CME intermarket exchange spreads for equities

DarthSidious

DarthSidious

Interest Rate Futures Inter-Commodity Spreads are well known cme link. Are there anything like this available for equities? I am specifically interested in NQ - ES and NQ - RTY. Currently I put these positions on with futures, but most brokers do not provide margin offsets as far as I know. My broker, AMP does not. I looked at cme website but didn't find anything. I may have asked similar Q here before, can't remember.

What would be the most margin efficient degenerate way of putting these spreads on than futures outrights?
 
DarthSidious said:
Interest Rate Futures Inter-Commodity Spreads are well known cme link. Are there anything like this available for equities? I am specifically interested in NQ - ES and NQ - RTY. Currently I put these positions on with futures, but most brokers do not provide margin offsets as far as I know. My broker, AMP does not. I looked at cme website but didn't find anything. I may have asked similar Q here before, can't remember.

What would be the most margin efficient degenerate way of putting these spreads on than futures outrights?
More...
@DarthSidious, since when have futures become "equities"? :) Or did I miss something? :-)
 
DarthSidious said:
...I looked at cme website but didn't find anything. I may have asked similar Q here before, can't remember.

What would be the most margin efficient degenerate way of putting these spreads on than futures outrights?
More...

They are there, you just didn't dig deep enough...

esintermargin.JPG



nqintermargin.JPG


Note you need double the RTY per NQ for the credit. For a laugh look at the YM pretzel...

ymnqmargin.JPG


Guffaw!
 
Futures are the more capital efficient solution. If you want to spread the index ETFs, like long/short QQQ against IWM, then you have to have a risk based margin, or be subject to Reg-T margin requirements. That means you need to get portfolio margin.

You can also spread the SP Sector ETFs, like 100 shares XLK vs 350 shares XLF to do a similar trade.

To be the most capital efficient, you need a risk-based margin. Prime brokerage, SPAN, or portfolio margin are the choices.
DarthSidious said:
What would be the most margin efficient degenerate way of putting these spreads on than futures outrights?
More...
You are able to get the exposure on with triple leveraged ETFs like TQQQ and TZA pairs trading, but that really is kind of a "pro" type move.

You can trade bond ETFs just like the ICS spreads on CME by trading spreads like TMF/TLT, UBT/TLT, etc.

I actually think TMF is a superior trading vehicle to the long bond rate futures even with all the spreads and offsets...
 
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A very helpful, to the point ET thread! They exist!

Doesn't look like they are exchange traded spreads per se, but margin offsets (which is even better). I will try to find any brokers supporting these margin offsets. If you guys know of any brokers that support these, kindly post. Thanks guys!
 
DarthSidious said:
A very helpful, to the point ET thread! They exist!

Doesn't look like they are exchange traded spreads per se, but margin offsets (which is even better). I will try to find any brokers supporting these margin offsets. If you guys know of any brokers that support these, kindly post. Thanks guys!
More...
You need to ask or look for futures brokers who do SPAN MARGINS. Like ADM Investor (https://www.admis.com/) for example. They smaller ones like AMP usually do not have the staff for this margin calculation, which I do not understand too. But it seems more like a firm policy they have. Larger brokers do that all.
 
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