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Hi everyone,
Still new and still learning! I'm working my way through a backtest right now where I sell puts only when the VIXRank is higher than 25%,. I set my initial cash to 100k however it seems like I can make ridiculous orders such as selling 200 SPY put contracts, am I missing something or is this not supposed to be possible?
I've implemented the example brokerage model from github as I thought it would prevent an order if my buying power went to 0 but supposedly it is not doing that?
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.ekz.
Curious about this as well. Did you ever figure it out?
Matt Mcwaters
@.ekz. actually no I didnt, I ended up writing my own margin/buying power calculation based on IBKR documentation so I can make sure that I have realistic backtesting! But it's very basic and only for my specific strategy
.ekz.
Sounds good!
Louis Szeto
Hi Matt McWaters, .ekz.
With reference to this GH file, the margin requirement of naked OTM short put option is calculated by:
Quantity x Contract Multiplier x (underlying price - strike price) * 0.2
In this case, it would be around $120-130K. So, it would be within the maximum margin $200K (2 x $100K).
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Matt Mcwaters
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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