Which provider allows covered calls on FUTs

Discussion in 'Options' started by traderwald, Jul 21, 2019.

  1. Robert Morse

    Robert Morse Sponsor

    ES Futures margin is only 6930/Future. I assume long Future and long put is less than $6930 plus the value of the put but it takes me too long to model that on the CME SPAN calculator.

    The notional value of the ES future is the price*$50. E.G. $2990*$50=$149,500
     
    #11     Jul 22, 2019
  2. "You keep looking at notional value. Not sure that is the best process."

    I am not sure what other value is there to look at ?
     
    #12     Jul 22, 2019
  3. ETJ

    ETJ

  4. Robert Morse

    Robert Morse Sponsor

    $50/point/future.
    September ATM IVOL is about 10.
    16 is about a 1% move.
    That implies right now about a 0.625% move per day or 18 points per day.
    18*$50 = $900
    I'm doing a lot of rounding. Sep is more like 11+,
     
    #14     Jul 22, 2019