just21, You will generally have smaller margin requirements. If you plan to play some kind of delta- or gamma- neutral games, then you better go for SPAN. Eurex is also fine. The difference is not that big. Eurex calculations ignore volatility variations but all other ideas are in place.
Thx for the quick check just21... But it's still too high... I remember reading some old thread about IB and this "check margin" functionality.. If you enter a contract and press "check margin" button,the figures you get are the margin you still have,not the margin which is already used.. But on the other hand I'm not yet a IB client (application pending).. Maybe you could try entering a higher numer of lots so that we could compare the results...
I agree with you but the fact that EUREX ignores the vola variations is the problem.. In case of the Eurostoxx 50,Eurex calculates a 230 Point max. move in either direction as the worst case scenario... (some 8 %) Now how probable is such a situation?
Engage brain! ESM5 $50 a point, contract value 1169*50=$58,450. 1210 May call .15 bid@.75 initial margin $1625 SPX $100 a point 1210 May call .20bid@.25 Initial margin $13447.46 dax 4400 May call 2.10 bid@2.50 initial margin $911.33.
Now we have to find a market with Span margining and tighter spreads. .15bid@.75 is ridiculous. Any ideas?
It's presently trading at 0,10-0,45,the last trade was 0,25... I would have a look at the recent SPX trades and quotes and try to get a close fill with the ES... But one other thing: You were very kind to post us the margin requirements for the MAY ES 1210 CALL. The problem is, it's a front month call so,if I correctly understood a few SPAN descriptions I read, there's an extra charge for selling front month contracts. But to get a real impression of SPAN and it's advantages,how about trying with a JUNE or JULY strangle or condor.. e.g: JUNE SHORT PUT 1100 (5,00-5,50) LONG PUT 1060 (2,35-2,60) SHORT CALL 1220 (1,60-2,00) LONG CALL 1250 (0,05-0,15) and comparing these two between the CBOE and CME Thx in advance
I don't think I can get the margin for a spread witht the check margin feature in IB TWS. I am currently putting up the difference between the strikes as margin for CBOE options and maxing out my account. If I switch to SPAN markets, or even Eurex RBM, how much cash should I leave for that 3 sigma move?