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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?
Can you help answer these questions from other members on NexusFi?
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 .
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
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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
Symbol
Net Fut.Value
SPAN Req/Maint
SPAN/NFV
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
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 [AUTOLINK]CME[/AUTOLINK] 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
Symbol
Spread Value
Net Fut.Value
SPAN Req/Maint
Gross Margin
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%
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.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
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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!
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