Tuesday, March 9, 2010

Re: [TheOptionClub.com] Worst Case Margin

 

Murthy,

The ES contract has a delta of 50, so taking your (925-900) and multiplying by 50, the value
of a 25-point move in the ES is $1250 per contract.  An ES option is for the delivery of ONE
ES contract.

The TOS webpage shows the deltas for various futures contracts.  From the main page, mouse
over "Why thinkorswim" and select "Order Types & Products".  After the page loads, select
the "Futures" tab, then down the page a bit, select the "Stock Index" tab.  You'll get a table
with all the specs on delta, tick size, etc. for the various stock index contracts.

Hope that helped.

Tom


On Tue, Mar 9, 2010 at 12:31 PM, Murthy N <optionsmaya@gmail.com> wrote:


Tom,

Why would it be $1250 and not $2500 (forget the credit for the discussion)? 925-900, isn't it? Or did I miss something?

Murthy


On Mon, Mar 8, 2010 at 3:48 PM, Tom Mosher <inertia.trader@gmail.com> wrote:


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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