If I sell one contract of ES Call 40 points out of money first, I can probably sell several contracts of ER2 Put 120 points out of money without increasing the SPAN margin, assuming the stock futures remain flat.
Hm... I am carefully reading SPAN description on CME site http://www.cme.com/clearing/rmspan/span/components.html and I do not see where it says that having ES option can reduce your performance bond for ER2. I am missing anything?
Hm... I am carefully reading SPAN description on CME site http://www.cme.com/clearing/rmspan/span/components.html and I do not see where it says that having ES option can reduce your performance bond for ER2. I am missing anything?
For each underlying instrument (each combined commodity) in which a portfolio has positions, SPAN will add up the Scanning Risk Charges, the Intra-Commodity Spread Charges and any Delivery Month Charges. The program then subtracts any Inter-Commodity Spread Credits that it has calculated for the combined commodity.
Unfortunately, Portfolio Margining does not talk to SPAN. Unless SEC and CFTC adopt a single margining system for securities, commodities and their derivatives, the cross-margining you mentioned will not be allowed.
