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How did you calculate SPAN margin for a credit spread on CME website? I've attached a picture and I wonder if the number "$14,360" is the margin I am required to put in?
If that is the case, why currently TOS requires only approx. $7,700 for the same amount of contracts (LONG 20 P1950 and SHORT 20 P2000). Pictures are also attached.
If that is not the case, can you guys show me the right way to calculate the SPAN margin for vertical credit spread on CME website? Greatly appreciate
Can you help answer these questions from other members on NexusFi?
Here is XLS-SPAN (05 beta) the bare-bones version I had mentioned earlier. The majority of the code has been reworked and in my opinion has better performance than the previous code.
A few notes:
-This was created to work with Excel 2007+ in the …
Quick question, have you done seasonals like this for every month? I've been quietly trading the 1:2 spread in lots of 10 with a max of 50 at any one time. So far it's working well but I'm taking Nov. off for obvious reasons and if Trump gets elected somehow I'm gonna re-think the entire strategy .
If you go to the link you can look at any month for many commodities. Over the weekend I added some so that CL, NG, ZC, ZS, ZW, LH, ES are now available. More to come as I can find the time.
Based on how the discussion has been going over the past few posts I wanted to see if there has been any additional thought given to exiting a position when it moves against you. Since most of us have not moved to or are considering moving to much higher margin excesses, in my case 9x-12x and with Ron maybe 6x or more, how has that affected your exit or roll strategy?
For me I'm thinking of rolling out when the market hits 1 standard deviation or earlier...perhaps when it breaks a major technical Resistance line. Does anyone have other thoughts to add?