Option/Futures SPAN margin calculations
- Thread starter Robert Morse
- Start date
Robert Morse
Sponsor
That is what all the FCM prefer. They say it's easier to set margin and risk.
MattZ
Sponsor
My understanding is that CQG is using exchange-published risk arrays and they are based on SPAN. Have you used it before?
Robert Morse
Sponsor
CQG can use either preset limits or span margin. For those that want excess leverage, we can use CQG or Realtick to set that to as low as 25%, however, it does not get a live feed for options, as far as I know. That is why this tool is so useful for those that trade mainly options.
I used CQG with Wedbush for a while but I found that they were really bad at estimating live margins and had several issues with this...
The issue I had was when having positions on spreads and butterflies and trying to trade an outright, CQG would overestimate the margin on the outright and make it impossible to trade it. I raised this issue with CQG but never got a fix unfortunately. I moved to CTS to avoid these issues (it's also cheaper than CQG).
@Robert Morse : is this tool only available to Wedbush clients?
The issue I had was when having positions on spreads and butterflies and trying to trade an outright, CQG would overestimate the margin on the outright and make it impossible to trade it. I raised this issue with CQG but never got a fix unfortunately. I moved to CTS to avoid these issues (it's also cheaper than CQG).
@Robert Morse : is this tool only available to Wedbush clients?
Robert Morse
Sponsor
ryker,
The tool is available to anyone at any FCM, but the cost is different. They require a setup to get start of day; Positions files, Net liquidating value, Initial Margin requirements, Maintenance Margin requirements. Then they have to set up real-time drop copies from your FCM. The FCM and the company that provides this service, needs to be willing to put in the time and work for a small number of users.
Then for the stand alone full platfrom, their service starts at $5K/month per user. Wedbush uses them for their internal risk, so everything is set up already. They will charge only $100/month per user to get the basic version that shows positions, P&L and margins. The full version shows greeks and stress testing plus other tools. A user can view any of their accounts at Wedbush with one login. I have 4 accounts myself and I'm considering paying for this.
I was involved in building a risk platfrom at my old firm. I was very surprised when I found out this was priced this low for what it does. The cost and complexity is more than you would expect to get real time, accurate information.
Bob
The tool is available to anyone at any FCM, but the cost is different. They require a setup to get start of day; Positions files, Net liquidating value, Initial Margin requirements, Maintenance Margin requirements. Then they have to set up real-time drop copies from your FCM. The FCM and the company that provides this service, needs to be willing to put in the time and work for a small number of users.
Then for the stand alone full platfrom, their service starts at $5K/month per user. Wedbush uses them for their internal risk, so everything is set up already. They will charge only $100/month per user to get the basic version that shows positions, P&L and margins. The full version shows greeks and stress testing plus other tools. A user can view any of their accounts at Wedbush with one login. I have 4 accounts myself and I'm considering paying for this.
I was involved in building a risk platfrom at my old firm. I was very surprised when I found out this was priced this low for what it does. The cost and complexity is more than you would expect to get real time, accurate information.
Bob
http://www.cmegroup.com/clearing/cme-core-cme-clearing-online-risk-engine.html
CME Core is a free SPAN margin calculator.
CME Core is a free SPAN margin calculator.
Robert Morse
Sponsor
just21,
Have you tried to use it? It's not useable in real time. Very difficult to enter positions and upload positions. I guess there are those here that can do it, but I was not able to.
Have you tried to use it? It's not useable in real time. Very difficult to enter positions and upload positions. I guess there are those here that can do it, but I was not able to.