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Here is the same spreadsheet using SPAN IM which is the margin that Ron uses to compute ROI. I didn't add the highlights, but the situation is the same. Short strangles in the ES aren't a viable strategy at this time.
EDIT: I also added the NG ROI Matrix for comparison. This is also based on Friday's SPAN IM.
Can you help answer these questions from other members on NexusFi?
MU2PILOT - In your pdf for Natural Gas, I noticed 30 DTE (today), Previous Value (settlement price on Friday) and that the file was uploaded about noon central today. What's the source of the BID, ASK and PRICE? Thanks.
Thanks. They must use the same or a similar data source as OptionsXpress. I rarely trade through OX, but I glanced at their NG futures options chain after I sent my last post and they had most of the same numbers. Some of them are nonsense, i.e. a bid and ask and a 'price' outside of the range, or an extremely wide bid and ask and a 'price' at the bid. All of those fields should be zero post-session.
That was one of my complaints about OX - their chains were usually OK during the session, but post-session and over the weekend, many strikes were populated with bad data, and when they bothered to calculate IV and the Greeks (they have many empty IV and greek fields), the results would be way off, too.
Anyway, I like how you've automated that table. Sorry about the OX bitch session.
I like Hightower because they actually make some trade recommendations, with stops, and tell you when they got out and made/lost money. They had a real doozy one week ago, though; a recommendation to short Mar 4.40 NG calls and buy Jun calls at X (somewhat higher strike). I haven't followed it, but Jun futures and IV haven't run up that much and the short March call position would have been creamed.
