OEX Condor Backtesting Spreadsheet

Hi Bull:

The brokers can only closeout the condor which were non Euro. style only, because as I understand from CBOE, a Euro. style option, can only be excersied, at expire date. Ex. if the option were for Jul;y, the brker cant do it till the thursday, 3rd. week in July.

Or am I mistaken?

Zhk
 
zhk,
I'm not sure where u got that info...but any option positions, American or Euro. style, can be closed prior to expiration. Of course, if u bought a Euro. style option, u can exercise it only on expiration if it is in the money. But u have to choice to resell that option on the markets before expiration if u want to...effectively u sell that right to another person who takes over ur position.
 
Ychiung

Yes you are correct. Do you trade Credit spread Options on Indexes? If you do, I would want to know how you trade.
Thanks
Zk
 
zhk,

I'm currently doing the Iron Condor on the OEX. The OEX is the American Style version of the SP100 index while the XEO is its Euro. style cousin. Two weeks ago, I did 590/595 and 555/550 spreads, receiving $60 for every $500 risked. Well, at the mo, it looks like the trade has gone bad. The OEX is now at around 558, just 3 points away from the short put strike. If it declines any further, I may have to do a roll over, i.e., closing the spreads and selling new spreads at maybe 535/530, 575/570 in order to reduce my losses. I'd probably take a 10-15% loss on this one.
 
zhk said:
Hi Bull:

The brokers can only closeout the condor which were non Euro. style only, because as I understand from CBOE, a Euro. style option, can only be excersied, at expire date. Ex. if the option were for Jul;y, the brker cant do it till the thursday, 3rd. week in July.

Or am I mistaken?

Zhk
=======================================================================
Some brokers can close OUT/LIQUIDATE your position for many reason even if its on EUROPEAN style before expiry.
See below info on conditions: ITS VERY IMPORTANT TO KNOW THESE RULES BEFORE YOU START TRADING. A GOOD WINNING POSITION CAN GET CLOSED OUT/LIQUIDATED.

IB Margin Overview .
[Sent in by employee of IB.]


IB calculates initial margin requirements at the time of each trade, maintenance margin requirements on a real-time basis, and Reg T margin at the end of each day, and will LIQUIDATE POSITIONS on a real-time basis if there is a MARGIN DEFICIENCY. Real-time margining allows IB to maintain low commissions because IB does not have to spread the cost of credit losses to customers like other non-automated brokers.

All of the calculations below as well as other real-time account statistics can be found in the TWS account window. For a detailed description of the account window and its underlying calculations, see the TWS User's Guide.

It should be noted that all liquidation are subject to the normal commission schedule. Advisor clients will not be subject to advisor fees for any liquidating transaction.

New Position Margin Calculations

Upon submission of an order request, a check is made against real-time available funds. If available funds including the order request >=0 the order is submitted, if it is negative the order is rejected. The following calculations are used to determine available funds:

Securities available funds = Securities equity with loan value - Securities initial margin requirement.

Commodities available funds = Commodities net liquidation value - Commodities initial margin requirement

In addition, you are required to have a minimum of $2,000 or USD equivalent of securities equity with loan value or commodities net liquidation value to open a new position.

Maintenance Margin Calculations

On a real-time basis, excess liquidity is checked to ensure that it's >=0, if it is negative the account is subject to liquidation on a real-time basis. The following calculations are used to determine excess liquidity:

Securities excess liquidity = Securities equity with loan value - Securities maintenance margin requirements

Commodities excess liquidity = Commodities net liquidation value - Commodities maintenance margin requirements

Reg T End of Day Margin Calculations

At the end of each US trading day (15:50-16:00 ET), a Special Memorandum Account (SMA) is checked to ensure that it's > =0, if it is negative the account is subject to liquidation. In addition, no cash withdrawal will be allowed that causes SMA to go negative on a real-time basis. SMA is calculated for all securities (stocks and options) regardless of country of trading as follows:

Special Memorandum Account=Maximum ((Equity with Loan Value - initial margin requirements*), (Prior Day SMA +/- change in day's cash +/- initial margin requirements**))

*
Calculated at the end of the day under US margin rules.
** Calculated at the time of the trade under US margin rules.
Margin Models

Margin requirements are calculated either on a rules basis or a risk basis.

For rule based margin systems, predefined, static calculations are applied to each position or predefined groups of positions (“strategies”). The following instruments are margined using rule based margins:

US stocks, index options, and stock options

Canadian stocks, index options, and stock options

Dutch index and stock options
The calculations for each of these products are described under the Trading/Margin pulldown menu.

For risk based margin systems, exchanges consider the maximum one day risk on all the positions in a complete portfolio, or subportfolio together (for example, a future and all the options delivering that future). The general calculation method is as follows:

Exchange assigns scanning ranges for price movements, volatility shifts, and other risk directions. The ranges are based on observations of historical performance of the underlying instrument.

Every instrument (stock/option/future) is valued over the ranges of price, volatility, etc. The resultant value matrix is distributed to Interactive Brokers on a daily basis.

IB values the (sub)portfolio over the matrix and determines the worst case scenario loss using standard models approved by the exchange.

The margin is calculated as the difference between the current portfolio value and the worst case value
Margin requirements for each underlying are listed on the appropriate exchange site for the contract. A summary of the requirements for the major futures contract requirements as well as links to the exchange sites is available on our Futures Margin Requirements page.

