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SOM and initial to maintenance ratio are both constants, or at least they change very rarely. For ES SOM is $35 and initial to maintenance ratio is 110%.
You would just need the 16 risk scenarios for each option in your database. You could add lines in the WriteResults routine to get R1-R16 to show up on the spreadsheet and it should work out the way you are looking to use it.
I was able to extract the necessary data and match what XLS-Span is calculating as a spread margin.
If others are interested, the formula for the SPAN initial margin on spreads is:
IMSpread = Init Maint Ratio * MAX(Short Minimum * # of short positions, Weighted R1 through R16)
Where,
Initi Maint Ratio is typically 1.1
Short Minimum is now $37 but can change
Weighted R# is R# scenario result multiplied by -number of positions (so if you sell 2 options and you therefore have -2 positions, you multiply by 2, not -2) for each option and then added together for each R#. Do this for each R# from 1 to 16 and take the maximum of those results or the Short Minimum value * the number of short positions.
An example on the weighted R. Say you are selling 1 option A and buying 2 option B. So number of positions for A is -1 and number of positions for B is +2. R1 value for A is 100 and for B it's 25. Weighted R1 is 100 * -(-1) + 25 * -(2) = 50.
For those interested in the coding changes I made to extract this data, here they are:
In the WriteResults subroutine, define the following variables:
Dim colSOM As Integer, colMaintRatio As Integer, colR1 As Integer, colR2 As Integer, colR3 As Integer, colR4 As Integer
Dim colR5 As Integer, colR6 As Integer, colR7 As Integer, colR8 As Integer, colR9 As Integer, colR10 As Integer
Dim colR11 As Integer, colR12 As Integer, colR13 As Integer, colR14 As Integer, colR15 As Integer, colR16 As Integer
Then add the following to find the columns in which to populate the results. Note that you'll need to include column headers in the appropriate sheet that match the names below. For example, if you want R1, you need to add a column header in the "Scan" tab that says "Risk Scen 1".
See attached. My programming skills are not nearly as advanced as Dudetooth but I tried to stay true to the XLS-SPAN architecture. The new fields start in column AC of the "Scan" tab.
Do you know if there is volume data in the CME output used in XLS-SPAN? I'm looking at higher DTE strategies (140+) but I'm not sure how viable these strategies are if there is very little activity in longer term options.
Negative, pa2 files have no volume info ... Sorry. I'm not sure where you'd find that historically. You may just have to look at current volume for high DTE options to see if it is viable.
Thanks Dudetooth. But unfortunately this doesn't solve the issue even when adding PtrSafe. Thanks anyway and I shan't disturb you further. Hopefully others who are using 64 bit version could chime in if they experience similar instance on their machine?
Additional data from CME was provided for the first trading day of each month from 5/1/08 to 4/1/09. The hope was to understand how different strategies would have behaved during a recession.
The files provided by CME are attached. A review of the compatibilty with XLS-SPAN is still ongoing. One thing Ron found was that by changing the name from ccl to cme he was able to scan in the data into XLS-SPAN but was not able to use the tracking functionality of the tool.
There's an active project to add SPAN historical data to Datamine (CME's database service) with an estimated completion date of late 2017.
That request was mine, when they said they couldn't do the full range, I asked for the first trading day of the month for each month within that range. Maddie was very helpful. I attach the files here.