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PC-SPAN

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  #491 (permalink)
NYC, NY
 
Experience: Intermediate
Platform: Sierra Qtrader TT
Broker: Amp/CQG/TT, Optimus, ADM
Trading: Mainly CL. Spread researcher currently
 
Posts: 624 since May 2013
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  #492 (permalink)
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 264 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)
Ho Chi Minh City
 
 
Posts: 11 since Dec 2017
Thanks: 5 given, 0 received


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)
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received


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)
Ho Chi Minh City
 
 
Posts: 11 since Dec 2017
Thanks: 5 given, 0 received


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)
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
 
Posts: 3,046 since Jul 2011
Thanks: 946 given, 5,635 received


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
https://futures.io/options-futures/12309-selling-options-futures.html

https://futures.io/options-futures/36932-diversified-option-selling-portfolio.html

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  #497 (permalink)
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received


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)
Ho Chi Minh City
 
 
Posts: 11 since Dec 2017
Thanks: 5 given, 0 received


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)
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received


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)
Ho Chi Minh City
 
 
Posts: 11 since Dec 2017
Thanks: 5 given, 0 received


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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