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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.
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.
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?
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 don’t 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.
