SPAN margin on ZB options

Discussion in 'Options' started by just21, Jul 29, 2016.

  1. just21

    just21

    Any one know what the SPAN margin is on Tbond option (ZB)? I want to compare with IB.

    thx
     
  2. MD99

    MD99

    Hard to answer without specifying a particular option since each option has a different SPAN margin. The basic margin parameters used for ZB options are: range $3,750 and vol scan 0.025. You can get a pretty good estimate of the margin if you can value the option at the 16 scenarios used by SPAN defined by those parameters.

    You can also download a huge text file from the CME showing margin details for every option. While the file's intended for machine reading, it's possible to manually read the file with some effort.
     
  3. TradeCat

    TradeCat

    Have you back tested with a 100K sample size going back 30 years?

    Psshh....rookie