Butterflies and Condors vs IB

Quote from ids:

Generally speaking, SPAN margin should be less but it is really hard to compare. For ES June options portfolio that is very close to yours:
LONG PUT 1050 SHORT PUT 1070
LONG CALL 1240 SHORT CALL 1220
Initial margin is $743, maintenance is $594. Now, if we take care about different multipliers (50 for ES vs. 100 for SPX)…
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Hi IDS thx for the example..

I just compared these two identical condors on the ES and SPX and if I am right,the max. SPAN margin cannot be higher than the max.risk which is 20Pointsx50$=1000$
Regarding the profit,you will get a slightly higher ROI on the ES Condor..
But this depends on the fills you get..

The SPX margin will remain at a constant 2000$
So no matter how the S&P moves in the coming days we can always assume that the SPAN will never cross the 1000$..
I don't understand the difference between initial and maintenance margin though (don't have such a thing on the Eurex)
A need the initial margin to open a position,the maintenance Margin is required to keep the position overnight,right?
Will my existing position be automatically liquidated by IB in case I have the maintenance margin but not the initial one?

And last but not least...
It would be interesting to see how high the margin requierements for a July CONDOR would be? :)
 
1. There is no firm reason why SPAN margin cannot be higher than the max.risk. This margin is set by pretty complicated rules established by CME. I can just suggest that is will be generally better.
2. Your logic about initial and maintenance margin is correct. Your position will NOT be liquidated if you meet maintenance margin requirements.
3. Sorry, do not have a time right now to calculate margin for you on July condor.
 
Quote from ids:

1. There is no firm reason why SPAN margin cannot be higher than the max.risk. This margin is set by pretty complicated rules established by CME. I can just suggest that is will be generally better.
2. Your logic about initial and maintenance margin is correct. Your position will NOT be liquidated if you meet maintenance margin requirements.
3. Sorry, do not have a time right now to calculate margin for you on July condor.
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Thx a lot IDS ;)

Btw,how do you calculate the SPAN margin?
Do you have CMEs SPAN Calculator or does IB use some other kind of software?
 
I usually use CME PC SPAN as a standard. We also have our own margin calculation software that gives same numbers.
 
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