Equity Futures Spread Trading

[futures_shark]

Anyone have any resources/info about this topic? I assume you just uses ratios that give you equal dollar values based on a moving average price.

I know of a FREE seminar in Chicago next week. I can't make it but if someone local could go I'd love to have a copy of the notes. PM me if you're interested.

 

[TraDaToR]

Are you talking about the number of futures traded on each leg?? Just take the ratio defined to get SPAN intercommodity Margins( ES-ER2 = 1/1, ES / NQ= 1/2 ... ).

They are all listed on the CME website "performance bonds" link.

 

[futures_shark]

Well thats the same ratio you get if you calculate from the dollar value of the contracts.

73225 es 1464.50 * 50
78910 er2 789.1 *100
77420 nq 1935.50 * 20 * 2

You can't get those ratios from the performance bonds. Emini NQ margin is less than emini S&P

http://www.cme.com/html.wrap/wrappedpages/clearing/pbrates/PBISOutrightEQ.htm?h=2

 

[TraDaToR]

I was talking about this link :http://www.cme.com/html.wrap/wrappedpages/clearing/pbrates/PBISInterEQ.htm?h=2

I found it to be quite different from the ratios I came up with( it was based on average true range rather than contract value ), but who wants to pay full margin for a spread?

ER2/ES spread margin is 1,5K for example( 80 % discount on a 4K + 3,5K margin ). It applies as soon as the 2 legs are entered.

 

[futures_shark]

Oops, I saw that page but totally missed the ratios.

Thanks.