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Search: Posts Made By: TFOpts

Forum: Options

June 7th, 2017, 11:10 PM

Replies: 608

Sticky: PC-SPAN

Views: 119,117

Posted By TFOpts

Dudetooth, Do you know if the SPAN files...

Dudetooth,

Do you know if the SPAN files include margin requirements on the underlying futures (instead of just on options)? If yes, would it required extensive modifications to XLS-SPAN to...

Forum: Options

May 25th, 2017, 10:40 AM

Replies: 608

Sticky: PC-SPAN

Views: 119,117

Posted By TFOpts

Additional data from CME was provided for the...

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...

Forum: Options

May 18th, 2017, 09:23 AM

Replies: 608

Sticky: PC-SPAN

Views: 119,117

Posted By TFOpts

Dudetooth, Do you know if there is volume...

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...

Forum: Options

May 17th, 2017, 09:48 PM

Replies: 608

Sticky: PC-SPAN

Views: 119,117

Posted By TFOpts

ron99. My mistake, thanks for pointing this out;...

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

Forum: Options

May 17th, 2017, 06:55 PM

Replies: 608

Sticky: PC-SPAN

Views: 119,117

Posted By TFOpts

See attached. My programming skills are not...

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.

Forum: Options

May 17th, 2017, 01:21 PM

Replies: 608

Sticky: PC-SPAN

Views: 119,117

Posted By TFOpts

I was able to extract the necessary data and...

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 =...

Forum: Options

May 17th, 2017, 11:14 AM

Replies: 608

Sticky: PC-SPAN

Views: 119,117

Posted By TFOpts

Sorry, I should've explained. I'm looking to...

Sorry, I should've explained.

I'm looking to back test different strategies more quickly. So far I've exported complete ES put data from XLS-Span to a database. I'm now querying the database to...

Forum: Options

May 17th, 2017, 10:52 AM

Replies: 608

Sticky: PC-SPAN

Views: 119,117

Posted By TFOpts

Thanks Dudetooth. Can you think of a way to...

Thanks Dudetooth.

Can you think of a way to extract a few variables for each option that would allow us to calculate spread margins across options?

Your documentation says the following about...

Forum: Options

May 17th, 2017, 12:55 AM

Replies: 608

Sticky: PC-SPAN

Views: 119,117

Posted By TFOpts

Dudetooth, I'm very impressed by your...

Dudetooth,

I'm very impressed by your XLS-Span tool, you did amazing work; thank you so much for taking the time do build this for us.

I have a question related to spread margins. Is this...

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