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PC-SPAN
Started: by ron99 Views / Replies:46,723 / 426
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PC-SPAN

  #71 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
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kevinkdog View Post
This is a great tool, @Dudetooth ! Thanks for putting it together.


I was running some Lean Hog calcs, and the price seems to be wrong for some of them. Everything else looks OK. Can you check this? I don;t know if it is an error in the SPAN file, but the OEX margin calculator seems to give the right price.

Thanks


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At 87 the price goes to over 1.000 and to 4 digits from less than 1.000 and only 3 digits.

EDIT I noticed that on the Temp worksheet cell A12 has this statement
=IF(U5>1000,5,U5)

That is where the 5 is coming from. I don't know why that is there. Cell U5 does have the correct price.


Last edited by ron99; December 1st, 2013 at 01:58 PM.
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  #72 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
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kevinkdog View Post
I was running some Lean Hog calcs, and the price seems to be wrong for some of them.

You're welcome ... glad it is a help.

Got the issue:
1- Go to the Temp page, cell A12
2- Replace the formula with this one: =IF(U5>9999990,5,U5)

SPAN is odd that when an option is cabinet: they give it a value of 9999999 instead of 0. This is just how the spreadsheet takes care of that. Before Lean Hogs were added the formula =IF(U5>1000,5,U5) would have handled it, but this will work better. I have only tested this on cabinet positions in ES and EC (should work in other currencies) ... not really sure if there are other markets that have cabinet positions.

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  #73 (permalink)
Elite Member
Cleveland Ohio/United States
 
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Dudetooth View Post
You're welcome ... glad it is a help.

Got the issue:
1- Go to the Temp page, cell A12
2- Replace the formula with this one: =IF(U5>9999990,5,U5)

SPAN is odd that when an option is cabinet: they give it a value of 9999999 instead of 0. This is just how the spreadsheet takes care of that. Before Lean Hogs were added the formula =IF(U5>1000,5,U5) would have handled it, but this will work better. I have only tested this on cabinet positions in ES and EC (should work in other currencies) ... not really sure if there are other markets that have cabinet positions.

Thanks! What is a cabinet position? Does that mean a zero price?

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  #74 (permalink)
Market Wizard
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kevinkdog View Post
Thanks! What is a cabinet position? Does that mean a zero price?

Cabinet is zero at OX but it is half a tick at most other firms. LH, LC, ES have cabinet positions. Probably others.

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  #75 (permalink)
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kevinkdog View Post
Thanks! What is a cabinet position? Does that mean a zero price?

From CME's site:
Cabinet Price
Nominal price for liquidating deep-out-of-the-money options contracts. Defined as the lowest possible tradable price for this option, and is determined within the Clearing System. Trades on options done at a price equal to zero are considered cabinet trades.


On statements I get from RJO they will list positions as cabinet when they get to a point where they are practically worthless. Not sure if they can still be traded at that point.

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  #76 (permalink)
Market Wizard
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It is possible to trade at cabinet. I have done it.

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  #77 (permalink)
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algorithm for initial margin

Dudetooth,

Thanks for developing this software. Can you describe for me your algorithm for finding the Margin in the cme settlement's file, (such as: cme.20131129.s.pa2.zip). I don't use Excel, and I want to write my own Python program that can extract the information myself. (I'll post it here after I'm done so others can use it.)

I know that the file itself, when unzipped is a normal text file. However there are a number of fields per line. From reading the thread it seems that you pull the maintenance margin from the file and then calculate the initial margin using the options price information. Is that correct?

Thanks in advance.

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  #78 (permalink)
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enderqa View Post
Can you describe for me your algorithm for finding the Margin in the cme settlement's file, (such as: cme.20131129.s.pa2.zip) ... From reading the thread it seems that you pull the maintenance margin from the file and then calculate the initial margin using the options price information. Is that correct?

I'd gather that you are looking for a step-by-step on how this is done within the spreadsheet. That will take me a little bit to jot down in a narrative form to show you where the data is within risk arrays and explain the process. If you give me some time, I'll see what I can come up with.

Even though you donít use Excel, if you can look through the spreadsheet and its VBA code some of the process may make sense with your ability to program in Python.

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  #79 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Favorite Futures: Options on Futures
 
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enderqa View Post
From reading the thread it seems that you pull the maintenance margin from the file and then calculate the initial margin using the options price information. Is that correct?

He takes the IM & MM and adds the option price to get Total IM & Total MM.

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  #80 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,469 since Jul 2011
Thanks: 689 given, 4,201 received
Forum Reputation: Legendary


I just noticed that PC-SPAN uses the settlement date and not the expiration or last trade date.

For example, LHG4 options expiration or last trade date is 2/14/14. Settlement date is 2/19/14.

So the DTE in our spreadsheet uses the 2/19 not the 2/14.

I also just noticed that QST lists 2/14 as the expiration date but OX lists 2/19. Futures last trading day is 2/14.

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