SPAN margin and defined risk trades

[Aston01]

Regarding the effects of SPAN margin when trading options on futures, there seems be some noticeable benefit for certain scenarios, although a great deal of the information out there seems to revolve around the generalities of SPAN and using it with naked strategies. I am interested in a better understanding of how it relates to certain defined risk strategies compared to the equivalent Reg T instrument.

If I were to purchase

5 contracts -SPY 208 Long Jul24/Jul10 Call Calendar @1.41 = BPR $705
5 contracts -SPY 207 Long Jul24/Jul10 Put Calendar @1.45 = BPR $725

Total BPR = $1430​

From what I gather though such an offsetting position would have a lower relative BPR if purchased using the equivalent ES spread combination.

Can someone familiar with this topic possibly provide some additional clarity on where this is actually the case or not?

 

[risknav]

SPAN margin is more lenient (efficient – lower BPR) compared to not only Reg-T but also Portfolio Margin. Furthermore, this is not only the case for short (naked) strategies, but for defined risk strategies too.

SPAN margin can (and most likely will) be recalculated not only daily but as the position changes throughout the day.

That is not a negative, however it’s something to remember – don’t build a new position with margin equal to some high percentage number of your net liquidation value of the account.

 

[Steven Leeds]

Can someone familiar with this topic possibly provide some additional clarity on where this is actually the case or not?

You might want to read the CME's booklet on the subject.

CME SPAN
Standard Portfolio Analysis of Risk

http://www.cmegroup.com/clearing/files/span-methodology.pdf

-also-

http://www.cmegroup.com/clearing/margins/spread-calc.html

As an aside I am currently in 2 /ES E-mini S&P 500 iron condor trades (all OTM) with 4 contracts per trade (8 contracts total) and my margin requirements are fluctuating between $893 and $915 as of a few minutes ago (10:00AM EDT).

Best