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  #571 (permalink)
 datahogg 
Knoxville Tennessee USA
 
Experience: Intermediate
Platform: TOS
Trading: ES, NQ, CL, /6E futures options.
Posts: 346 since Oct 2012
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For the spread (ES - YM) margin varies a lot from one broker to another. For IB the margin is about $1500.
For TOS the margin is approximately $12000 . Since ES and YM are futures, does span margin apply to
the ( ES - YM ) spread?

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  #572 (permalink)
 Dudetooth 
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
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datahogg View Post
For the spread (ES - YM) margin varies a lot from one broker to another. For IB the margin is about $1500.
For TOS the margin is approximately $12000 . Since ES and YM are futures, does span margin apply to
the ( ES - YM ) spread?

It appears to apply, but since it is an inter-commodity spread there's no real discount. If you were doing a futures spread long the ES and short the YM the margin would be $2667 … $1860 for the ES and $807 for the YM (numbers from RJO Risk Analyzer).

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  #573 (permalink)
 datahogg 
Knoxville Tennessee USA
 
Experience: Intermediate
Platform: TOS
Trading: ES, NQ, CL, /6E futures options.
Posts: 346 since Oct 2012
Thanks Given: 135
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Dudetooth View Post
It appears to apply, but since it is an inter-commodity spread there's no real discount. If you were doing a futures spread long the ES and short the YM the margin would be $2667 … $1860 for the ES and $807 for the YM (numbers from RJO Risk Analyzer).

Some brokers just add the margin for each side which can typically be $10,000 - $14,000 .

Some brokers know and use the fact that the spread volatility is largely reduced. The IB maintenance margin for the (ES-YM) spread is approximately $1500.00 .

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  #574 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
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Broker: Advantage Futures
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Margin analysis used to be something I spent a lot of time looking at. It's been a while but this thread got me interested, and I'm bored, a bit of a geek, and love numbers, so here goes.

If I'm correct the maintenance margin requirement of the five major US equity index futures are -

NOTE: ME is the clearing code for the S&P 400 Midcap futures / EMD

SymbolNet Fut.ValueSPAN Req/MaintSPAN/NFVLeverage
ES14127558004.1%24.4
ME19869075003.8%26.5
NQ148023.458003.9%25.5
RTY8385534504.1%24.3
YM12607549003.9%25.7

I don't know where the $1500 ES/YM spread margin number is coming from (I could well be wrong) but if you look at this [AUTOLINK]CME[/AUTOLINK] margin table it says that a 1 SP (= 5 ES) vs 6 YM gets an 85% margin reduction. Gross margin for this position is $58400, which after the 85% reduction is $8760. Note that this is $1752 per ES contract but only on 5:6 ES:YM basis. 1:1 is higher.

The spreads on a 1:1 basis seem to be as follows

SymbolSpread ValueNet Fut.ValueSPAN Req/MaintGross MarginDiscount
ES-NQ141275706529001160075%
ES-RTY83855574203394925063.3%
ES-YM1260751520024251070077.3%
ES_ME1412755741556601330057.4%
ME-NQ1483405035062801330052.8%
ME-RTY8385511483564351095041.2%
ME-YM1260757261540361240067.5%
NQ-RTY83855644854129925055.4%
NQ-YM1260752226551061070052.3%
RTY-YM83855422203649835056.3%

You can see from this table how some brokers who don't use SPAN margining require 10-14k for these spread positions. There is an obvious strong correlation between margin requirement and Net Futures Value and less of a correlation between Total $ spread value and margin requirement.




In fact the simple regression

Margin Requirement = 0.0278 * Spread $ Value + 0.039 * Net Futures Value - 742

explains 77% of the relationship



Of course if you factored in volatility and correlation you could probably get a lot more accurate relationship.

This all assumes my PC SPAN calcs and spreadsheet skills are all correct

Thanks @aquarian1 for the post on how tables work.

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  #575 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
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Explaining the 1:1 Spread Margin Requirements

In my insomnia, I was thinking about this some more. Explaining the 1:1 spread margin requirements is actually quite easy. Going back to our ES:YM case.

