Anyone know what the maintenance margin is for going long ESH23 / Short ESH24 (futures calendar spread)?
Futures Calendar Spread Intras
- Thread starter killATwill
- Start date
It’s gonna be something silly like $250 per spread. Is the idea based on forward dividends or something else?
Thanks. Can you provide a link to verify the amount? Can't seem to find it on the CME site, and my broker has problems quoting me accurate spread margins.
Reasons to support this trade idea:
- Likely future decline in risk-free rate
- If recession happens and vol spikes, spread likely contracts, may even backwardate a bit
- Potential of dividends getting cut if economy slows
- Direction neutrality
In terms of execution, would probably hold the second leg short and roll the front month.
And of course the inexpensive margin (if true) is enticing.
Reasons to support this trade idea:
- Likely future decline in risk-free rate
- If recession happens and vol spikes, spread likely contracts, may even backwardate a bit
- Potential of dividends getting cut if economy slows
- Direction neutrality
In terms of execution, would probably hold the second leg short and roll the front month.
And of course the inexpensive margin (if true) is enticing.
I’d imagine this would be it: https://www.cmegroup.com/markets/eq....html#span=span&marginsTab=INTRA&pageNumber=1
FWIW, the div angle is interesting, but you’d have to do a rate hedge and that would make it pretty inefficient margin-wise
FWIW, the div angle is interesting, but you’d have to do a rate hedge and that would make it pretty inefficient margin-wise
Thanks. The first example (shown below) on the page is confusing to me because there are three expirations listed.
Side A
Start Period
12/2023
06/2024
Side B
End Period
03/2024
06/2024
Maintenance $250
Any suggestions on how to locate long H23 / short H24?
Side A
Start Period
12/2023
06/2024
Side B
End Period
03/2024
06/2024
Maintenance $250
Any suggestions on how to locate long H23 / short H24?
BTW, I may have this wrong regarding efficiency, but if $250 is truly the maintenance per spread...
Assume recession happens:
- Calendar: Spread closes to 0 = (~150 points * $50) / $250 (maintenance margin) = 30:1 leverage.
- Directional: SPX loses 20% = (~940 points * $50) / $12,320 (maintenance margin) = 3.8:1 leverage.
Yes, there will be slippage due to roll, but based on those margin inputs, calendar seems like a vastly more efficient short equities play. (And probably significantly less risky.)
Assume recession happens:
- Calendar: Spread closes to 0 = (~150 points * $50) / $250 (maintenance margin) = 30:1 leverage.
- Directional: SPX loses 20% = (~940 points * $50) / $12,320 (maintenance margin) = 3.8:1 leverage.
Yes, there will be slippage due to roll, but based on those margin inputs, calendar seems like a vastly more efficient short equities play. (And probably significantly less risky.)
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You can't enter that spread. since the March 23 contract expired, well, back in March.
Yeah I mean 24 / 25
It would be 1300 bux.
But you'd not be able to enter the spread manually since there is no volume on the forward contract, so you'd have to try it with a ETS, which my broker doesn't provide access to. Speak to @bone.
Thanks. Would you happen to know what the difference is between that spread, which seems to feature 3 expirations among its two legs, and the spread in the image I've attached, which seems to have 2 expirations and also a lower maintenance?
