Option on Futs SPAN Margin

[TheDude 10]

Hi,

 

I'm getting into options on futures a bit more - mostly as a longer term positions.

 

Does anyone know of a platform that lets you know the margin requirements of different strategies/structures, or failing that, a quick, dirty method or 'rule of thumb' of calculating approx margin requirements?

 

My platform just lets me execute and give p&l and I'm getting fed up with asking my broker with every idea I get....

 

Thanks

[billm 10]

Are you utilizing an option pricing model? Obviously the model employed should be aprropriate to the underlying instrument you are trading. If you go the commercial platform route, it should give choice of models for each instrument, and at this point most platforms have a quick and dirty algorithm to replicate span (standard portfolio analysis) arrays the CME uses for calculating option margins on cme products.

 

If you are trading CME options products you can get the exchanges span application here:

CME Clearing House

 

Back of the envelope/quick and dirty approximations are rough as the cme still uses securities style margining (thus lov & sov) - it gives them more of your money to hold in the clearing house. Liffe pioneered the way by taking Ed Gogol's original span model and changing it to futures style margining for futures options, a much fairer approach, but not as profitable if high customer margin balances on which to earn interest are a consideration, sic.

 

I hope this helps.

[NickNYCNolan 10]

I have used the PC-SPAN application and it is not intuitive or transparent at all--the coolest thing about it is the way you drop the .spn file.

 

The company I work for has a SPAN interface and GUI displaying requirements and if you want to get into the details a break down of your priority spreads/inter/intra charges. It's pretty inexpensive--open to showing to any interested folks.

 

nnolan@advent.com

[Dael 10]

I would highly recomment ThinkOrSwim platform.

Download, create demo account, use it for free.

Margin in TOS is calculated via SPAN method so usually this is what you really get in real life.

Examples attched: margin for short naked put and short spread put varies 5 times.