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I'm looking for a broker and a front-end as well. I can't imagine using an options trading front end that doesn't give you delta. I want to know what my ROI is going to be BEFORE I place the trade, if at all possible. Does any of the front-ends provide that?
Watch the webinars on nexusfi.com (formerly BMT) on CTS T4 platform, it has extensive options support. There is also an AMA thread to ask questions to them:
Brian Murphy, the Director of Business Development at CTS, will be monitoring this thread so that he may answer any questions that you post here relating to CTS products and services.
Please keep in mind that some customer service/technical support issues …
The only two platforms that I know of that give you the margin requirements are OX and IB. Of course IB charges an arm and a leg for margin for I wouldn't consider them an option.
With the PC-SPAN program now only costing $10 that is an option. You just have to wade through 1988 software to get what you want. We have a thread on it.
For those that are Excel/VBA savvy, another option is to use code to search the risk arrays from CME ... they are in essence just large text files (open them in notepad and take a look). Add the greatest risk of the 16 scenarios to the current option value and you'll have the maintenance margin.
I'm not 100% sure on the initial margin, but from a couple of examples I looked at on PC-SPAN (including the example below), if you take the maintenance margin and add to it 10% of its value and then add the option value you'll get the initial margin.
Which of the many files online is the "risk array" file from CME? I assume it is on the https://ftp://ftp.cmegroup.com server somewhere? But there are SO many files it's difficult to know which is which.
I use SPAN to get margins, and deltas seem to be in the report as well. The file name has a ".s." in it for settlement prices. The .i. files are for intraday margin updates, and I'm not sure about the others.
You should only need the 's' risk arrays like kevinkdog mentioned. The other lettered risk arrays are for different cycles throughout the day. If you want a better understanding of the different arrays you can load look at this pdf from CME: https://www.cmegroup.com/clearing/files/Loading_a_Risk_Array_File.pdf.