Recent content by MD99

Hard to answer without specifying a particular option since each option has a different SPAN margin. The basic margin parameters used for ZB options are: range $3,750 and vol scan 0.025. You can get a pretty good estimate of the margin if you can value the option at the 16 scenarios used by...

What CME/CBT/NYMEX contracts have actively quoted box markets and how tight are the markets? I assume that S&P EOM options (regular & e-mini) are likely candidates since they are european and don't allow contrary instructions.

It's buggy and I don't trust the results. I've got a screenshot of Risk Nav showing short-dated options with obviously wrong greeks. It shows OTM call deltas increasing for higher strikes. A way, way OTM call with a value of 1 tic ($10) shows a theta of -$29,665. Not sure how that's...

When a trade takes place at a new price then the normal sequence is timestamp, trd price, trd size. If the trade is at the same price as the prior trade then just a trd size record is sent. This may depend on what type of instrument you are looking at. If it's FX then I wouldn't expect to...

Under standard BS assumptions, theta/gamma is approximately constant regardless of strike or time to expiration. A 1-year option decays at the same rate per unit of gamma as a 1-week option.

Try changing the time zone to EST instead of GMT. I don't know why but EST works for me but not GMT.