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You'd be surprised...

Ye, so I think there's def some dependency to regimes with these things... You could argue that the recent past represents a very different state of the mkt than what's coming.

Well, whaddayaknow, our mysterious strangle feller might end up almost doubling his money in the end...

There are places where you can see prices... None that I know of offer such information live.

You could use the swaps vs 3s to get rid of the basis malarkey... Might have to massage some data, if you want to include pre-crisis years.

Ah, that's fine, then... If this is the case, then your notion of "leverage" isn't really all that useful, at least not to me. I know, just from simple common sense, that leverage characteristics of the two cases I've given are extremely different. This is further corroborated by the...

Hold on a moment... My question wasn't about margin. I was asking about what happens if I apply your formula. Case A: 2 ES contracts: leverage = 2 x 2473 x $50 / Acct Size Case B: 1 GEU7 contract: leverage = 1 x 98.655 x $2500 / Acct Size These quantities are very similar, if my arithmetic...

Yes, sure... I think maybe there's a misunderstanding here somewhere. When I talk about "margin", I am really referring to "margin requirement". To use your terminology, the house has a rule that, in order for you to participate in the game you've described, where you bet $1 for every flip of...

May I pls answer this with a question? I can trade 2 ES contracts or, alternatively, I can trade 1 front Eurodollar contract (currently GEU7). If I apply your formula, I would perforce conclude that my account is roughly equally leveraged in those two cases. Is my understanding correct?

I am not sure I understand that... Are you suggesting that the expected volatility of the position/portfolio should not matter in the calculation of "leverage"?

Right, fine... Why is this, possibly somewhat conservative, measure of leverage not sufficient?

No, sorry, hold on... If I have an open position of X contracts, the exchange will compute total margin for this position as some F(X) (as long as we're being all mathematical and stuff). This number is solely a function of the size and nature of the trade or portfolio.

No, I mean the actual margin that the exchange actually computes for a given position... Is there anything wrong with using that as a measure of leverage? Maybe I am just confused abt what you're trying to achieve here...

Is there anything wrong with using margin to calculate leverage?

Bloomberg/Reuters/TradeWeb would have all of those, obviously... I am not aware of any other sources which would offer this.

No, not suggesting anything wrong... Just that it ends up being a bit of a complicated beast as a result of all these factors.

I would imagine that this trade is more of a steepener than an asw tightener, no?

It's just inflation, is all... We've now had a run of 4 weak(ish), disappointing core prints, which may cause the Fed to pause.

Firstly, the liquidity and the spread seem to vary depending on the time of day. It seems, for instance, that at the moment (arnd 6AM EST), CME and SGX U7 futures are half as wide as the OSE one, on similar volume. So that's one possible reason. Another reason could be the margin netting that...

Yeah, but, shirley, you not talking abt 2wk expiries here? That's just too cute, no?