Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
FYI for some reason the delta that is on the XLS-SCAN Scan sheet, which comes from CME files, does not match the delta on CME's Daily Bulletin.
For example for Feb 16th the Daily Bulletin shows the delta for a June 1900 put as .044. But XLS-SPAN shows it as 4.61. I realize that .044 is the same as 4.40. But that is not the same as 4.61.
They both do have the same settlement price of 5.90.
Anybody know why?
Can you help answer these questions from other members on NexusFi?
From what I can gather, it is the difference between Current Delta and SPAN Composite Delta. SPAN Composite Delta is the base delta that is multiplied by a certain factor to get a "net delta" that CME uses in portfolio calculations. The risk arrays actually have both values, but for XLS-SPAN I decided to use the SPAN Composite Delta so that it would generate the same delta that you would see in PC-SPAN. The CME bulletins are posting the Current Delta.
It's already there, just select it from the drop-down of the header (cTheta). If that header is on the Track tab when you run the H-Track code it will be included on the Hist Data.
I am trying to get margin requirement of commodity option. but i get the error message - attempted an unsupport operation when i tag to " New portfolio ". How can i solve it ?
Sorry, I've never seen that error before ... then again I don't use PC-SPAN too much. If you step me through the specifics of what you are doing in PC-SPAN I'll try to help.
Pardon me as I am unfamiliar with programming. I am using the v05 file but I am unable to get the download macro from working correctly. I got the error that the download from the server failed. I tried out multiple dates.
Please try using XLS-SPAN v.05a ... it's easier for me to troubleshoot if we are on the same page.
Also, what dates did you try downloading? The only time I have seen the message that the download from the server failed was because a risk file for that date did not exist on CME or ICE.