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PC-SPAN
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Created: by ron99 Attachments:118

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PC-SPAN

  #451 (permalink)
Elite Member
Steubenville Ohio
 
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Ok, I'm following you now.

SOM and initial to maintenance ratio are both constants, or at least they change very rarely. For ES SOM is $35 and initial to maintenance ratio is 110%.

You would just need the 16 risk scenarios for each option in your database. You could add lines in the WriteResults routine to get R1-R16 to show up on the spreadsheet and it should work out the way you are looking to use it.

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  #452 (permalink)
Trading for Fun
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I was able to extract the necessary data and match what XLS-Span is calculating as a spread margin.

If others are interested, the formula for the SPAN initial margin on spreads is:

IMSpread = Init Maint Ratio * MAX(Short Minimum * # of short positions, Weighted R1 through R16)

Where,
  • Initi Maint Ratio is typically 1.1
  • Short Minimum is now $37 but can change
  • Weighted R# is R# scenario result multiplied by -number of positions (so if you sell 2 options and you therefore have -2 positions, you multiply by 2, not -2) for each option and then added together for each R#. Do this for each R# from 1 to 16 and take the maximum of those results or the Short Minimum value * the number of short positions.

An example on the weighted R. Say you are selling 1 option A and buying 2 option B. So number of positions for A is -1 and number of positions for B is +2. R1 value for A is 100 and for B it's 25. Weighted R1 is 100 * -(-1) + 25 * -(2) = 50.

For those interested in the coding changes I made to extract this data, here they are:
In the WriteResults subroutine, define the following variables:
Dim colSOM As Integer, colMaintRatio As Integer, colR1 As Integer, colR2 As Integer, colR3 As Integer, colR4 As Integer
Dim colR5 As Integer, colR6 As Integer, colR7 As Integer, colR8 As Integer, colR9 As Integer, colR10 As Integer
Dim colR11 As Integer, colR12 As Integer, colR13 As Integer, colR14 As Integer, colR15 As Integer, colR16 As Integer
Then add the following to find the columns in which to populate the results. Note that you'll need to include column headers in the appropriate sheet that match the names below. For example, if you want R1, you need to add a column header in the "Scan" tab that says "Risk Scen 1".
'*********** Find column headers for intermediate spread IM, skip if not found
colSOM = getColumn("Short Min")
colMaintRatio = getColumn("Init Maint Ratio")
colR1 = getColumn("Risk Scen 1")
colR2 = getColumn("Risk Scen 2")
colR3 = getColumn("Risk Scen 3")
colR4 = getColumn("Risk Scen 4")
colR5 = getColumn("Risk Scen 5")
colR6 = getColumn("Risk Scen 6")
colR7 = getColumn("Risk Scen 7")
colR8 = getColumn("Risk Scen 8")
colR9 = getColumn("Risk Scen 9")
colR10 = getColumn("Risk Scen 10")
colR11 = getColumn("Risk Scen 11")
colR12 = getColumn("Risk Scen 12")
colR13 = getColumn("Risk Scen 13")
colR14 = getColumn("Risk Scen 14")
colR15 = getColumn("Risk Scen 15")
colR16 = getColumn("Risk Scen 16")
And finally write the results.
'*********** Write spread IM intermediate values
If colSOM > 0 Then Cells(iFillRow, colSOM) = clsOpt.PosShortMin: Cells(iFillRow, colSOM).NumberFormat = "#0.0#"
If colMaintRatio > 0 Then Cells(iFillRow, colMaintRatio) = clsOpt.InitialRatio: Cells(iFillRow, colMaintRatio).NumberFormat = "#0.0#"
If colR1 > 0 Then Cells(iFillRow, colR1) = clsOpt.r1: Cells(iFillRow, colR1).NumberFormat = "#0.0#"
If colR2 > 0 Then Cells(iFillRow, colR2) = clsOpt.R2: Cells(iFillRow, colR2).NumberFormat = "#0.0#"
If colR3 > 0 Then Cells(iFillRow, colR3) = clsOpt.R3: Cells(iFillRow, colR3).NumberFormat = "#0.0#"
If colR4 > 0 Then Cells(iFillRow, colR4) = clsOpt.R4: Cells(iFillRow, colR4).NumberFormat = "#0.0#"
If colR5 > 0 Then Cells(iFillRow, colR5) = clsOpt.R5: Cells(iFillRow, colR5).NumberFormat = "#0.0#"
If colR6 > 0 Then Cells(iFillRow, colR6) = clsOpt.R6: Cells(iFillRow, colR6).NumberFormat = "#0.0#"
If colR7 > 0 Then Cells(iFillRow, colR7) = clsOpt.R7: Cells(iFillRow, colR7).NumberFormat = "#0.0#"
If colR8 > 0 Then Cells(iFillRow, colR8) = clsOpt.R8: Cells(iFillRow, colR8).NumberFormat = "#0.0#"
If colR9 > 0 Then Cells(iFillRow, colR9) = clsOpt.R9: Cells(iFillRow, colR9).NumberFormat = "#0.0#"
If colR10 > 0 Then Cells(iFillRow, colR10) = clsOpt.R10: Cells(iFillRow, colR10).NumberFormat = "#0.0#"
If colR11 > 0 Then Cells(iFillRow, colR11) = clsOpt.R11: Cells(iFillRow, colR11).NumberFormat = "#0.0#"
If colR12 > 0 Then Cells(iFillRow, colR12) = clsOpt.R12: Cells(iFillRow, colR12).NumberFormat = "#0.0#"
If colR13 > 0 Then Cells(iFillRow, colR13) = clsOpt.R13: Cells(iFillRow, colR13).NumberFormat = "#0.0#"
If colR14 > 0 Then Cells(iFillRow, colR14) = clsOpt.R14: Cells(iFillRow, colR14).NumberFormat = "#0.0#"
If colR15 > 0 Then Cells(iFillRow, colR15) = clsOpt.R15: Cells(iFillRow, colR15).NumberFormat = "#0.0#"
If colR16 > 0 Then Cells(iFillRow, colR16) = clsOpt.R16: Cells(iFillRow, colR16).NumberFormat = "#0.0#"
Thanks.


