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Updated July 28, 2023
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December 8th, 2016, 11:17 PM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
bill20
Has anyone noticed unusually high margin requirements pertaining to selling options on ES recently? I utilize
Thinkorswim and regularly sell ES options, however, the margin requirements the past few days has made initiating new positions impractical.
I am not sure if this is an exchange issue or specific to Thinkorswim (although they deny increasing requirements above SPAN minimum).
Any input would be greatly appreciated.
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Give us an example with TOS margin and we will give you SPAN margin for that position.
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
December 8th, 2016, 11:45 PM
Santa Barbara, CA USA
Experience: Intermediate
Platform: TOS
Trading: Futures Options
Posts: 22 since Oct 2016
Thanks Given: 13
Thanks Received: 9
Thank you. Mighty nice of you.
Selling one ES January (week 3) 2100 put shows a credit of $300 against a margin requirement of $2570.50. Seems very high.
What do you show?
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December 8th, 2016, 11:57 PM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
bill20
Thank you. Mighty nice of you.
Selling one ES January (week 3) 2100 put shows a credit of $300 against a margin requirement of $2570.50. Seems very high.
What do you show?
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NexusFi mobile app
Using SPAN margin data for Friday I get $320 premium and $2560 IM.
December 8th, 2016, 11:59 PM
Santa Barbara, CA USA
Experience: Intermediate
Platform: TOS
Trading: Futures Options
Posts: 22 since Oct 2016
Thanks Given: 13
Thanks Received: 9
Does that seem high to you or would you say that is typical?
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December 9th, 2016, 12:01 AM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
bill20
Does that seem high to you or would you say that is typical?
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I never trade puts that close to ITM so I can't comment on if it is typical.
December 11th, 2016, 03:59 PM
Linz Austria
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
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bill20
Does that seem high to you or would you say that is typical?
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To me it looks typical, as the option is rather close to the money, and there are not many days until expiry.
I prefer trading options with approx. 100 DTE , which show a lower margin.
Best regards, Myrrdin
December 14th, 2016, 04:08 PM
Philadelphia Pennsylvania
Posts: 4 since Mar 2015
Thanks Given: 6
Thanks Received: 6
Ron,
Regarding your system, is there an advantage to selling options on futures over selling options on the SPX?
Thanks in advance!
December 14th, 2016, 05:07 PM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
foxtrot444
Ron,
Regarding your system, is there an advantage to selling options on futures over selling options on the SPX?
Thanks in advance!
ES electronic volume is much higher than SPX. I believe that most SPX trades are done in the pit .
December 20th, 2016, 10:33 AM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
On 11/28/16 I sold ESh7p1790p1550(2) for 2.25. Exited today at 1.15. Days held was 22. Using 6X IM the monthly ROI was 3.0%.
Sold today ESj7p1800p1540(2) for 2.25.
December 25th, 2016, 01:36 AM
Singapore
Posts: 46 since May 2015
Thanks Given: 25
Thanks Received: 35
ron99
I'm not sure why you can't get 20160816. I have it. Make sure there aren't any files dated 20160816 in the C:\Span4\Data folder, including both
cme and nyb files, and try again.
One problem I see with your strategy is that you have no protection from an unexpected flash crash.
My current strategy is selling a 5.00
delta ES put buying two 1.50 delta longs at 90+
DTE . Use 6X IM. Exit at 50% drop in net
premium .
It is making 26.6% per year. During the
backtest it has never has a losing trade for the entire backtest which started 1/1/2013. 48 trades. Largest daily
drawdown is 25.6%. Up 33.9% so far this year.
In 47 months it is up 156.1%. That is a yearly compounded 39.9% ROI over the 47 months.
I have attached a spreadsheet with the backtest.
Hi Ron,
This is about exit. Should we not exit also when Acct Balance =100%? Is not this similar to margin call ? When this happens, your drawdown may not be small. But I think it is better than big loss. Will be thankful for your opinion.
Regards,
Dilip
Last Updated on July 28, 2023