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Is there a way to enhance the error tracking for cases where the option is listed but has no open interest? Here is an example - the 3rd one in the list has no open interest (the first 2 have some open interest):
HOF4 HOF4 P 2.49 -1
HOF4 HOF4 P 2.5 -1
HOF4 HOF4 P 2.51 -1
The problem is once the macro stops, if you try running "portfolio" again, no results are given. You actually have to exit the spreadsheet, and start over. I'm guessing the first time through it is writing something "bad" to the temp sheet, and then when you re-run, no results are obtained.
Thanks!
Can you help answer these questions from other members on NexusFi?
I was having same problem. Dudetooth sent me this correction that works OK.
To fix the issue you are having with the portfolio sub:
1) Go into the 'PortfolioRisk' sub and delete/hide the 'On Error GoTo GetOut' and the 'GetOut:' lines.
2) Go into the 'CalcRisk' sub and add 'Worksheets(tab1).Select' right under the 'GetOut:' line.
Thanks for the code for the other currencies ... they'll make it to the next build.
I'm not seeing the issue with delta that you were seeing. I haven't added the news currencies to the code yet, so I just calculated a couple EC and JY options with the current code to see what the differences were (I did not change the d1 variable either).
SPAN's results:
Spreadsheet's results:
Sorry, I'm not seeing the discrepancies.
With the settlement dates I was looking at the Feb and Mar options for EC and JY.
From OX Options Quotes:
Euro FX February 2014 Options (66 days to expiration) Expiration Date: 2/7/2014
Euro FX March 2014 Options (94 days to expiration) Expiration Date: 3/7/2014
The Spreadsheet is reflecting the settlement date from the risk arrays. I looked at product calendars for CL, NG, GC, EC, JY, LC, LH on CME and KC and SB on ICE, and the only options I saw that had a last trade date that was different than the settlement was LH, so as far as I know only LH ROI would be affected (there may be others I didn't check yet).
I think you would need a different risk array.
S=*Settlement*cycle*–Settle*prices*for*all*products*with*OI*
C= Complete*cycle*–All*settle*price*for*all*products
So you'd want to download the cme.20131203.c.pa2.zip file ... code would need to change from s.pa2 to c.pa2, but that would be fairly easy. That file is about 3x the size of the s.pa2 (~150mb worth of text unzipped) ... not sure how much that will slow things down.
The spreadsheet calculated by subtracting the date entered in A1 (the date of the risk file to download) from the settlement date in the risk file. So if you had Friday's date in A1 and did your calculation on Monday the spreadsheet would show 70 days where OX would be adjusting to Monday's date and giving you 67 days.
I read through some of their material when I was researching the script language, but I somehow missed this part. With everything spelled out like this, I think you could eventually get Excel to do everything that PC-SPAN does.