Single stock future, question

H

heilbronner

I just shorted 1 MSFT June Contract and bought 100 MSFT stock at the same time.
I am absolutely market neutral therefore, but IB requires approximately $ 3600 in margin for both positions. So the spread makes no sense at all. Am I doing something wrong?
 
Quote from heilbronner:

I just shorted 1 MSFT June Contract and bought 100 MSFT stock at the same time.
I am absolutely market neutral therefore, but IB requires approximately $ 3600 in margin for both positions. So the spread makes no sense at all. Am I doing something wrong?
More...

No, you are not.

Yes, it makes no sense ...
 
If you want to be market neutral using Single Stock Futures, you could buy one contract with an expiration month other than June, or buy a June contract from the other exchange than the one you sold the June contract at, rather than buying 100 shares of stock.

Your margin for these two positions together should be 5%. The price of 10 shares of MSFT.
 
First, thanks for the reply. If margin would be 5% of the whole position it would be fine. How do you calculate this percentage?
Asked IB helpdesk, but they couldn't give me an answer. So I just tried by doing it, and as mentioned before, my margin requirements rose by about more than$ 3000 for both positions!

My idea was to collect the premium of the future, which is about $0.30per share. If margin would be 5% of whole position, thats about $500. So per lot the premium for the future would be $30, which would be an effective interest rate of about 6% for about 5 months.
But this idea was too naive as it turned out.

Anyway, thanks for replies.
 
Strategy game is not available there. Because margin requirement is not calculated in a common way. Try others, for example Ameritrade.

:p
 
Look up Single Stock Future or Margin on the IB site.

"Long or short SSF
Initial: 20% * SSF market value.
Maintenance: 20% * SSF market value

Long SSF and short SSF with different expiration dates (same or different exchanges)
Initial: Maximum ((5% long SSF market value), (5% * short SSF market value))
Maintenance: Maximum ((5% long SSF market value), (5% * short SSF market value))

Long SSF and short SSF with the same expiration dates (different exchanges)
Initial: Maximum ((5% long SSF market value), (5% * short SSF market value))
Maintenance: Maximum ((5% long SSF market value), (5% * short SSF market value))"

You need a minimum of $2,000 maintenance to use margin. But $3,600 sounds like the margin for NQ futures. Try posting this on the IB Discussion Forum. Maybe def will come to the rescue if you can't get any better help from IB Chat.
 
Quote from heilbronner:

I just shorted 1 MSFT June Contract and bought 100 MSFT stock at the same time.
I am absolutely market neutral therefore, but IB requires approximately $ 3600 in margin for both positions. So the spread makes no sense at all. Am I doing something wrong?
More...

The problem here is that SSF's (at IB) are commodity accounts and options fall under the equity account. Thus, no cross margining.

However, at some point IB will allow clients to chose which account type they want:

benefits: under a security account you could cross margin.
disadvantage: under a security account you don't get 5:1 margin at all times (including overnight) and you would fall under PDT rules. Thus all accounts under 25K would be limited to how often they can trade.
 
I ran into this problem when I wanted to arb stocks and ssf's at my current firm. SSF's are supposed to be able to be held in a stock account, but so far I'm not aware of anyone that allows it. So if you lock in a spread between a stock and a futures contract, you have to liquidate the position before expiration, you can't deliver or exercise. And you can't cross margin.

I had a solid strategy in place to trade these things and had been looking forward to it since last March. But it turns out that the whole thing is still to f'd up to trade properly. Shoulda known with all the red tape and delays to the launch.
 
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