We know that
- 1SP:6YM or 5ES:6YM has a margin requirement of (58400*.15) = 8760
Dividing by 6 it follows that
- ⅚ES:YM has a margin requirement of 8760/6 = 1460
But we want ES:YM not ⅚ES:YM, which is the same as
- ⅙ES + ⅚ES:YM which is 5800/6 + 1460 = 2426
which when rounded to the nearest $5 corresponds to the 2425 seen in the table above. Viola!

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  #576 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
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New laptop doesn't have lots of my old files. Just downloaded SpanPosConv and am getting the following error



any idea's?

I've tried their own sample csv file and my own, and get same error.

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  #577 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,041 since Dec 2013
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SMCJB View Post
New laptop doesn't have lots of my old files. Just downloaded SpanPosConv and am getting the following error



any idea's?

I've tried their own sample csv file and my own, and get same error.

Thanks to @Dudetooth's post on Command Line Utilities I got it working.

Needed to make 2 changes
1. Remove blank lines from the csv file
2. Change
c:\span4\util\SpanPosConv c:\span4\data\myPort.csv c:\span4\data\myPort.pos
to
c:\span4\util\SpanPosConv /i c:\span4\data\myPort.csv /o c:\span4\data\myPort.pos /t np

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  #578 (permalink)
tinaturner
BARCELONA/SPAIN
 
Posts: 33 since Sep 2013
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Dudetooth View Post
Ron, thanks for the info.

I've updated the code for the new CME archive ftp. Don't be surprised if it won't download 20140419 ... that span file is unavailable on the ftp site.

On a side note, ICE has reworked their site and now pa2 span files seem unavailable, so there isn't anything to download prior to Aug 2015. CME still has ICE pa2 files for 2013 through mid-2015 when the format was converted to the pa6/csv.

Hello Dudetooth
I'm having an issue with PC-SPAN 5d when i try to download data. The code stops runing before unzip every data, and I have to click "continue" to go on. The point where it stops is the "End sub" sentence at the end. Help please.


Sub UnZip(strTargetPath As String, FName As Variant)
Dim oApp As Object
Dim FileNameFolder As Variant

If Right(strTargetPath, 1) <> Application.PathSeparator Then
strTargetPath = strTargetPath & Application.PathSeparator
End If

FileNameFolder = strTargetPath

Set oApp = CreateObject("Shell.Application")
oApp.Namespace(FileNameFolder).CopyHere oApp.Namespace(FName).items
End Sub

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  #579 (permalink)
 Dudetooth 
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
Posts: 266 since Sep 2012
Thanks Given: 30
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tinaturner View Post
Hello Dudetooth
I'm having an issue with PC-SPAN 5d when i try to download data. The code stops runing before unzip every data, and I have to click "continue" to go on. The point where it stops is the "End sub" sentence at the end. Help please.


Sub UnZip(strTargetPath As String, FName As Variant)
Dim oApp As Object
Dim FileNameFolder As Variant

If Right(strTargetPath, 1) <> Application.PathSeparator Then
strTargetPath = strTargetPath & Application.PathSeparator
End If

FileNameFolder = strTargetPath

Set oApp = CreateObject("Shell.Application")
oApp.Namespace(FileNameFolder).CopyHere oApp.Namespace(FName).items
End Sub

@tinaturner,

Not sure what is going on ... I don't get the same issue when I download and unzip that you are seeing.

Can you either send me a copy of your spreadsheet or a screen-shot of your VBA window where the code is stopping?

Thanks

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  #580 (permalink)
tinaturner
BARCELONA/SPAIN
 
Posts: 33 since Sep 2013
Thanks Given: 2
Thanks Received: 2



Dudetooth View Post
@tinaturner,

Not sure what is going on ... I don't get the same issue when I download and unzip that you are seeing.

Can you either send me a copy of your spreadsheet or a screen-shot of your VBA window where the code is stopping?

Thanks

I attach the zip file

Thanks

Attached Files
Elite Membership required to download: XLS-SPAN (05d).zip
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Last Updated on September 23, 2021


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