Cost of carrying futures

Robert Morse said:
No interest. You are not buying on "margin" with borrowing. You have to have the funds for the CME margin requirement. Even a short future is not a borrow of someone else future that you need to deliver like an equity.
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Thank you Robert, you are always very helpful.
 
2rosy said:
Code: 
def coc (F,D,S,t):
    """
    F = S * exp (r*t) - D.
    So, r = ln((F+D)/S)/t
    Where F - Futrues price
    S - spot price
    r - cost of carry
    t - time to expiry
    D - dividends to be paid during the life of the futures contract or storage cost
    """
    return np.log((F+D)/S)/t
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Are you saying that I need to pay Dividend cost if I short a ES?
 
Overnight said:
Taking your question at face value, and assuming nothing but a futures contract with no options or other hedging, and not considering contract expirations, then the only response here that matters is what Old Man Morse posted. You pay nothing but commissions/fees on the entry and exit.

There is one sticky bit however. As of this timestamp, the margin requirement to hold a long-term (overnight) contract in ES is $5,225 per CME guidelines. Assuming that was the same requirement for your contract month at the time, your position would be liquidated if your 5K account cash plus value of contract at time of daily market settlement was not greater than $5,225.

Ergo, at the market close, if your contract was down $100, your NLV would be $4,900. That does not meet the $5,225 threshold, so you would lose $100 from your account when your position is liquidated. If your contract was up $100, your NLV would be $5,100. That does not meet the $5,225 threshold, so you would gain $100 in your account when the position is liquidated.

If your contract was up $500 at market close, your NLV would be $5,500, so you meet the $5,225 threshold. Your position would not be liquidated.

Granted, your particular broker would be able to give you the true details about this very scenario, for they may have different risk requirements above and beyond the CME guidelines. So the best bet to get to the truth would be to call your broker (in this case IB) and just ask them.
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Thank you for a beautiful explination.
So you think I can buy a put option on MAR 2017 EXP and long 1 ES Contract and margin requirement will be less than 5.2K
 
algofy said:
What? None of this makes sense...the answer to the OP question is no, there is not a cost of carry. Why do people around here make things so difficult? Is it a lack of knowledge?
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I read the threads title and the eastern warrior's post. I now see that OP question has nothing to do with the thread title
 
cutetrader said:
So you think I can buy a put option on MAR 2017 EXP and long 1 ES Contract and margin requirement will be less than 5.2K
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No, it does not work this way. The margin requirement on the ES contract will not be lowered with your option "hedge".
 
nonlinear5 said:
No, it does not work this way. The margin requirement on the ES contract will not be lowered with your option "hedge".
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Since @Overnight said in the beginning I need to maintain 5.2K if I'm not hedging, I thought this could be less if I had some options. Thank you for clarifying this. I am still learning best way to learn all tips and tricks on Futures.

From last 4 months I only made 2K, by trading 1 ES at a time. Not sure if it is worth my time or not but still planning to give it some more months.

I still remember when I made my first trade on ES, my PL was like -200 and for a sec it went to -4K and bounced back to -200 (happened in a flash while staring on screen), but later realized that was a bug in IB which did this to me.


Thank you all ET for helping me out to learn better.
 
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