i saw this too with my -1 short and 2 longs /ES positions! It seems the more the market drops on Monday, the more this 2-1 strategy actually profited? i guess this is due to the increase in IV where the 2 longs actually are worth much more than the 1 short.

Does this means this 2-1 strategy is actually "resistance" to fast and furious market crashes of 5-7% magnitude like the one we seen this week? And actually act as a good "hedge/insurance" too!

Jyrgen 

I had 2 positions of -1+2 spread open over the day. Both these positions were traded via IB account which is not ideal, but although high (ca. 840) margin per spread, it never moved much during the day. When the volatility went crazy after market when ES was down with over -5% and I saw that the long further out of the money options started to gain value faster, so I tweaked my exit LMT order in the hopes of closing out the trade in case of volatility surge, which happened. So as weird as it sounds, managed to get out with a small profit with the -1+2 spread. I suppose this was one of the crazy examples of where purely having more longs vs shorts helped due to the nature of the move. The spreads I was holding were: ES May’18 Short(1) 2400 + Long(2) 2110: entry 29/1/18 @-3.2; exit 5/2/18 @-2.8 ES May’18 Short(1)2275 + Long(2)1980: entry 2/2/18 @-3.0; exit 5/2/18 @-2.0 I wonder how much of that move is due to the heavy positions in ETN space. XIV has hit its intraday over -80% threshold meaning that by prospectus they would have to unwind their 73,000 short contracts, all in all down -84.4%

manuel999 

Do you know when the Margin call calculation is done? On a continous basis, or by the end of the day? Yesterday I noticed at Zaner the price of the spread went up and down quickly at times, wide differences from one second to the next. If you overstep your margin for a short time only, will you get a margin call already?

At Zaner I doubt they will put you on margin call if you are moving from on call to off call intermittently. But if you are well into being on call you will be contacted during the day.

I did notice a big difference between the bid/ask prices near to the close and the settlement prices. Settlements were a lot lower.

ronn99,

I have a question if you don't mind.

You said you are staying 75% cash.
Does that mean that you go 1 X 5 (was 4) on the 25%?

Thanks

LordV 

ronn99, I have a question if you don't mind. You said you are staying 75% cash. Does that mean that you go 1 X 5 (was 4) on the 25%? Thanks

That should say 5XIM

LordV 

ronn99, I have a question if you don't mind. You said you are staying 75% cash. Does that mean that you go 1 X 5 (was 4) on the 25%? Thanks

Actually I said I was switching to 80% cash from 75%.

If the margin for a spread was $1,000, I would hold $5,000 for each spread. $1,000 margin plus $4,000 cash. 5xIM.

ron99 

Actually I said I was switching to 80% cash from 75%. If the margin for a spread was $1,000, I would hold $5,000 for each spread. $1,000 margin plus $4,000 cash. 5xIM.

I understand (And do) that part.
I meant to say that you are using 20% of you cash to trade with.
So if you had 5 million you would trade with 1 million.

5xIM on the 1 million.

Thanks

Ophir Gottlieb @OphirGottlieb

$XIV The Astonishing Story Behind What Really Happened to XIV
bit.ly/2nMOutV via @CMLviz
-
@WSJ , @CNBCFastMoney , @JimCramer still don't get it. So now, you can.

LordV 

I understand (And do) that part. I meant to say that you are using 20% of you cash to trade with. So if you had 5 million you would trade with 1 million. 5xIM on the 1 million. Thanks

So I'm doing the dishes and I think.
Maybe he is just elaborating on the 5XIM.
That would also leave you at the 80% cash.

I did bad things when I was a yute and paying for it now.

LordV 

Ophir Gottlieb @OphirGottlieb $XIV The Astonishing Story Behind What Really Happened to XIV bit.ly/2nMOutV via @CMLviz - @WSJ , @CNBCFastMoney , @JimCramer still don't get it. So now, you can.

