Constructs with more than 3 legs

[Overnight]

How does the CME call this type of constructs, or their such products?
Something with "ratio" I guess.

Here's their list...

https://www.cmegroup.com/confluence/display/EPICSANDBOX/Futures+Spread+and+Options+Spread+Types

 

[earth_imperator]

I mean that 4-leg construct w/o strikes. How is it called?

OTOH not that important, as it just distracts me from my speciality: plain vanilla options.

 

[Overnight]

I mean that 4-leg construct w/o strikes. How is it called?

OTOH not that important, as it just distracts me from my speciality: plain vanilla options.

It's a futures condor, those two that I highlighted.

 

[destriero]

The "strike" in those cases is not a price, but simply the expiration dates.

Here's an example...

View attachment 295195

The average performance bond across those months is $8000 per contract.

In the case of the green box, you are long (short) October and December, and short (long) November and January a total of 8 contracts. That's $64,000 in outright margin, and look at that discount! Just $650! Nice!

The blue box is much simpler. Long (or short) October and January, and short (or long) November and December. Instead of 32K, you put up 700 bux.

But as you can see, there are 4 legs. The idea is to capture the moves on each leg as you see fit. The most efficient way to do this is with an exchange-traded spread instrument tag that handles all legs in one fell swoop with each trade made. All-in, then all-out. That is @bone territory. It is something I messed with manually years ago, and saw those discounts in my statements when trading CL, but then lost my way and got caught up with equity indices. Bleh, hehe.



https://www.cmegroup.com/markets/en...de.margins.html#marginsTab=INTRA&pageNumber=1

those are the fucking futures spreads. No optionality. FFS.


Why is this in options?


a futures fly is long Oct, short 2 Nov, long Dec.

 

[Overnight]

those are the fucking futures spreads. No optionality. FFS.


Why is this in options?


a futures fly is long Oct, short 2 Nov, long Dec.

Which is exactly what we see here, 1 box below my cut and paste job in yellow...

I was just explaining how there can be a futures condor with no "strike price" when I mentioned to him @earth_imperator that the performance bond margins are nuts for condors.

There is no optionality because there is no price variability.

It had to do with more than 3 legs. Oi. Read the whole thread, man.

 

[Overnight]

What?

No price variability? You mean convexity. These things move huge. You just shit yourself.

These are no rate-arbs (short/long dated index futures spreads).

Then I will eat that shit sandwich. I have no ego to bruise.

 

[destriero]

Which is exactly what we see here, 1 box below my cut and paste job in yellow...

View attachment 295199

I was just explaining how there can be a futures condor with no "strike price" when I mentioned to him @earth_imperator that the performance bond margins are nuts for condors.

There is no optionality because there is no price variability.

It had to do with more than 3 legs. Oi. Read the whole thread, man.

What?

No price variability? You mean convexity. These things move huge. You just shit yourself.

These are not rate-arbs (short/long dated index futures spreads).

So Corn futures flies don't move? Beans? Gas?

It's not ego. You just confidently stated that the Earth is flat.

 

[Overnight]

What?

No price variability? You mean convexity. These things move huge. You just shit yourself.

These are not rate-arbs (short/long dated index futures spreads).

So Corn futures flies don't move? Beans? Gas?

It's not ego. You just confidently stated that the Earth is flat.

Still chomping on the shit sandwich.