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In one of your posts you said that IB has high margin compared to your current broker. I would like to compare yours with mine. For example, can you give me your margin for:
* ES oct. 2015 1700 put
* CL oct. 2015 40 put
More risk protection in the event of a Black Swan day. ROI is about the same as naked option. Slightly less protection for medium drop (150-250) in futures (because of lower IM and thus lower excess).
I'm using them because I am going on 10 day vacation and won't be in front of computer all day.
I'm not sure yet if I will use them all of the time. I might for retirement accounts and use IMx4. Ultra protection on those.
If you sold that put (using IMx3) and rode it to expiration the SPAN IM would give you a 3.1% ROI. IB would be 2.4%. Yearly the difference would be 44% vs 33% or $1,133 per $10,000.
ES futures are down 2.00 right now. But ES puts are offered at same price as yesterday settlement or lower because weekend time erosion is already affecting prices.
Interesting. This would imply that it is better to sell on Thursdays than on Fridays.
Did you make this observation regularly ? Or might there be some special effect today ? I could imagine that volatility came down after the situation in Greece gets clearer. Among other things, the German parliament has signed the deal now.
I see this quite often. Looks like IV is same now as yesterday's lower settlement (Oct ESp1700).
Somebody with hourly data should compare Thu ES settlements for futures and selected options with Friday am prices. Use Wed-Thu prices for baseline.
When I was using eSignal data, I could get bid and ask changes on their time and sales tables. I don't have that now. That would be helpful to research this theory.