If you are holding an open long ES trade of 1 contract and you then want to short 1 ES contract at a later point in time, and hold overnight (leave aside for the moment the question of why?), is your margin requirement $5625 for each of the contracts, so $11250, or is adding the second contract on the opposite side of the market (realizing it can't be the same expiration month) irrelevant from a margin perspective, so long as the number of contracts is the same and I would only need $5625 for the entire position?
Margin requirements in this scenario
- Thread starter logic_man
- Start date
Logic, when you (for example) buy 1 March11 ES contract, the initial performance margin will be $5,625. If you manage to sell 1 June 11 ES contract before the closing settlement, the initial performance bond for the combined position [ long 1 March ES and short 1 June ES ] is only $50. In other words, you can carry that position overnight for just $50.
From CME:
Revised 02/23/2011.
Spread Calculation Example
EQUITY INDEX -- IntraCommodityRates
S&P 500 Stock Index - All Months-E-mini S&P 500 (Dollar)
Spec $50 $40
Hedge/Member $40 $40
In another case, the following example means that you can carry this spread overnight for 10% of the margin requirement of the unhedged futures position.
Revised 02/23/2011.
EQUITY INDEX -- InterCommodityRates
Dow Jones (CBOT) (11) vs. S&P 500 Stock Index (SP)
Spread Credit Rate +3:-1 90% 90%
DOW JONES (11)-$10DOW JONES FUTURES (11)
Spec $13,000 $10,400
Hedge/Member $10,400 $10,400
Note: SPAN margin credits get assigned by the exchange for carried positions, and since FCMs are exchange members they have no choice in the matter - they have to comply.
We work with FCMs that will extend these credits to intraday trading margin capitalization through modified risk settings to the trader's execution platform.
From CME:
Revised 02/23/2011.
Spread Calculation Example
EQUITY INDEX -- IntraCommodityRates
S&P 500 Stock Index - All Months-E-mini S&P 500 (Dollar)
Spec $50 $40
Hedge/Member $40 $40
In another case, the following example means that you can carry this spread overnight for 10% of the margin requirement of the unhedged futures position.
Revised 02/23/2011.
EQUITY INDEX -- InterCommodityRates
Dow Jones (CBOT) (11) vs. S&P 500 Stock Index (SP)
Spread Credit Rate +3:-1 90% 90%
DOW JONES (11)-$10DOW JONES FUTURES (11)
Spec $13,000 $10,400
Hedge/Member $10,400 $10,400
Note: SPAN margin credits get assigned by the exchange for carried positions, and since FCMs are exchange members they have no choice in the matter - they have to comply.
We work with FCMs that will extend these credits to intraday trading margin capitalization through modified risk settings to the trader's execution platform.