For the spread (ES - YM) margin varies a lot from one broker to another. For IB the margin is about $1500.
For TOS the margin is approximately $12000 . Since ES and YM are futures, does span margin apply to
the ( ES - YM ) spread?

datahogg 

For the spread (ES - YM) margin varies a lot from one broker to another. For IB the margin is about $1500. For TOS the margin is approximately $12000 . Since ES and YM are futures, does span margin apply to the ( ES - YM ) spread?

It appears to apply, but since it is an inter-commodity spread there's no real discount. If you were doing a futures spread long the ES and short the YM the margin would be $2667 … $1860 for the ES and $807 for the YM (numbers from RJO Risk Analyzer).

Dudetooth 

It appears to apply, but since it is an inter-commodity spread there's no real discount. If you were doing a futures spread long the ES and short the YM the margin would be $2667 … $1860 for the ES and $807 for the YM (numbers from RJO Risk Analyzer).

Some brokers just add the margin for each side which can typically be $10,000 - $14,000 .

Some brokers know and use the fact that the spread volatility is largely reduced. The IB maintenance margin for the (ES-YM) spread is approximately $1500.00 .

Margin analysis used to be something I spent a lot of time looking at. It's been a while but this thread got me interested, and I'm bored, a bit of a geek, and love numbers, so here goes.

If I'm correct the maintenance margin requirement of the five major US equity index futures are -

NOTE: ME is the clearing code for the S&P 400 Midcap futures / EMD

[table]border="1"
|-
| style="font-weight: bold" | Symbol
| style="font-weight: bold" | Net Fut.Value
| style="font-weight: bold" | SPAN Req/Maint
| style="font-weight: bold" | SPAN/NFV
| style="font-weight: bold" | Leverage
|-
| ES
| 141275
| 5800
| 4.1%
| 24.4
|-
| ME
| 198690
| 7500
| 3.8%
| 26.5
|-
| NQ
| 148023.4
| 5800
| 3.9%
| 25.5
|-
| RTY
| 83855
| 3450
| 4.1%
| 24.3
|-
| YM
| 126075
| 4900
| 3.9%
| 25.7
|-
[/table]

I don't know where the $1500 ES/YM spread margin number is coming from (I could well be wrong) but if you look at this CME margin table it says that a 1 SP (= 5 ES) vs 6 YM gets an 85% margin reduction. Gross margin for this position is $58400, which after the 85% reduction is $8760. Note that this is $1752 per ES contract but only on 5:6 ES:YM basis. 1:1 is higher.

The spreads on a 1:1 basis seem to be as follows

[table]border="1"
|-
| style="font-weight: bold" | Symbol
| style="font-weight: bold" | Spread Value
| style="font-weight: bold" | Net Fut.Value
| style="font-weight: bold" | SPAN Req/Maint
| style="font-weight: bold" | Gross Margin
| style="font-weight: bold" | Discount
|-
| ES-NQ
| 141275
| 7065
| 2900
| 11600
| 75%
|-
| ES-RTY
| 83855
| 57420
| 3394
| 9250
| 63.3%
|-
| ES-YM
| 126075
| 15200
| 2425
| 10700
| 77.3%
|-
| ES_ME
| 141275
| 57415
| 5660
| 13300
| 57.4%
|-
| ME-NQ
| 148340
| 50350
| 6280
| 13300
| 52.8%
|-
| ME-RTY
| 83855
| 114835
| 6435
| 10950
| 41.2%
|-
| ME-YM
| 126075
| 72615
| 4036
| 12400
| 67.5%
|-
| NQ-RTY
| 83855
| 64485
| 4129
| 9250
| 55.4%
|-
| NQ-YM
| 126075
| 22265
| 5106
| 10700
| 52.3%
|-
| RTY-YM
| 83855
| 42220
| 3649
| 8350
| 56.3%
|-
[/table]

You can see from this table how some brokers who don't use SPAN margining require 10-14k for these spread positions. There is an obvious strong correlation between margin requirement and Net Futures Value and less of a correlation between Total $ spread value and margin requirement.