I think there is another correlation that may exist here: since XIV is inversely correlated to VIX, the ETN managers needed to hedge this exposure with a long VX Futures. When panic set in they started buying enormous quantities, and have done so after-hours when the market is not that liquid.

The VIX spiked, markets tumbled as and the Options premium exploded.

So essentially we have strong correlations that exist in my opinion via algorithms. One causes the other to tremble.

Wall Street has created during this bull market so many products including leveraged ETFs and ETNs that it's extremely hard to decide where the risk is coming from. It's in plain sight and yet camouflaged in the sea of derivatives.

Matt Z
Optimus Futures

There is a substantial risk of loss in Futures trading. Past performance is not indicative of future results.

Hi Ron,

I guess I need a bit of help to understand what happened to me:

On Monday my broker statement Looked like this:

----------------------------------------------- O P E N P O S I T I O N S ----------------------------------------------------
DATE MARKET LONG SHORT CONTRACT DESCRIPTION PRICE CCY DEBIT/CREDIT
------------------------------------------------------------------------------------------------------------------------------------
17-JAN-18 CME 2 PUT APR 18 Mini S&P EOM 2300.00 5.25 USD 3,700.00 DR
18-JAN-18 CME 1 PUT APR 18 Mini S&P EOM 2300.00 5.75 USD 1,850.00 DR
TOTAL 3 EX 30-APR-18 SETTLEMENT PRICE 37.00 USD 5,550.00 DR
AVERAGE SHORT 5.41666

29-JAN-18 CME 4 PUT APR 18 Mini S&P EOM 2350.00 5.00 USD 8,900.00 DR
TOTAL 4 EX 30-APR-18 SETTLEMENT PRICE 44.50 USD 8,900.00 DR
AVERAGE SHORT 5.00000


Account Summary as of 02/05/18


Reg. USD BASE CURRENCY USD
SPOT RATE | 1.00000000 | 1.00000000 |
OPENING CASH BALANCE | 49,977.36 CR| 49,977.36 CR|
PAYMENTS/RECEIPTS | 0.00 CR| 0.00 CR|
FX TRADES | 0.00 CR| 0.00 CR|
REALIZED PROFIT/LOSS | 0.00 CR| 0.00 CR|
PREMIUMS | 0.00 CR| 0.00 CR|
COMMISSIONS & FEES | 0.00 CR| 0.00 CR|
CLIENT FEES | 0.00 CR| 0.00 CR|
CLEARING | 0.00 CR| 0.00 CR|
EXCHANGE | 0.00 CR| 0.00 CR|
NFA | 0.00 CR| 0.00 CR|
BROKERAGE | 0.00 CR| 0.00 CR|
COMMISSION | 0.00 CR| 0.00 CR|
CLOSING CASH BALANCE | 49,977.36 CR| 49,977.36 CR|
OPEN TRADE EQUITY | 0.00 CR| 0.00 CR|
SHORT OPTION VALUE | 14,450.00 DR| 14,450.00 DR|
LONG OPTION VALUE | 0.00 CR| 0.00 CR|
TOTAL EQUITY | 49,977.36 CR| 49,977.36 CR|
OPTION MARKET VALUE | 14,450.00 DR| 14,450.00 DR|
NET LIQUIDATING VALUE | 35,527.36 CR| 35,527.36 CR|
SECURITIES ON DEPOSIT | 0.00 CR| 0.00 CR|
INITIAL MARGIN | 27,071.00 DR| 27,071.00 DR|
MAINTENANCE MARGIN | 25,924.00 DR| 25,924.00 DR|
MARGIN EXCESS/DEFICIT | 22,906.36 CR| 22,906.36 CR|

For the following day it looked like this - without an interim margin call:


----------------------------------------- T R A D E S C O N F I R M A T I O N S ----------------------------------------------
THE FOLLOWING TRADES HAVE BEEN EXECUTED THIS DAY FOR YOUR ACCOUNT AND RISK.
DATE MARKET BUY SELL CONTRACT DESCRIPTION TRADE PRICE CCY DEBIT/CREDIT
------------------------------------------------------------------------------------------------------------------------------------
06-FEB-18 CME 3 PUT APR 18 Mini S&P EOM 2350.00 E 105.00 USD 15,750.00 DR
Electronic
TOTAL 3 EX- 30-APR-18 PREMIUM USD 15,750.00 DR
NFA USD 0.06 DR
AVERAGE LONG 105.00000


------------------------------------------------ P U R C H A S E & S A L E ------------------------------------------------
DATE MARKET BUY SELL CONTRACT DESCRIPTION TRADE PRICE CCY DEBIT/CREDIT
-----------------------------------------------------------------------------------------------------------------------------------
29-JAN-18 CME 3 PUT APR 18 Mini S&P EOM 2350.00 5.00 USD
06-FEB-18 CME 3 PUT APR 18 Mini S&P EOM 2350.00 105.00 USD
TOTAL 3 3 EX- 30-APR-18 P&S USD 15,000.00 DR



----------------------------------------------- O P E N P O S I T I O N S ----------------------------------------------------
DATE MARKET LONG SHORT CONTRACT DESCRIPTION PRICE CCY DEBIT/CREDIT
------------------------------------------------------------------------------------------------------------------------------------
17-JAN-18 CME 2 PUT APR 18 Mini S&P EOM 2300.00 5.25 USD 2,330.00 DR
18-JAN-18 CME 1 PUT APR 18 Mini S&P EOM 2300.00 5.75 USD 1,165.00 DR
TOTAL 3 EX 30-APR-18 SETTLEMENT PRICE 23.30 USD 3,495.00 DR
AVERAGE SHORT 5.41666

29-JAN-18 CME 1 PUT APR 18 Mini S&P EOM 2350.00 5.00 USD 1,320.00 DR
TOTAL 1 EX 30-APR-18 SETTLEMENT PRICE 26.40 USD 1,320.00 DR
AVERAGE SHORT 5.00000


Account Summary as of 02/06/18


Reg. USD BASE CURRENCY USD
SPOT RATE | 1.00000000 | 1.00000000 |
OPENING CASH BALANCE | 49,977.36 CR| 49,977.36 CR|
PAYMENTS/RECEIPTS | 0.00 CR| 0.00 CR|
FX TRADES | 0.00 CR| 0.00 CR|
REALIZED PROFIT/LOSS | 0.00 CR| 0.00 CR|
PREMIUMS | 15,750.00 DR| 15,750.00 DR|
COMMISSIONS & FEES | 0.06 DR| 0.06 DR|
CLIENT FEES | 0.00 CR| 0.00 CR|
CLEARING | 0.00 CR| 0.00 CR|
EXCHANGE | 0.00 CR| 0.00 CR|
NFA | 0.06 DR| 0.06 DR|
BROKERAGE | 0.00 CR| 0.00 CR|
COMMISSION | 0.00 CR| 0.00 CR|
CLOSING CASH BALANCE | 34,227.30 CR| 34,227.30 CR|
OPEN TRADE EQUITY | 0.00 CR| 0.00 CR|
SHORT OPTION VALUE | 4,815.00 DR| 4,815.00 DR|
LONG OPTION VALUE | 0.00 CR| 0.00 CR|
TOTAL EQUITY | 34,227.30 CR| 34,227.30 CR|
OPTION MARKET VALUE | 4,815.00 DR| 4,815.00 DR|
NET LIQUIDATING VALUE | 29,412.30 CR| 29,412.30 CR|
SECURITIES ON DEPOSIT | 0.00 CR| 0.00 CR|
INITIAL MARGIN | 9,860.00 DR| 9,860.00 DR|
MAINTENANCE MARGIN | 9,401.00 DR| 9,401.00 DR|
MARGIN EXCESS/DEFICIT | 24,367.30 CR| 24,367.30 CR|


Why had there been a purchase? Was the margin spike that high according to your data? 3 mails to the firm remained unanswered.

Thanks and kind regards