Last edited by TFOpts; May 17th, 2017 at 03:52 PM. Reason: To correct typos
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  #453 (permalink)
Market Wizard
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TFOpts, could you attach your XLS-SPAN Excel file with the changes you made? Give it another name other than what Dudetooth gave to his.

This looks like it could be valuable. Thanks

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  #454 (permalink)
Trading for Fun
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ron99 View Post
TFOpts, could you attach your XLS-SPAN Excel file with the changes you made? Give it another name other than what Dudetooth gave to his.

This looks like it could be valuable. Thanks

See attached. My programming skills are not nearly as advanced as Dudetooth but I tried to stay true to the XLS-SPAN architecture. The new fields start in column AC of the "Scan" tab.

Attached Files
Register to download File Type: zip XLS-SPAN (05a)_SprdIM.zip (281.9 KB, 7 views)

Last edited by TFOpts; May 17th, 2017 at 10:46 PM. Reason: Update Attachment
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  #455 (permalink)
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ron99 View Post
I don't think your Excel file is there. I doubt it could only be 22 bytes. I get nothing when I try to download it.

@ron99. My mistake, thanks for pointing this out; the attachment has been updated.

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  #456 (permalink)
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@Dudetooth,

Do you know if there is volume data in the CME output used in XLS-SPAN? I'm looking at higher DTE strategies (140+) but I'm not sure how viable these strategies are if there is very little activity in longer term options.

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  #457 (permalink)
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Negative, pa2 files have no volume info ... Sorry. I'm not sure where you'd find that historically. You may just have to look at current volume for high DTE options to see if it is viable.

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  #458 (permalink)
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Dudetooth View Post
You mat need to change:
Private Function SaveWebFile to Private PtrSafe Function SaveWebFile

or perhaps:
Dim lngRetVal As Long to Dim lngRetVal As LongPtr

I'm afraid I won't be of much help with actually troubleshooting the code, but this may help:
https://msdn.microsoft.com/library/gg264421.aspx

It looks like there are a limited number of areas where you may encounter errors running VBA in Office 64-bit according to the article above. It would seem as though if you change the declarations that you should be OK.

Hope this helps.

Thanks Dudetooth. But unfortunately this doesn't solve the issue even when adding PtrSafe. Thanks anyway and I shan't disturb you further. Hopefully others who are using 64 bit version could chime in if they experience similar instance on their machine?

Thanks.

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  #459 (permalink)
Trading for Fun
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Futures Experience: Beginner
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Additional data from CME was provided for the first trading day of each month from 5/1/08 to 4/1/09. The hope was to understand how different strategies would have behaved during a recession.

The files provided by CME are attached. A review of the compatibilty with XLS-SPAN is still ongoing. One thing Ron found was that by changing the name from ccl to cme he was able to scan in the data into XLS-SPAN but was not able to use the tracking functionality of the tool.

There's an active project to add SPAN historical data to Datamine (CME's database service) with an estimated completion date of late 2017.

Note: this is a cross-post with this: https://futures.io/options-futures/12309-selling-options-futures-606.html#post641978. It is more appropriate in this thread.

Attached Files
Register to download File Type: zip ccl.20090202.s.zip (20.67 MB, 3 views)
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  #460 (permalink)
Market Wizard
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Futures Experience: Advanced
Platform: QST
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Favorite Futures: Options on Futures
 
Posts: 2,720 since Jul 2011
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TFOpts View Post
Additional data from CME was provided for the first trading day of each month from 5/1/08 to 4/1/09. The hope was to understand how different strategies would have behaved during a recession.

The files provided by CME are attached. A review of the compatibilty with XLS-SPAN is still ongoing. One thing Ron found was that by changing the name from ccl to cme he was able to scan in the data into XLS-SPAN but was not able to use the tracking functionality of the tool.

There's an active project to add SPAN historical data to Datamine (CME's database service) with an estimated completion date of late 2017.

Note: this is a cross-post with this: https://futures.io/options-futures/12309-selling-options-futures-606.html#post641978. It is more appropriate in this thread.

I tested these files with CME's PC-SPAN program. They work with that program.

These files are for CME grains, equity, meats, dairy, & currencies. They do not contain NYMEX (energies) or COMEX (metals) products.

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