Sold a /ES 2-1 strategy June -1 1875 and +2 1475 for $4.55 credit. It seems that due to the higher IV the room between the long puts and short puts are wider even though it's 5 and 1.5 delta. Was wondering will this affect how the strategy might play out?

@Forex37 If you didn't execute this trade

06-FEB-18 CME 3 PUT APR 18 Mini S&P EOM 2350.00 E 105.00 USD 15,750.00 DR

Then I'm guessing your broker, instead of margin calling you, automatically liquidated positions until you were margin compliant.
Painful

SMCJB 

@Forex37 If you didn't execute this trade 06-FEB-18 CME 3 PUT APR 18 Mini S&P EOM 2350.00 E 105.00 USD 15,750.00 DR Then I'm guessing your broker, instead of margin calling you, automatically liquidated positions until you were margin compliant. Painful

That is just my question: I thought I was margin compliant - very same positions and cash in other brokers account is unchanged. Broker claims SPAN without further markup-

@Forex37 you are compliant when your account value is greater than the margin requirement. I suspect that on the SPX lows, when vol was at its highest, that the value of your account dropped so much, that you were no longer compliant, and hence they liquidated you. While margin calculations are only done (normally) once per day, account value, is a real time calculation.

Forex37 

That is just my question: I thought I was margin compliant - very same positions and cash in other brokers account is unchanged. Broker claims SPAN without further markup-

Does this firm have a clause where they automatically liquidate your position if you go on call intraday?

Also there were some wild swings in ES Monday night. Trade date Feb 6. The computer might have had your position on call because it was hard to know an fair price.

I would never ever trade at a place that does that. IB is one example.

ron99 

Does this firm have a clause where they automatically liquidate your position if you go on call intraday? Also there were some wild swings in ES Monday night. Trade date Feb 6. The computer might have had your position on call because it was hard to know an fair price. I would never ever trade at a place that does that. IB is one example.

Although they are my competitors I give them TONS of credit for putting the VX margins at 500% months before this decline happend.
This was one signal that something might happen.

Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. past performance is not indicative of future results.

During the Aug 2015 crash, ES futures dropped 223 in 4 trading days.

From Feb 1 to Feb 8, 2018, 5 trading days, ES futures have dropped 229.

Interesting that even though ES futures settled lower Thursday than Monday, the net premium for my spread is lower on Thursday.



I still have on all of my positions.

EDITED to show correct table. Yes the spread was slightly on call, but since futures were up the next day I didn't have to exit any positions.

CME raising ES margins by 4.5% effective Monday Feb 12

@ron99 Sorry if this has been asked before - What is the maximum percentage of your account you're willing to risk on a single market at any given time? I'm seeking a balance between undertrading and overtrading.

ron99 

During the Aug 2015 crash, ES futures dropped 223 in 4 trading days. From Feb 1 to Feb 8, 2018, 5 trading days, ES futures have dropped 229. Interesting that even though ES futures settled lower Thursday than Monday, the net premium for my spread is lower on Thursday. I still have on all of my positions.

Thanks @ron99.

Something isn't quite right with your spread as it is shown...it jumps from 105 dte to 74 dte.

Thanks.
RB