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302/5000
Hello Ron
I'm checking the margin of Tradestation to see if they correspond with yours to end up selling options as you do.
For sale 1ES MAY 2018 (W) 2600 PUT and buy 1ES MAY 2018 (W) 2350 PUT. The margin is $ 1005. It seems to be superior to SPAN.
Ron, your account is cash account?
Can you help answer these questions from other members on NexusFi?
Another question Ron. When I try to make a distant spread, Tradestation tells me that it is not listed. I think I can only build the spread by legs. First buying the 3 distant puts and then selling the 2 puts closest to the price. I can not do it by verticals. Is this normal? Does the same thing happen to you with your broker?
When you put a "-1" in front of an option that means you are selling that option.
I'm not sure what your (W) means. Is that a weekly option? If so which one. There are 4 weekly options.
If those are week 3 options, then SPAN margin is $1,282. I don't believe any broker can charge less than SPAN margin. Are you sure that is margin and not the net premium? That $1,005 is close to current net premium.
For your other question, yes it is common to have to leg into spreads.
It's "cash effect". I don't know what it means. Now is 975.
The vertical is EW3 may18 2600 2350. The value of cash effect is the same if I buy or if I sell the put vertical.
Cash effect is not the same as margin?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
The Bad News
In the last 20 years, the market has dropped by 2% or more on a Friday on 45 occasions. The following Monday the market is down an average of 0.65%
The Good News.
By close of business Tuesday the market is normally back to positive with an average 2 day move of 0.15%
Other News
The really dangerous days are when Thursday and Friday are both big down days. The four times the market has been down 2% Thursday and Friday in the last 20 years it is down on average another 2.7% Monday.
When you say that "By close of business Tuesday the market is normally back to positive with an average 2 day move of 0.15%" does that mean +0.15% from Thursday close to Tuesday close? Or Friday's down close to Tues close?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
ES futures have dropped 2% and 5% in consecutive days 6 times prior to today, 5 of the 6 in Q4'2008.
Stats....
Column 1 is ES Close 2 days ago
Column 2 is ES Close 1 day ago
Column 3 is ES Close
Column 4 is ES Close 1 day later
Column 5 is ES % Change 2 Days Ago to 1 Day Ago
Column 6 is ES % Change 1 Day Ago to Today
Column 7 is ES % Change Today to tomorrow
Same analysis, SPX instead of ES, 24 occurrences, sorry the columns are wonky. The scary value in there is Black Monday, 19th October 1987. That was a Monday following a large (5%) Friday drop, and we have shown previously that large Friday drops tend to have more follow through on Monday, than when the drop occurs on other days do.
I didn't have a position open for the fiasco over the past few days but was curious, how well did the various spread strategies perform? Can someone post the numbers? I'm not sure when the margin files will be posted by the CBOE so I was hoping someone could share.