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NDX vs SPX vs SPY
- Thread starter tman
- Start date
Quote from MTE:
My guess would be that NDX is more volatile hence the higher margin requirement.
You would be surprised how close the VXN and VIX can be. In fact, think that VXN is less than VIX as of yesterday's close. I'm not sure if that factors into portfolio margin calculations though.
different brokers compute portfolio margin differently, but regardless, i've always seen ndx to require more margin than spx at least for the types of positions i open; and that's even after you factor in the fact ndx options have a larger aggregate size.
spx is tested at (-8%, +6%) but ndx is (-10%, +10%).
up until the market crash in september 2008, ndx was historically more volatile than spx which is why its margin requirement is higher.
spx is tested at (-8%, +6%) but ndx is (-10%, +10%).
up until the market crash in september 2008, ndx was historically more volatile than spx which is why its margin requirement is higher.
Yes, I'm aware of this, but as you said it yourself, VXN/VIX are not part of the calculation.Quote from tman:
You would be surprised how close the VXN and VIX can be. In fact, think that VXN is less than VIX as of yesterday's close. I'm not sure if that factors into portfolio margin calculations though.
And as pointed out by blackjack007 above, the parameters are what causes the margin requirement to be higher for NDX. You can also see the parameters here.
My 2 cents and if it's not relevent ignore it. I used to trade options on the OEX and my trading platform had an option price model. When I split the $50 spread and placed my order above what the model indicated, I would usually get filled. At that time, the OEX seemed more cost efficent than the SPY.
One thing that can happen with the SPX is that you can really get a surprise occasionally. Today, I nearly fell out of my chair. I was closing out some puts spreads on a rolldown and the midprice was $1.85. Needing to finish up the trade rather quickly since I needed to be back to work in a few minutes, I placed my closing buy at $2.00 (giving 0.15 to the vultures rather than my usual 0.10 ) figuring that it would go through in short order. It filled almost instantly--within seconds at the most, but when I checked the price, I actually was able to buy them at 1.80 -- 5 cents better than the midpoint!! This has never happened before, but I suspect that someone else at TOS was on the other side of the transaction selling at the same instant. With high liquidity and good volume, this obviously can happen.
On the whole though, I prefer the fills on NDX. What I would really like is strikes at 10 dollar intervals to improve the fine tuning of spreads. Any one out there who can make that happen?
On the whole though, I prefer the fills on NDX. What I would really like is strikes at 10 dollar intervals to improve the fine tuning of spreads. Any one out there who can make that happen?
Quote from JohnGreen:
What I would really like is strikes at 10 dollar intervals to improve the fine tuning of spreads. Any one out there who can make that happen?
No.
But you can request specific strikes be added. There is chance the exchanges will choose to accommodate a customer.
Make the request to: options@rtheocc.com
Mark
Thanks, Mark
By the way, I am the "MrGreen" who visited your blog. I recommend that people pay it a visit.
Even though this is a bit off topic, I was referring to closing IC's at 0.20-- not opening them. I agree that 0.20 cent opens are ridiculous. It's very hard to claim that last 0.20 and the R/R ratio is lousy. I like to collect about 1.50-2.00 when I open. I also find the terminology a bit confusing. I propose that people should say "opening an IC" or "closing an IC". It will be more clear that way.
My apologies for being confusing. Your response was good and quite useful to readers.
I have had the SPX opened with new strikes for me via the TOS trade desk, but what I am really hoping for is 10 dollar wide spreads in NDX all the way through from -300 to +300 from the ATM strike. I realize that means 60 strikes in the realistic range plus about 20 more at 20 point intervals to cover 99% of the possible outcomes. Hopefully, as volumes grow (if they grow), this will be a realistic possibility.
By the way, I am the "MrGreen" who visited your blog. I recommend that people pay it a visit.
Even though this is a bit off topic, I was referring to closing IC's at 0.20-- not opening them. I agree that 0.20 cent opens are ridiculous. It's very hard to claim that last 0.20 and the R/R ratio is lousy. I like to collect about 1.50-2.00 when I open. I also find the terminology a bit confusing. I propose that people should say "opening an IC" or "closing an IC". It will be more clear that way.
My apologies for being confusing. Your response was good and quite useful to readers.
I have had the SPX opened with new strikes for me via the TOS trade desk, but what I am really hoping for is 10 dollar wide spreads in NDX all the way through from -300 to +300 from the ATM strike. I realize that means 60 strikes in the realistic range plus about 20 more at 20 point intervals to cover 99% of the possible outcomes. Hopefully, as volumes grow (if they grow), this will be a realistic possibility.
Quote from JohnGreen:
Thanks, Mark
By the way, I am the "MrGreen" who visited your blog. I recommend that people pay it a visit.
Thanks.
I propose that people should say "opening an IC" or "closing an IC". It will be more clear that way.
I agree. I don't like to say 'buy' an IC when I know that 'sell' feels as if it's the correct term.
Although 'open' is technically ambiguous, in the real world I doubt anyone would get it wrong.
Good idea.
Mark