seen that error before ... then again I don't use PC-SPAN too much. If you step me through the specifics of what you are doing in PC-SPAN I'll try to help.

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  #428 (permalink)
Trading Apprentice
Java/IN
 
Futures Experience: Beginner
Platform: TOS
Favorite Futures: gold
 
Posts: 12 since Nov 2013
Thanks: 2 given, 0 received

Pardon me as I am unfamiliar with programming. I am using the v05 file but I am unable to get the download macro from working correctly. I got the error that the download from the server failed. I tried out multiple dates.

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  #429 (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


ItalianBmT View Post
Pardon me as I am unfamiliar with programming. I am using the v05 file but I am unable to get the download macro from working correctly. I got the error that the download from the server failed. I tried out multiple dates.

@ItalianBmT

Please try using XLS-SPAN v.05a ... it's easier for me to troubleshoot if we are on the same page.

Also, what dates did you try downloading? The only time I have seen the message that the download from the server failed was because a risk file for that date did not exist on CME or ICE.

Thanks

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  #430 (permalink)
Trading Apprentice
Java/IN
 
Futures Experience: Beginner
Platform: TOS
Favorite Futures: gold
 
Posts: 12 since Nov 2013
Thanks: 2 given, 0 received


I am using the version 5a and i had tested it across mutliple dates.

thanks in advance

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