To enter a position in a futures contract an initial margin is required. The margin is the money that sits in your account to cover potential losses stemming from that open position.
The statement above limits the exposure that you are allowed to take with regard to a single security. If you open a position in a futures contract, you are not allowed to open a position that would require an intial margin greater than $ 400k.
Let us assume that you wish to open positions in ES 12-14 and CL 01-15. Let us further assume that you wish to hold the positions overnight. The margin requirements are listed here:
For ES the initial margin (overnight) is $ 5,750 per contract. As your total initial margin for a single trading instrument may not exceed $ 400 k, the statement above puts a limit on your trade size for ES at 69 contracts.
The initial margin (overnight) for CL is $ 6,063 per contract. This limits your trade size for CL to 65 contracts.
With an account size of $ 1 million, you would be able to open both positions 69 contracts for ES and and 65 contracts for CL simultaneously, because the account size is larger than the initial margin of $ 790,845 that is required.
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