CME Announces Latest Expansion of Equity Index Product Line

Those 20% margins seem lame. I have perhaps a silly question. I see that the intra-commodity spread margin rate is only 5%. Is that spread controlled to correlated assets. For example could I find a commodity which doesn't move at all, pair it with an index future, and get away with putting up less margin. I know that sounds strange but any input on creative uses of the intra-commodity spread rates would be appreciated.
 
Quote from opmtrader:

Those 20% margins seem lame. I have perhaps a silly question. I see that the intra-commodity spread margin rate is only 5%. Is that spread controlled to correlated assets. For example could I find a commodity which doesn't move at all, pair it with an index future, and get away with putting up less margin. I know that sounds strange but any input on creative uses of the intra-commodity spread rates would be appreciated.
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What commodity doesn't move at all? Unless you consider illiquid contracts which you can't trade in and out of anyways without giving up a load of edge.

To answer your question, I have always seen brokers calculate spread margin individually for each and every pair, I have no idea why this is so vague - one could safely assume that the 5% only applies to spreads between these new products.

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http://themarkettruth.blogspot.com/
 
I have to correct myself here. I believe what they meant by spread is not the typical pairing we picture. Aren't those margins specifically for trading different dated contracts, i.e. long this months contract, short the next, hence the "intra-commodity" aspect. Sorry, what was I thinking?
 
Quote from opmtrader:

I have to correct myself here. I believe what they meant by spread is not the typical pairing we picture. Aren't those margins specifically for trading different dated contracts, i.e. long this months contract, short the next, hence the "intra-commodity" aspect. Sorry, what was I thinking?
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Yes, sorry, I misread it as well. What we have been referring to is inter-commodity spreading :)

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http://themarkettruth.blogspot.com/
 
yes the ETF futures minimum margin is at least 20%.

this is according to the rules, the ETF future being a security future.
 
Funny, ICE seems to be going in the opposite direction. They are deliberately creating brand new futures contracts with enormous sizes, that Joe and Mary retail trader will never touch. Read the paragraph titled "Bigger". Hmmm.

https://www.theice.com/foreign_exchange.jhtml

https://www.theice.com/publicdocs/futures_us/Millions_Currency_Pairs.pdf


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It's not all that big of a contract and it should work out well. I spoke with some people from ICE at the FIA show and this product is encouraging. I suspect a nice spread market (with a ratio or course) will evolve out of this between the CME fx contracts and the spot market
 
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