Getting an The "extra bang for the buck" on SPAN margin

[mance]

Quote from just21:

I meant LIFFE as in pre-Euronext days. What is the link for the span calculator,I could not find it?

Here goes:

http://www.liffe.com/trade/span/span4/index.htm



http://www.lch.com/services/technology/pcspanv4.asp

Give us a post when you figure out how it works

 

[mance]

Quote from Xenia:

No. What I do is to use IB TWS´s "check margin" feature before
I open/close/adjust any position(s) that use SPAN or RBM (or whatever).

Markets: CME, CBOT, EUREX (but the mentioned feature will work with any market)

Hi Xenia..

Could you maybe post us some Premium/MArgin figures on some Calender Spreads or Condors using the "CHECK MARGIN" of the TWS....

I'm trying to compare the Margin Calculation between the Eurex RBM and SPAN...have no IB account..yet

Thx

 

[MTE]

Quote from ktm:

Just21,

I believe that if you had credit spreads on both sides of the market, that you would pay for both on the CBOE and only one at the CME.

I don't have the SPAN calculator.

That's not true, if you sell an Iron Condor then there's margin requirement only on one side and not both.

 

[Xenia]

Here is the Eurex RBM stuff:

- Risk Based Margining (Jan 2003)

www.eurexchange.com/clearing/rbm/download.html

- EUREX Margin Calculator

www.eurexchange.com/clearing/rbm/calculator.html

 

[ktm]

Quote from MTE:

That's not true, if you sell an Iron Condor then there's margin requirement only on one side and not both.

Is that a broker decided issue? I haven't traded security issues in a long while, but I thought when I used to trade CBOE SPX spreads through IB, that I got charged on both sides?

 

[MTE]

Quote from ktm:

Is that a broker decided issue? I haven't traded security issues in a long while, but I thought when I used to trade CBOE SPX spreads through IB, that I got charged on both sides?

Can't say anything about IB, but I use thinkorswim and there's only one margin, same at Optionsxpress.

 

[just21]

ESM5 $50 a point, contract value 1169*50=$58,450. 1210 May call .15 bid@.75 initial margin $64125.99

SPX $100 a point 1210 May call .20bid@.25 Initial margin $75947.46

dax 4400 May call 2.10 bid@2.50 initial margin 63411.33 euro. What is the dax contract size?

 

[ids]

1. Clearing houses set minimal margin requirements. It is up to a broker to require more.
2. IB strictly follows the minimal margin requirements implementing correspondent algorithms of calculation for every exchange. Some exceptions apply. For example, we require $25-50 minimum for every short option position.
3. All MONEP options are margined by SPAN. That includes CAC40.

 

[mance]

Quote from just21:

ESM5 $50 a point, contract value 1169*50=$58,450. 1210 May call .15 bid@.75 initial margin $64125.99

SPX $100 a point 1210 May call .20bid@.25 Initial margin $75947.46

dax 4400 May call 2.10 bid@2.50 initial margin 63411.33 euro. What is the dax contract size?

Hi just21:

The size of a DAX Option is 5€ per Index Point..
But I don't understand your margin calculation.
I just had a look at the contract and my broker would require 916€ Margin if you would sell one contract and he uses the minimal Eurex margin,no surcharges..
How did you get 63411€??? ((

 

[just21]

IDS, can you answer the main question posed by this thread. What are the advantages of trading credit spreads on the CME compared with CBOE?