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 410⬠This is the premium MArgin Additional Margin is 5670⬠TOTAL MARGIN:6000⬠Lets have a look at some possible unfavorable moves: Future Date: MAY25 Underlying: 3100 (quite a rise) New Total Margin: 13800⬠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 : 6100⬠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 :8200⬠MAY25 EUROSTOXX at 2800 TOTAL MARGIN:5000⬠I would be curious about the behavour of the SPAN Margin in such a case
Using PC London SPAN. Available from http://www.lch.com/services/technology/pcspanv4.asp?noflash=true Step 1. Click on download the daily risk parameters.