E-Mini vs SPY options leverage differences

A

Aston01

I am trying to understand the leverage/margin differences between the different instruments and was hoping someone could double check me.

SPY
100 shares @ $207.29 = $20,729
Daytrade req margin = ($20,729 x .25) = $5182.25
Margin per $ in notional value = 20,729/5182.25 = 4:1​
2x Oct 30 207.5 long puts (total delta 104 shares) @1.45
(2 x 1.45) x 100 = $290/104 = $279
Margin per $ in notional value = 20,729/279 = 74.2:1​
E-mini
1 contract @ $2065 x $50 = (notional value $103,250)
Daytrade req margin = $500
Margin per $ in notional value = 103,250/500= 206.5:1​
2x Nov 206.5 long puts (total delta 1 contract) @$28
(2 x 28) x 50 = $2800
Margin per $ in notional value = 103,250/2800= 36.9:1
​
So the leverage provided by the low margin requirements on the E-mini is dramatic (as is well known) in comparison to the what would be available by trading the SPY.
  1. I was struck by how capitally intensive the E-mini puts appear to be, from what I can tell they offer lower leverage then the SPY puts.
  2. Whereas buying the SPY puts provided better leverage then buying the underlying the opposite appears to be the case when it comes to the E-mini puts.

Am I missing something or is this just how things differ in the futures market?

FWIW - I've just started to learn more about futures and options on futures so I assume something in my above calculation is likely wrong.
 
Aston01 said:
I assume something in my above calculation is likely wrong.
More...
Yeah, you are comparing two different expiries. SPYOct30 vs. ESNov20.

Hence, the lower cost and greater leverage of the SPY puts. Also, you are comparing slightly ITM SPY puts to ATM ES puts - which should also impact leverage.

Another good comparison between the two is costs. Compare the capital and transaction costs of 500s SPY + 10SPYputs vs. the equivalent 1 ES + 2ESputs.
 
And don't forget the tax advantages of the e-mini futures options as 1256 contracts. That pretty much locks them up as superior over SPY options.
 
It would be more fair to compare ES options vs SPX options. You have to trade 2X ES options to duplicate SPX options. Don't bother comparing ES margin vs SPX margin for a similar position (You need a PM account to compare, not Reg-T). You have to compare the house rules of the FCM vs the house rules of the clearing broker for SPX to really compare what you can do. It very complicated and house margin rules can change at any time.

If you comparison will be without options, ES is clearing better than SPY. ES offers better tax treatment (As stated already), you don't need a locate to short or pay overnight short stock fees, higher contract size, trades all night.
 
Plus remember optionality is a big advantage of buying puts... Your pnl and margin req doesn't swing out of bounds like futures can... Like you can't get stopped out
 
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