I'm trying to find the correct exchange recognised spread ratio for ES-YM to get maximum margin credit - so I went to https://www.cmegroup.com/clearing/margins/inters.html#exchange=CME§or=EQUITY+INDEX&pageNumber=1 and in the drop down there is no "ES" - Just SP - is this the bigger version of ES? Is ES = SP/10? - how do I work out the correct ratio for ES-YM? If I take the current values of ES [3225.0] and YM [28472] - the dollar ratio appears to be (3225*50)/(28472*5) = 1.1338 i.e., trade 1.1338 ES contracts for every 1 YM or the closest (<20 contracts) being 17 ES to every 15 YM (see table below) diff = round(ES,0) - ES
the answer is $1243 1 to 1 ES vs YM .. ( the exchange posts the full size 250 x the index) and the YM at 1-5 for a 90% discount. so it follows that with a 90 % discount on 12,430.00 ( ym @ 5500 + es@ 6930 =12430) then 10% of both overnights gives you $1243.00 as your recognized spread margin.. feel free to PM me for more info or call 800-454-9572 and ask for John.
No - there is no “ES” from the drop down to select in the first place. The closest I could find was “SP” - the explanation Canon Trading gave is correct (ie that exchange lists SP ($250 x index) instead of the ES ($50 x index). So I just need to substitute 5 in place of 1 in 1:5 (SP vs YM) and it gives me what I was looking for.
I always thought that this kind of calculation is for intermarket and for intramarker it works like that: ES 6930 YM 5500 6930 - 5500*0,9 = 1980 USD According to info below: https://www.cmegroup.com/clearing/margins/spread-calc.html
I typed:: 6930 - 5500*0,9 = 1350 I meant: 6930 - 5500*0,9 = 1980 Too late (in my country), time to sleep