Hard to answer without specifying a particular option since each option has a different SPAN margin. The basic margin parameters used for ZB...
What CME/CBT/NYMEX contracts have actively quoted box markets and how tight are the markets? I assume that S&P EOM options (regular & e-mini) are...
It's buggy and I don't trust the results. I've got a screenshot of Risk Nav showing short-dated options with obviously wrong greeks. It shows...
When a trade takes place at a new price then the normal sequence is timestamp, trd price, trd size. If the trade is at the same price as the...
Under standard BS assumptions, theta/gamma is approximately constant regardless of strike or time to expiration. A 1-year option decays at the...
Try changing the time zone to EST instead of GMT. I don't know why but EST works for me but not GMT.
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