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Re: Weekly Options on Futures - Initial Margin Requirement and Risk Value Discrepancies


Hi All,

I sometimes hedge my daytrading futures positions with short term weekly options on futures.
Although the volume is still much smaller then its equity index weekly futures options counterparts (such as SPY, QQQ, DIA).

I noticed that on GAIN/OEC Trader, which allows trading weekly options there are some Risk Value
discrepancies and for example, the general formula for ES options is OPTION PRICE x 50,
however OEC Trader tends to show different amounts and these are sometimes much less or even Option Price x 100+.

I inquired with GAIN Futures Risk Management specialist and he mentioned that it is caused by a combination of SPAN margin read-out and options settlement pricing and that they are planning to have it fixed in a next few months to read correct and closer to 50% of the LONG OPTION PRICES.

I hope that helps.

Best Regards,

  • P11