SPX Credit Spread Trader

It depends on the kind of position, how far OTM, etc. Also a factor is how many other trades you have on with the same underlying. If I have a bunch of ES trades in place, I sometimes have to switch to ER2 to make the next trade I want. For instance, a 10 point vertical credit spread on ES might be $800 margin per spread. Its too high because of that trade's interaction with the other existing ES trades. The same trade on ER2 (which is actually more risky due to RUT's higher volty) might only be $400 margin. If the ES credit spread was the only thing in the account, its margin might only be $300.

I'm just pulling numbers out of my ass, but you get the idea.

The flexible SPAN margin is very useful, but it also makes it harder to allocate funds to a bunch of trades ahead of time.

I know you do naked shorts sometimes. SPAN margin for those is a small fraction of reg-T.

Quote from yip1997:

By looking at the figures, it seems span gives around 2 times the leverage compared to regular margin.
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Quote from jeffm:

It depends on the kind of position, how far OTM, etc. Also a factor is how many other trades you have on with the same underlying. If I have a bunch of ES trades in place, I sometimes have to switch to ER2 to make the next trade I want. For instance, a 10 point vertical credit spread on ES might be $800 margin per spread. Its too high because of that trade's interaction with the other existing ES trades. The same trade on ER2 (which is actually more risky due to RUT's higher volty) might only be $400 margin. If the ES credit spread was the only thing in the account, its margin might only be $300.

I'm just pulling numbers out of my ass, but you get the idea.

The flexible SPAN margin is very useful, but it also makes it harder to allocate funds to a bunch of trades ahead of time.

I know you do naked shorts sometimes. SPAN margin for those is a small fraction of reg-T.
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Thanks, Jeff.

Yes, I do mostly naked shorts before July. Too bad that I can't find the span formula. I like to know how my positions change with the underlying and volatility. Most brokers like TOS provide you the risk analysis tool so you can play around with your positions. Why don't they provide the margin calculator that gives you an estimate of how the span margin changes with the underlying and the volatility.
 
Quote from Sailing:

I was looking at exactly the same situation last night for a member.

Looks rather interesting... especially is we get have a sell off.

I like it..

M~
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It took me most of the day but I finally got filled on all 3 diagonals. I'm pretty full on my Sep positions (I have 2 other non-SPX positions right now) and will be in monitor mode for a while to see what happens.
 
Quote from yip1997:

Thanks, Jeff.

Yes, I do mostly naked shorts before July. Too bad that I can't find the span formula. I like to know how my positions change with the underlying and volatility. Most brokers like TOS provide you the risk analysis tool so you can play around with your positions. Why don't they provide the margin calculator that gives you an estimate of how the span margin changes with the underlying and the volatility.
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:eek: have you looked at the CME website?
 
The 1200 puts were boughtg as part of the AUG/JUL 1225/1200 Diagonal Spread for the net debit I indicated above. I do not remember what price I got for the 1200 specifically :).

Quote from ChrisM:

Coach,

what fills did you get on 1200 Puts ?
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No, no diagonals for SPX. I just perfer to do the diagonals using the ES right now but I am tempted to test out SPX. I think I will look at call diagonals for OCT/SEP during the week depending on which way the market moves.

Quote from mantenar:

Coach, Do you have any diagonal spreads (sep/oct) on SPX.
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For SPAN margin, yes. SPAN is portfolio risk based. When you add the backmonth longs, your portfolio risk changes and span adjusts accordingly.

Also, a little followup on my earlier post on ToS. My demo period with them ended and I sent back an email explaining why I wasn't going to setup an account right now (no Globex option support). At 7:30 at night, I got an email back from Tom Sosnoff (one of the ToS principals) thanking me for the feedback, saying that they will be supporting fut opts next year, and extending my demo period indefinitely!
Most impressive.

Quote from yip1997:

If you start with your short leg for diagonal, will your margin req change after you complete your long leg?
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