Re: [TheOptionClub.com] Worst Case Margin

 

This is not central to your question, but nevertheless I must point out that your max loss would
actually be $1250 (not $2500) minus the $60 credit.

The delta of an ES futures contract is (non-intuitively) 50, and this applies to the options as well.

Tom

On Mon, Mar 8, 2010 at 2:04 PM, asdfffg1 <joshuas7@hotmail.com> wrote:

This past Friday, the June 2010 E-mini S&P contract had daily movement around 1130 going into the close. In the last few hours of Friday's trading hours, we sold a ES June 2010 credit spread consisting of one short June 925put for $280, and the purchase of one June 900put for $220. This gave us a $60 credit. Lets say tonight, the ES market will tumbles in the globex session. Tomorrow morning, (Tuesday) we turn on the computer at 930AM where we observe the S&P market has plummeted to 800. Our largest possible dollar loss, after this devasting move, would be $2500, minus the $60 credit. If the trade would have been placed last Friday, with a $10000 margin account, what would be the absolute largest amount required for margin. It can't be more than $2500 can it? Thanks for the help.

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