How do I work out buy/sell amounts and margin on XJO options?

[Artemisia]

I am used to the CBOE pricing for indexes, so am a little confused by the XJO. Can someone please confirm if this is correct:
eg
I sell one call contract. The bid is 81, therefore I get a credit of $810 because each point is worth $10.
I buy one call contract. The offer is 71, therefore I pay $710.

If I do this as as a credit spread, the margin is $250 per contract because the exercise intervals are 25 points.

If this was a US index, eg, SPX, it's pretty much the same as equities, where one contract is equal to 100 shares, so a bid of 20 would give a credit of $2000, and an exercise interval of 5 in a credit spread would mean a margin of $500 per contract.

 

[Artemisia]

I am used to the CBOE pricing for indexes, so am a little confused by the XJO. Can someone please confirm if this is correct:
eg
I sell one call contract. The bid is 81, therefore I get a credit of $810 because each point is worth $10.
I buy one call contract. The offer is 71, therefore I pay $710.

If I do this as as a credit spread, the margin is $250 per contract because the exercise intervals are 25 points.

If this was a US index, eg, SPX, it's pretty much the same as equities, where one contract is equal to 100 shares, so a bid of 20 would give a credit of $2000, and an exercise interval of 5 in a credit spread would mean a margin of $500 per contract.

Wow, I would have thought this was an easily answered question. Of the 155 views of this post so far, is there not a single person who knows the answer?

 

[mg11]

Wow, I would have thought this was an easily answered question. Of the 155 views of this post so far, is there not a single person who knows the answer?

Hi Artemisa
The XJO margining is different to the US - They seem to use their own version of SPAN & I believe they are reviewing their system at present - They used to have a Margin estimator on their site, but it was removed about a year ago

I believe that all Aust brokers have access to some ASX tool that gives them a good estimate of margins - give your broker a ring

 

[Artemisia]

Hi Artemisa
The XJO margining is different to the US - They seem to use their own version of SPAN & I believe they are reviewing their system at present - They used to have a Margin estimator on their site, but it was removed about a year ago

I believe that all Aust brokers have access to some ASX tool that gives them a good estimate of margins - give your broker a ring

Thanks for your reply, mg11. Reason I am asking on the forum is because I do not have an aussie broker just yet. It's a move I am contemplating as I find trading the US market late nights/early mornings is becoming a lifestyle killer.

 

[bluesjav]

Hi Artemisa
The XJO margining is different to the US - They seem to use their own version of SPAN & I believe they are reviewing their system at present - They used to have a Margin estimator on their site, but it was removed about a year ago

I believe that all Aust brokers have access to some ASX tool that gives them a good estimate of margins - give your broker a ring

That is correct the ASX uses SPAN system which takes into account different Volatility levels and price levels. I dont think the system is still that accurate that when you have a credit spread your margins improves slightly when market moves up and then deteriorates even when it is also moving up. Most brokers have their own version of margin calculator (RMS) or Risk Management System. And margins are very sensitive to time decay and margins ramps up when you are getting close to expiry.

 

[gkh]

That is correct the ASX uses SPAN system which takes into account different Volatility levels and price levels. I dont think the system is still that accurate that when you have a credit spread your margins improves slightly when market moves up and then deteriorates even when it is also moving up. Most brokers have their own version of margin calculator (RMS) or Risk Management System. And margins are very sensitive to time decay and margins ramps up when you are getting close to expiry.

Span margining on ASX is explained on this link http://www.asx.com.au/services/clearing/asx-clear-futures-margining.htm.

See this guide attached as well