Anyone daytrade or swingtrade ES options?

Quote from increasenow:

thanks for your post...

yea, I need to somehow get an easy method to calculate the margin required when selling in or out of the money ES options...or any other Futures options...I'll ask my broker...unless someone here can easily in simple language spell it out...thanks again
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I don't think there's any easy way to do it except to buy the span program for some $500. Then every night you download the span file provided by the exchange and the program will use that to calculate your margin. It's not a simple calculation because it's based on risk - what will happen in a worst-case scenario - and the exchange (and your broker) determine what that is. Without knowing what they've determined is a "worst-case scenario" for the next day, you cannot calculate the margin requirement.

I think the way it works is the exchange first determines a worst-case scenario, and the minimum margin is based on that. Then your broker has the option of setting even higher margin requirements, but cannot set less.
 
Quote from dmo:

I think you're thinking of the E-mini Richard - that is exclusively traded electronically, as are the E-mini futures. But overall, options on futures are actually an anachronism in that most of the volume in most contracts is still pit traded. In the crude options for example pit volume dwarfs electronic volume, same in the grain options.

Here are a few important ways that stock options differ from options on futures.

1. Most important, in futures options you can short the underlying as easily as go long, as much as you want, with no borrowing issues etc. That changes the whole game.

2. Risk margining in futures options.

3. No cost of carry of the underlying in futures options, as you can hold your margin in T-bills.

4. No dividends to worry about in futures options.

5. Futures options have a single formal settlement price at the end of the day.

6. Insider trading and knowledge is a big consideration in stock and not in futures.

7. No mergers, corporate takeovers, bankruptcies or other such events in futures.


Having traded futures options for well over two decades and having just in the last year or so started trading stock options, I may be biased. But it seems to me that the world of stock options (and stocks) is shadowy and opaque compared to the futures world, which is incredibly straightforward and transparent by comparison. In stocks you have orders routed to different exchanges with firms paying for order flow - no chance of abuse there! There's the whole "naked short" business where 1% of trades fail to clear and when you ask the SEC why all they can say is "I dunno."

There's talk about merging the SEC and CFTC but the cultures are so different - I'm skeptical.

PS I'm coming in late in this thread so if this is all irrelevant to the discussion then - never mind!
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dmo thanks for this detail, I did not know that futures options were still pit traded, just assumed since ES was electronic then the options would be as well. One question tho if there is settlement each day then why is there no "cash" settlement in my account as there is with ES (marked to market each day and cash settled + or -)? tia
 
Quote from dmo:

I don't think there's any easy way to do it except to buy the span program for some $500. Then every night you download the span file provided by the exchange and the program will use that to calculate your margin. It's not a simple calculation because it's based on risk - what will happen in a worst-case scenario - and the exchange (and your broker) determine what that is. Without knowing what they've determined is a "worst-case scenario" for the next day, you cannot calculate the margin requirement.

I think the way it works is the exchange first determines a worst-case scenario, and the minimum margin is based on that. Then your broker has the option of setting even higher margin requirements, but cannot set less.
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This makes sense then, on my TOS platform they do provide an explaination on the margin (futures) but its all "greek" to me :D
 
i think the es options are 100% electronic but i'm not sure,increase now,anything you short can go to infinity so there is huge margi req,anything your long can go to zero so the marg is the purchase price,es options are worth $5o a point ,where as stock options are $100,long 1 es future short 1 es call is an overnight hedge and reduces your margin,long the 1300 calls and short the 1320's is a 20 dollar sprd so your margin would be 2k on a 1 lot,then cut it in half because it's a $50 dollar per point option,you can also hedge with spx options which are $100 a point,i prefer the es because the bid/ask is so much tighter,i use tos and i am not able to enter sprd orders,they are working on that,until then i have to leg in and leg out,you could also sell the deep in the money call sprds if your bearish for $8 on a $ 10 sprd,your margin would only be $2,cut in half
 
Quote from RichardRimes:

dmo thanks for this detail, I did not know that futures options were still pit traded, just assumed since ES was electronic then the options would be as well. One question tho if there is settlement each day then why is there no "cash" settlement in my account as there is with ES (marked to market each day and cash settled + or -)? tia
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Sorry, maybe I wasn't clear - the ES options ARE traded exclusively on the electronic. There is no such thing as an e-mini futures pit or options pit. I just meant to say that generally speaking - looking at all futures options contracts (crude, gold, soybeans, etc.) - there is still a very healthy number of options traded on the floor. Not in the ES though.
 
One additional thought for Increasenow - if you don't want to spend the $500 for the SPAN program, perhaps you could get around it with a little extra effort.

At every exchange there is someone whose job it is to set the risk parameters for SPAN (worst case scenario). If you can get hold of that person he should be willing to simply tell you what those parameters are. I think it just consists of maximum move up or down of the underlying and maximum move up or down of IV. Then with your software, you could simply calculate what is the most you could lose - and that should be your margin.

You would need to verify with SPAN or with that exchange that it is indeed that simple - that they don't add an additional "fudge factor" of say 2%. And you'd have to verify with your broker that they use the SPAN minimum margin and do not impose additional margin.

BTW, those SPAN files are available for public download. Once you figure this out you could possibly look into the SPAN files every day for the risk parameters, so you wouldn't need to keep calling the exchange.
 
thanks guys for your time and input...really appreciate it...for examples sake:

Okay, here are a few...

#1-CME Globex Euro options expire this saturday (6 days)...what if you sold one 1.4300 put this past friday and it closed at $100.00 per option this past friday...what would the margin requirement be possibly?

#2-ES options Sept expire 21 days...what if you sold one 1180 put at fridays close price of $107.50...what would the margin requirement be possibly?
 
after the 87 crash ,they changed the margin to estimate worst case scenario ,a 500 point dow move,thats 7 or 8 points of dow is 1 point in the spu's,that number floats but thats roughly the ratio,so thats 12- 14 spu points for every 100 dow,so your margin would be rougly a 60 -72 point spu move you could just enter an order 5 points higher where you won't be filled and see how your margin acct changes
 
When I trade ES futures, my software docks me $4500 for each contract long or short. That would seem to imply a worst case scenario of 90 points up or down.
 
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