Options on E-Mini S&P Futures

Discussion in 'Options' started by OneHipCat, Apr 23, 2006.

  1. The haircut is the lesser of:

    1) 100% of premium

    or

    2) Perf. bond on the futures


    For the vast majority of trading the exchange-req for long vol is to post 100% of premium. As shown in the image; the long atm haircut is 100% of premium.

    There is no SPAN treatment for long call or long put. It's arbitrary and limited to the performance bond on futures. That caveat does not make a long call or put treatment "risk based".

    So Randek, what is the "margin" requirement on a long atm call or put with SPAN treatment? Do you think it's coincidental that it's the $premium? Try a 50-handle itm call or put, same req, $prem.

    :D
     
    #21     Apr 24, 2006
  2. Randek

    Randek


    LOL

    I know the answer and you know the answer. But I don't think you were clear with how margin treated ITM or OTM options and that's why your initial response was unsatisfactory.

    :D
     
    #22     Apr 24, 2006
  3. Well, between the two of us I posted the correct scenario under all deltas. If you're such an expert why did you need to wait for me to post the correct answer?

    I'm certainly no expert on SPAN, but am knowledgeable on VaR -- they're somewhat similar.

    In any event, we were both wrong -- I was simply less so. Bye bye.
     
    #23     Apr 24, 2006
  4. ids

    ids

    Let me elaborate it. The requirement is a sum of premium and SPAN risk margin minus option value. Premium is equal to the value at the moment of purchase. So, the requirement is dictated by SPAN. The point is for a portfolio that has long options only the risk margin cannot exceed options value. This is one of SPAN rules. If risk margin is not less then the value, the requirement will be equal to the value and premium. In other case, the requirement can be less then premium. Shortly speaking, the requirement cannot exceed the premium. In a sense, you both are right.
     
    #24     Apr 24, 2006
  5. Buy1Sell2

    Buy1Sell2

    Please tell me that this is not a serious discussion taking place here.
     
    #25     Apr 24, 2006
  6. Randek

    Randek

    Well, RiskArb, your answer just made no sense in the first place. It's not as simple as just multiplying 50 to whatever premium value the option is. Not every option is going to be ATM.

    And you're the one who challenged me to show you where you were wrong.

    Then I showed you up with very basic math, and you get mad at me?? LOL

    I think that popping sound is still going on in your body. :p
     
    #26     Apr 24, 2006
  7. You didn't "show any math" and under the all scenarios I was correct. What you still don't grasp is that dynamic haircut is NOT applied to single call or put buys, regardless of the fact that FOs are margined on a risk-based system when trading short vol; it only appears so to those operating a severe intellectual deficit, like yourself.

    "Body make popping sound." Wow, you only needed 15mins to post that awesome rejoinder.

    Vein vessel.
     
    #27     Apr 24, 2006
  8. Randek

    Randek

    So I guess this is how RiskArb reacts when he gets schooled on elementary things.

    The amusing thing is that you didn't even need to be an "expert" in SPAN, which was your excuse.

    Maybe if you only had a few more IQ points, you could have easily realized the obvious flaw and that your answer just made no mathematical sense at all when dealing with high-delta options.

    LOL
     
    #28     Apr 24, 2006
  9. Buy1Sell2

    Buy1Sell2

    This is ridiculous-- long options have no margin requirement. They cost what they cost. Riskarb is right on every count. Get right.
     
    #29     Apr 24, 2006
  10. rendek
    may i learn some more from you?:D
     
    #30     Apr 24, 2006