In fact the simple regression

Margin Requirement = 0.0278 * Spread $ Value + 0.039 * Net Futures Value - 742

explains 77% of the relationship



Of course if you factored in volatility and correlation you could probably get a lot more accurate relationship.

This all assumes my PC SPAN calcs and spreadsheet skills are all correct

Thanks @aquarian1 for the post on how tables work.

Explaining the 1:1 Spread Margin Requirements

In my insomnia, I was thinking about this some more. Explaining the 1:1 spread margin requirements is actually quite easy. Going back to our ES:YM case.

We know that
- 1SP:6YM or 5ES:6YM has a margin requirement of (58400*.15) = 8760
Dividing by 6 it follows that
- ⅚ES:YM has a margin requirement of 8760/6 = 1460
But we want ES:YM not ⅚ES:YM, which is the same as
- ⅙ES + ⅚ES:YM which is 5800/6 + 1460 = 2426
which when rounded to the nearest $5 corresponds to the 2425 seen in the table above. Viola!

New laptop doesn't have lots of my old files. Just downloaded SpanPosConv and am getting the following error



any idea's?

I've tried their own sample csv file and my own, and get same error.

SMCJB 

New laptop doesn't have lots of my old files. Just downloaded SpanPosConv and am getting the following error any idea's? I've tried their own sample csv file and my own, and get same error.

Thanks to @Dudetooth's post on Command Line Utilities I got it working.

Needed to make 2 changes
1. Remove blank lines from the csv file
2. Change
c:\span4\util\SpanPosConv c:\span4\data\myPort.csv c:\span4\data\myPort.pos
to
c:\span4\util\SpanPosConv /i c:\span4\data\myPort.csv /o c:\span4\data\myPort.pos /t np

Dudetooth 

Ron, thanks for the info. I've updated the code for the new CME archive ftp. Don't be surprised if it won't download 20140419 ... that span file is unavailable on the ftp site. On a side note, ICE has reworked their site and now pa2 span files seem unavailable, so there isn't anything to download prior to Aug 2015. CME still has ICE pa2 files for 2013 through mid-2015 when the format was converted to the pa6/csv.

Hello Dudetooth
I'm having an issue with PC-SPAN 5d when i try to download data. The code stops runing before unzip every data, and I have to click "continue" to go on. The point where it stops is the "End sub" sentence at the end. Help please.


Sub UnZip(strTargetPath As String, FName As Variant)
Dim oApp As Object
Dim FileNameFolder As Variant

If Right(strTargetPath, 1) <> Application.PathSeparator Then
strTargetPath = strTargetPath & Application.PathSeparator
End If

FileNameFolder = strTargetPath

Set oApp = CreateObject("Shell.Application")
oApp.Namespace(FileNameFolder).CopyHere oApp.Namespace(FName).items
End Sub

tinaturner 

Hello Dudetooth I'm having an issue with PC-SPAN 5d when i try to download data. The code stops runing before unzip every data, and I have to click "continue" to go on. The point where it stops is the "End sub" sentence at the end. Help please. Sub UnZip(strTargetPath As String, FName As Variant) Dim oApp As Object Dim FileNameFolder As Variant If Right(strTargetPath, 1) <> Application.PathSeparator Then strTargetPath = strTargetPath & Application.PathSeparator End If FileNameFolder = strTargetPath Set oApp = CreateObject("Shell.Application") oApp.Namespace(FileNameFolder).CopyHere oApp.Namespace(FName).items End Sub

@tinaturner,

Not sure what is going on ... I don't get the same issue when I download and unzip that you are seeing.

Can you either send me a copy of your spreadsheet or a screen-shot of your VBA window where the code is stopping?

Thanks

Dudetooth 

@tinaturner, Not sure what is going on ... I don't get the same issue when I download and unzip that you are seeing. Can you either send me a copy of your spreadsheet or a screen-shot of your VBA window where the code is stopping? Thanks

I attach the zip file

Thanks