Double Butterfly spread

cdcaveman · Mar 16, 2016

cdcaveman · Mar 16, 2016

this account isn't funded but that doesn't matter... i don't know if its just IB or what.. but this is crazy

i960 · Mar 16, 2016

Try a dec/jun/dec one and see what it shows. It could be possible this is an IB "issue" which wouldn't surprise me in the least.

FCXoptions · Mar 16, 2016

I've noticed that on some other spreads before, it is the initial margin that they make insane, but the maintenance will be at a normal level. No clue why they do that.

cdcaveman · Mar 16, 2016

i960 said:
Try a dec/jun/dec one and see what it shows. It could be possible this is an IB "issue" which wouldn't surprise me in the least.

IB is the devil! haha there margin always has a squeezing intent to it.. flush you out to their favor.. screams of a large bucket shop

bone · Mar 16, 2016

cdcaveman said:
this account isn't funded but that doesn't matter... i don't know if its just IB or what.. but this is crazy

I am ass over alligators busy at the moment, but taking a quick look at the CME maintenance margins for CL intramarkets (should be close to Brent) tells me that something is screwy - especially for a Butterfly with only one month duration between legs.

I mean, even with only an 80% margin credit ( should almost certainly be more) that's like about $2,400 for late 2017 expiry in terms of initial margin.

http://www.cmegroup.com/trading/ene...CL&sector=CRUDE+OIL&exchange=NYM&pageNumber=2

cdcaveman · Mar 16, 2016

bone said:
I am ass over alligators busy at the moment, but taking a quick look at the CME maintenance margins for CL intramarkets (should be close to Brent) tells me that something is screwy - especially for a Butterfly with only one month duration between legs.

I mean, even with only an 80% margin credit ( should almost certainly be more) that's like about $2,400 for late 2017 expiry in terms of initial margin.

http://www.cmegroup.com/trading/ene...CL&sector=CRUDE+OIL&exchange=NYM&pageNumber=2

I completely agree... and i thought it was messed up.. this is why i brought the thing up

i960 · Mar 16, 2016

There's definitely something screwy going on with far dated spreads. TWS thinks initial margin on a may18/jun18/jul18 butterfly is like 14k whereas something like jan17/feb17/mar17 is 1.1k. I wouldn't be surprised if this has something dumb to do with the underlying contracts not having a bid/ask visible to TWS (rather than the ETS bid/ask which it would have); either way it shouldn't be using either.

i960 · Apr 2, 2016

cdcaveman said:
Obviously the more you pyriamid around the out of ssync month the more you isolate that kink from price direction in general... Although a 1331 is the threshold for anyoen I would think with retail commissions... As once you go out further in Pascals triangle 14641 you end up with exponentially large number of contracts...

Came across this the other day:

http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.196.2766&rep=rep1&type=pdf

It's fairly academic but still interesting given how little of this stuff is actually out there. However, past 1:3:3:1 my brain starts to explode.

He does find one thing many of us have found:

In other words: don't even mess with the front.

cdcaveman · Apr 2, 2016

All this information in your post are things I've picked up over time separately... And through some pain... Pascals binomial expansion is exactly the way risk is hedged with futures...