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ArbTdr
Registered: Oct 2012
Posts: 3 |
10-08-12 06:06 AM
I am looking to trade futures and options on futures combos. Example: long ESZ12, Short ESH13, Long ESZ12 1400 PUT, Short ESH13 1400 Call.
At my current broker, IB, these gets priced in TWS and I am able to get margin. However, when I place the order TWS gives an error "Combo not supported". IB's support asked me to break these orders, as I can only place FUT OR FOP, not combo for FUT/FOP, but required margin on broken order is 5x of the combo.
Can anyone suggest a broker who let me trade these combos?
Thanks in advance.
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comintel
Registered: Jun 2008
Posts: 1077 |
10-08-12 02:07 PM
Quote from ArbTdr:
I am looking to trade futures and options on futures combos. Example: long ESZ12, Short ESH13, Long ESZ12 1400 PUT, Short ESH13 1400 Call.
At my current broker, IB, these gets priced in TWS and I am able to get margin. However, when I place the order TWS gives an error "Combo not supported". IB's support asked me to break these orders, as I can only place FUT OR FOP, not combo for FUT/FOP, but required margin on broken order is 5x of the combo.
Can anyone suggest a broker who let me trade these combos?
Thanks in advance.
Did you try specifying direct routing to the exchange?
Sometimes this allows additional spreads.
In any case, you want a spread, not a combo order. Combo orders are held on IB's servers I believe.
As to margin, I am sure that that will be correct anyway once you have both positions in place.
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ArbTdr
Registered: Oct 2012
Posts: 3 |
10-08-12 04:28 PM
I created a 4 leg directed spread on GLOBEX; after getting the margin and pricing, the system rejected the order.
The only way to place FUT and FOP trade will be to break it up, but the initial margin will go up to $25k from $5k and my account is only $10k.
Any input from Interactive Brokers regarding support for FUT/FOP spread (combo).
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comintel
Registered: Jun 2008
Posts: 1077 |
10-08-12 10:12 PM
Quote from ArbTdr:
I created a 4 leg directed spread on GLOBEX; after getting the margin and pricing, the system rejected the order.
The only way to place FUT and FOP trade will be to break it up, but the initial margin will go up to $25k from $5k and my account is only $10k.
Any input from Interactive Brokers regarding support for FUT/FOP spread (combo).
The margin should be be correct afterward if you can actually do the two trades separately.
It is very routine to hedge futures with options and vice versa and this is part of the SPAN calculation that IB uses.
I have done it many times.
It may be just quoting incorrectly what the margin will ahead of time. I have seen it do that.
If it blocks you completely when you try to do it as two separate trades in succession, that may be a bug.
You may have to do it as 4 trades in just the right order, with long sides first in each month.
However, another wrinkle in IB's margining system is that they penalize you additionally for options in distant months (the 2013 option). That might be what is happening. I did find that futures options margins are erratic at IB.
If you chat with them, they can go over the margin.
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