Anyone have any resources/info about this topic? I assume you just uses ratios that give you equal dollar values based on a moving average price. I know of a FREE seminar in Chicago next week. I can't make it but if someone local could go I'd love to have a copy of the notes. PM me if you're interested.
Are you talking about the number of futures traded on each leg?? Just take the ratio defined to get SPAN intercommodity Margins( ES-ER2 = 1/1, ES / NQ= 1/2 ... ). They are all listed on the CME website "performance bonds" link.
Well thats the same ratio you get if you calculate from the dollar value of the contracts. 73225 es 1464.50 * 50 78910 er2 789.1 *100 77420 nq 1935.50 * 20 * 2 You can't get those ratios from the performance bonds. Emini NQ margin is less than emini S&P http://www.cme.com/html.wrap/wrappedpages/clearing/pbrates/PBISOutrightEQ.htm?h=2
I was talking about this link :http://www.cme.com/html.wrap/wrappedpages/clearing/pbrates/PBISInterEQ.htm?h=2 I found it to be quite different from the ratios I came up with( it was based on average true range rather than contract value ), but who wants to pay full margin for a spread? ER2/ES spread margin is 1,5K for example( 80 % discount on a 4K + 3,5K margin ). It applies as soon as the 2 legs are entered.