How to determine CL calendar spread margin

JangoFolly · Apr 6, 2007

From this link, can someone please confirm exactly what the margin would be for a May-July CL spread (Group/Tier 2 = $250)?

http://www.nymex.com/CL_marg.aspx

Thank you.

nazzdack · Apr 7, 2007

????...........135% of $400?....$540 per spread? Don't quote me on that. The May/June spread is making new lows. Maybe it's due for a rebound.

JangoFolly · Apr 7, 2007

Quote from nazzdack:

????...........135% of $400?....$540 per spread? Don't quote me on that. The May/June spread is making new lows. Maybe it's due for a rebound.

I'm glad that I'm not the only one who doesn't come away with a clear answer.

JangoFolly · Apr 9, 2007

Quote from nazzdack:

????...........135% of $400?....$540 per spread? Don't quote me on that. The May/June spread is making new lows. Maybe it's due for a rebound.

You are correct. At IB on the May/June spread, the initial margin is $540 and the maintenance is $400.

jimbohanna · Apr 10, 2007

The Nymex site is confusing. Is the import of their "groups" that you are charged whatever is the highest margin for either leg of the spread? (i.e., if one leg is the front month, the margin is $540 no matter what the other leg is?)

JangoFolly · Apr 10, 2007

Quote from jimbohanna:

The Nymex site is confusing. Is the import of their "groups" that you are charged whatever is the highest margin for either leg of the spread? (i.e., if one leg is the front month, the margin is $540 no matter what the other leg is?)

I tested the May/July spread and the margin is $270 initial and $200 maintenance.

andiamo · Apr 19, 2007

Stupid question but I have to ask...

How do you bring up the calendar spreads in IB? What ticker symbol did you use? I can get the May crude market or the June crude market, but I don't know how to bring up the May/June spread.

Quote from JangoFolly:

You are correct. At IB on the May/June spread, the initial margin is $540 and the maintenance is $400.

gkishot · Apr 19, 2007

put in the symbol and use combo option on the pop up menu.

JangoFolly · Apr 19, 2007

Quote from andiamo:

Stupid question but I have to ask...

How do you bring up the calendar spreads in IB? What ticker symbol did you use? I can get the May crude market or the June crude market, but I don't know how to bring up the May/June spread. B]

The spreadtrader in TWS should be able to do it; however, there is a bug for the CL contract that is supposed to be fixed in the next update. When you try to load the CL futures, you only get Colgate SSF.

andiamo · Apr 19, 2007

Cool...thanks!