Hi just21!
I'll try to give you a couple of examples on the RBM:
Position Strangle on the DJ EUROSTOXX50,underlying at 2970 (today)
10 lots
JUNE PUT 2600 (Prem. 3,2=32â¬)
JUNE CALL 3200 (Prem. 0,9=9â¬)
Total Premium for 10 Lots 410â¬
This is the premium MArgin
Additional Margin is 5670â¬
TOTAL MARGIN:6000â¬
Lets have a look at some possible unfavorable moves:
Future Date: MAY25
Underlying: 3100 (quite a rise)
New Total Margin: 13800â¬
The option premiums would have risen
as well,but I did not want to make the
calculation even more complicated.
2nd Example:
Underlying 2800
Total Margin : 6100â¬
So although there was a signifikant move downwards,th emargin has not changed,because of the max.moving range of 230 Points.
In case of a further move,let's say to 2750 the Total Margin would rise to 8600â¬,because the strike distance is getting smaller.
My general idea is that there is no obvious difference between Eurex RBM and CMEs SPAN in case of selling naked strangles.
It seems that the condors make a bigger difference.
Let's have a look at some Condors
2500-2600-3200-3300
Underlying at 2970
Premium:+200
TOTAL MARGIN 4600
You can see that we have half the premium,but not quite half the margin
than in the case of a naked 2600-3200
Strangle...
In case of extreme moves:
MAY25 Eurostoxx at 3100
TOTAL MARGIN :8200â¬
MAY25 EUROSTOXX at 2800
TOTAL MARGIN:5000â¬
I would be curious about the behavour of the SPAN Margin in such a case
