Getting an The "extra bang for the buck" on SPAN margin

Discussion in 'Options' started by mance, May 8, 2005.

  1. mance

    mance

    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=32€)
    JUNE CALL 3200 (Prem. 0,9=9€)

    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 8600€,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 :)
     
    #41     May 11, 2005
  2. just21

    just21

    #42     May 16, 2005