I think I am getting about 2X SPAN at my current broker, or about $13K on a M1:M2 short spread. Is it the same at IB? If so, is that because it is VIX?
Yeah. I don’t clear IBKR but most are going to req some premium over SPAN. Basis trading in VIX in the early days of the CFE contract saw margins on M1M2 spreads of a under $100 per spread.
