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  #491 (permalink)
 jokertrader 
NYC, NY
 
Experience: Intermediate
Platform: Sierra, TT
Broker: N/A
Trading: Spread Researcher and crypto degen
Posts: 654 since May 2013
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That would be awesome will pm u u have been an inspiration to so many here and thank you for that


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  #492 (permalink)
 Dudetooth 
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
Posts: 266 since Sep 2012
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jokertrader View Post
Sorry for a slight off topic question. Trying to get historic settlement or end of day data for exchange traded crude calendar spreads say for at least 4 years. can I do that somewhere somehow? I have sierra and cqg I can load individual individual months for past data one by one, use the spreadsheet study then export and then calculate the spread but is there a better way? So as example I can load June 2015 symbol ad then Dec 2015 then extract and calculate the difference but any ready way to get data readily for the 6 month exchange spread from CME?

In the sub GetIM_ROI change the portion of your code as such (hides If clsOpt.OptType and End If lines):

'*********** Spread Calculations
If calcType = 3 Then
' If clsOpt.OptType <> " " Then '##### mod 2.3
dicFut(i)("SprdValue") = dicFut(i)("SprdValue") + clsOpt.PosValue
' End If
dicFut(i)("SprdPrice") = dicFut(i)("SprdPrice") + clsOpt.PosPrice
dicFut(i)("SprdNumber") = dicFut(i)("SprdNumber") + Abs(iPos)
dicFut(i)("SprdDelta") = dicFut(i)("SprdDelta") + clsOpt.PosDelta
If iArrPos = totOpt Then
dicFut(i)("SprdNet") = dicFut(i)("SprdValue") - (dicFut(i)("SprdNumber") * dFees)
End If
End If


It looks to calculate the values and margin, but I haven't done thorough tests. Then you could do a Historic Track.

Update: margin seems to be off because of the way margin is calculated for calendar spreads.

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  #493 (permalink)
peternguyen
Ho Chi Minh City
 
Posts: 11 since Dec 2017
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Hi everyone,
I'm new to Future Option selling. I have been reading the book by James Cordier The Complete Guide to Option Selling.
I have tried 4 trades and sadly 3 go in the money and I sustain heavy losses.
The problem is I'm using Saxo Capital and I don't know if they charge SPAN margin or not. But if I want to sell option Too far out of the money, my premium is very little, below $50 for a 3 month trade with margin requirement of $1350 in the case of Brent Crude for example. I have to go close to the current price in order to earn enough margin (my aim is 10% Premium on Margin for a 3-4 month contract and usually the market can easily move against me.

Their margin requirement for Option on Future is usually 50% of the margin on Future Contract. For example Brent Crude Future Option margin is $1350 overnight, E-mini S&P is $2250, Wheat is $475.

Can you tell me if they are chargin SPAN margin? Which brokers can you recommend that charge SPAN margin? How much should SPAN Margin be for a Brent Crude short put?

In doubt and seriously need help.
Thanks

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  #494 (permalink)
 Dudetooth 
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
Posts: 266 since Sep 2012
Thanks Given: 30
Thanks Received: 274


peternguyen View Post
Can you tell me if they are chargin SPAN margin? Which brokers can you recommend that charge SPAN margin? How much should SPAN Margin be for a Brent Crude short put?

If you give us a contract and strike you are talking about we should be able to give you what the SPAN margin should be.

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  #495 (permalink)
peternguyen
Ho Chi Minh City
 
Posts: 11 since Dec 2017
Thanks Given: 5
Thanks Received: 0


Dudetooth View Post
If you give us a contract and strike you are talking about we should be able to give you what the SPAN margin should be.

For example this is from SaxoCapital:
E-mini S&P 500 Put March 2018 (91 days) Strike 2000: the margin is $2250, Premium is only $87.50
Henry Hub Natural Gas Call March 2018 (70 days) Strike 4000: the margin is $1100, Premium is $140

They charge a fixed margin, usually 50% of Future margin, which is a preset amount. The margin doesn't depend on the Strike or how far the contract is.

Thanks

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  #496 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785


peternguyen View Post
For example this is from SaxoCapital:
E-mini S&P 500 Put March 2018 (91 days) Strike 2000: the margin is $2250, Premium is only $87.50
Henry Hub Natural Gas Call March 2018 (70 days) Strike 4000: the margin is $1100, Premium is $140

They charge a fixed margin, usually 50% of Future margin, which is a preset amount. The margin doesn't depend on the Strike or how far the contract is.

Thanks

This is first time I have ever heard of margin for options being fixed amount from futures margin and strike and month don't matter. Are you sure? If so then find another place to trade.

I also suggest your read these threads to learn more about selling options



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  #497 (permalink)
 Dudetooth 
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
Posts: 266 since Sep 2012
Thanks Given: 30
Thanks Received: 274


peternguyen View Post
For example this is from SaxoCapital:
E-mini S&P 500 Put March 2018 (91 days) Strike 2000: the margin is $2250, Premium is only $87.50
Henry Hub Natural Gas Call March 2018 (70 days) Strike 4000: the margin is $1100, Premium is $140

They charge a fixed margin, usually 50% of Future margin, which is a preset amount. The margin doesn't depend on the Strike or how far the contract is.

Thanks

Calculated SPAN margin as of the 14th of Dec risk files
ESH8 P2000 = $282
NGH8 C4 = $308

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  #498 (permalink)
peternguyen
Ho Chi Minh City
 
Posts: 11 since Dec 2017
Thanks Given: 5
Thanks Received: 0


Dudetooth View Post
As of the 14th of Dec
ESH8 P2000 = $282
NGH8 C4 = $308

Superb. Can you please tell me which broker you are using? Are they based in US?

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  #499 (permalink)
 Dudetooth 
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
Posts: 266 since Sep 2012
Thanks Given: 30
Thanks Received: 274


peternguyen View Post
Superb. Can you please tell me which broker you are using? Are they based in US?

RJO Futures, based in US. They apparently accept non-US customers, but I'm not sure what countries they will work with.
https://rjofutures.rjobrien.com/open-futures-account/

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  #500 (permalink)
peternguyen
Ho Chi Minh City
 
Posts: 11 since Dec 2017
Thanks Given: 5
Thanks Received: 0


Thank you. I'm Australian citizen so probably can.
Any other broker do you recommend? I will try the other if RJObrien doesn't accept me.
What trading platform do you use? is it user friendly?

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