Restriction on Leverage

There is a real-time check on overall position leverage, as follows: The Gross Position Value cannot be more than 50 times the Adjusted Net Liquidation Value. Alternatively, this can be expressed as:

2% securities gross position value > Net liquidation value - Futures option value
Liquidations may occur if the Gross Position Value exceeds more than 50 times the liquidation value.

Universal Account

Although the Universal AccountSM should be viewed as a single account for trading and account monitoring purposes, for regulatory and segregation purposes, there exists a separate securities and commodities account. If there is a margin deficit in either your securities or commodities account, cash will be immediately transferred to protect the margin deficit. At the end of each day, any excess cash in your commodities account will be swept to your securities account.
 
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optionator said:
I have generated a basic excel spreadsheet for OEX Iron Condors credit trades that generates deep OTM condor ranges. The spreadsheet calculates Condor range based on 4.5X ATR, 20 day & 100 day historical volatility. The condor range assumes initiating the trade the Monday after expiry based on Expiry Friday's close. Over the two year time period analyzed, you would have lost once out of 24 trades.

If anyone is interested in the spreadsheet, please provide your e-mail and I will send it to you.

Can you e:mail me your condor spreadsheet at [email protected]. How far deep otm are you selling? What happened on the losing month was it a wipe out? Have you ever heard of Arcanum which was a fund that solely traded condors?
 
Just so u know, the spreadsheet is located at www.optionsrez.com/freestuff.htm
Click on the required index. For me, I'm primarily interested in the OEX. Well the range of values generated by the spreadsheet for the OEX is too far out of the money to earn a decent return. That's what I think. Any comments?
 
ychiung said:
Just so u know, the spreadsheet is located at www.optionsrez.com/freestuff.htm
Click on the required index. For me, I'm primarily interested in the OEX. Well the range of values generated by the spreadsheet for the OEX is too far out of the money to earn a decent return. That's what I think. Any comments?

Thanks for the link, do you trade options ? if you do trade why do you look at the OEX.for the condor. My own personal experience with condors is that the risk reward ratio is crap. Premium to market risk. You may have a good run for a while but that snake will bite you back one day and more often than not take you back to the start .

Have you heard of Max Ansbacher? this guy has been trading options on the S&P for years and has had consistent yearly profits from selling deep otm puts. no fancy strategys just simple writing.
 
optionator said:
I have generated a basic excel spreadsheet for OEX Iron Condors credit trades that generates deep OTM condor ranges. The spreadsheet calculates Condor range based on 4.5X ATR, 20 day & 100 day historical volatility. The condor range assumes initiating the trade the Monday after expiry based on Expiry Friday's close. Over the two year time period analyzed, you would have lost once out of 24 trades.

If anyone is interested in the spreadsheet, please provide your e-mail and I will send it to you.

I am much interested !

[email protected]

Thank you in advance ! Bikini
 
Sounds similar to mine

Hi,
This strategy sounds very similar to my strategy on the DAX.

Sold Jan06 5300 Call
Bought Jan06 5325 Call
Sold Jan06 5350 Put

Net Credit = 108 points

Downside hedged with order to sell Mar06 futures if market gets down to 5250.
 
mark_varney47 said:
Hi,
This strategy sounds very similar to my strategy on the DAX.
You've got the Call side right.

Put side leaves alot to be desired. You've shorted a higher strike Put than you've shorted Call strike - any reason for a Guts strangle ?

Also, calling a market order a "hedge" is somewhat optimistic.

Typo's abound ?
 
Profitaker said:
You've got the Call side right.

Put side leaves alot to be desired. You've shorted a higher strike Put than you've shorted Call strike - any reason for a Guts strangle ?

Also, calling a market order a "hedge" is somewhat optimistic.

Typo's abound ?

Profittaker,
My breakeven is at 5242 on the downside, not bad when the market is trading at 5460 level as we speak.The reason I have the futures order is in case of a large move against me, that stops me adjusting my position as I would want.I will get filled at this level on the futures but might sometimes find it difficult to get the options trades done at the necessary levels.

Regards,
Mark
 
optionator said:
I have generated a basic excel spreadsheet for OEX Iron Condors credit trades that generates deep OTM condor ranges. The spreadsheet calculates Condor range based on 4.5X ATR, 20 day & 100 day historical volatility. The condor range assumes initiating the trade the Monday after expiry based on Expiry Friday's close. Over the two year time period analyzed, you would have lost once out of 24 trades.

If anyone is interested in the spreadsheet, please provide your e-mail and I will send it to you.


I'd like to see it

[email protected]
 
optionator said:
I have generated a basic excel spreadsheet for OEX Iron Condors credit trades that generates deep OTM condor ranges. The spreadsheet calculates Condor range based on 4.5X ATR, 20 day & 100 day historical volatility. The condor range assumes initiating the trade the Monday after expiry based on Expiry Friday's close. Over the two year time period analyzed, you would have lost once out of 24 trades.

If anyone is interested in the spreadsheet, please provide your e-mail and I will send it to you.


[email protected]
 
Hittfeld said:
Would you mind sending me a copy of your spreadsheet as well?

[email protected]

Thanks

Hittfeld


Unfortunately I never received a reply or copy. I wonder, if anybody else did.

Would one of the happy few, who received the spreadsheet, kindly send me a copy to my above e-mail address?

Thanks

Hittfeld
 
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