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In the sub GetIM_ROI change the portion of your code as such (hides If clsOpt.OptType and End If lines):
'*********** Spread Calculations
If calcType = 3 Then
' If clsOpt.OptType <> " " Then '##### mod 2.3
dicFut(i)("SprdValue") = dicFut(i)("SprdValue") + clsOpt.PosValue
' End If
dicFut(i)("SprdPrice") = dicFut(i)("SprdPrice") + clsOpt.PosPrice
dicFut(i)("SprdNumber") = dicFut(i)("SprdNumber") + Abs(iPos)
dicFut(i)("SprdDelta") = dicFut(i)("SprdDelta") + clsOpt.PosDelta
If iArrPos = totOpt Then
dicFut(i)("SprdNet") = dicFut(i)("SprdValue") - (dicFut(i)("SprdNumber") * dFees)
End If
End If
It looks to calculate the values and margin, but I haven't done thorough tests. Then you could do a Historic Track.
Update: margin seems to be off because of the way margin is calculated for calendar spreads.
Hi everyone,
I'm new to Future Option selling. I have been reading the book by James Cordier The Complete Guide to Option Selling.
I have tried 4 trades and sadly 3 go in the money and I sustain heavy losses.
The problem is I'm using Saxo Capital and I don't know if they charge SPAN margin or not. But if I want to sell option Too far out of the money, my premium is very little, below $50 for a 3 month trade with margin requirement of $1350 in the case of Brent Crude for example. I have to go close to the current price in order to earn enough margin (my aim is 10% Premium on Margin for a 3-4 month contract and usually the market can easily move against me.
Their margin requirement for Option on Future is usually 50% of the margin on Future Contract. For example Brent Crude Future Option margin is $1350 overnight, E-mini S&P is $2250, Wheat is $475.
Can you tell me if they are chargin SPAN margin? Which brokers can you recommend that charge SPAN margin? How much should SPAN Margin be for a Brent Crude short put?
For example this is from SaxoCapital:
E-mini S&P 500 Put March 2018 (91 days) Strike 2000: the margin is $2250, Premium is only $87.50
Henry Hub Natural Gas Call March 2018 (70 days) Strike 4000: the margin is $1100, Premium is $140
They charge a fixed margin, usually 50% of Future margin, which is a preset amount. The margin doesn't depend on the Strike or how far the contract is.
This is first time I have ever heard of margin for options being fixed amount from futures margin and strike and month don't matter. Are you sure? If so then find another place to trade.
I also suggest your read these threads to learn more about selling options
I trade a diversified option selling portfolio for many years. Different than other concepts to sell options, I strive for diversification (I strive for holding 8 – 15 options), and, thus, spend a lot of time studying fundamentals of various commodities. …
Thank you. I'm Australian citizen so probably can.
Any other broker do you recommend? I will try the other if RJObrien doesn't accept me.
What trading platform do you use? is it user friendly?