If I hold one emini s&p long overnight and I purchase a put 20 points OTM that costs me 1050 USD, and my total risk is at 1000USD, will the clearing firm let me hold less than 3500 USD for the margin? Or am I still obligated to hold the 3500 USD on Margin?
1) Your maximum potential risk is the put-premium, $1050, plus the out-of-the-money amount, $1,000. 2) The option has to be paid for in full to the seller. The premium can't offset the futures margin. The eMini S&P would be subject to overnight margin requirements by itself. 3) I could be wrong. Contact your margins department for more info.
Delta on the futures contract is 1 and delta on the long put (20 points OTM) is about minus 0.35, giving your postion a delta of 0.65. Overnight futures margin is $4500, so non-SPAN margin would be $2925. SPAN margin of $3500 to $4000 should not be a suprise. If you want a lower margin requirement then just buy a call option. After paying for the call your margin requirement would be zero.