I'm trying to hedge a long-only equity portfolio that I've also levered through margin by either short selling the SPY ETF or selling e-mini futures contracts (looking at ESM0). I'm avoiding options as a hedging strategy for now because premiums are very expensive given where implied vol is today -- the time for options was 2 months ago, not today. I've built this quick scenario analysis to help me think through risk. The biggest risk I want to avoid is a margin call in a -50% S&P500 environment. Can someone tell me if my scenario analysis here is right, and I'm understanding hedging w/ futures vs. SPY ETF correctly? It's my first time trading futures so apologies if some of my statements/questions below are noobish: Here are the parameters I used in the spreadsheet if its not clear (numbers are just examples): A) Initial equity of $1.5mm, used to buy equities B) Margin of $900k used to buy equities if short selling SPY ETF, Margin of $980k used to buy equities if using futures to hedge C) Hedge of -$550k either by short selling $550k of SPY ETF or selling futures contracts to approximate that amount (notional) D) In the case of futures for hedging, I'm "paying" for the 10% cash collateral my broker requires using margin (hence it being under liabilities) E) My scenario analysis assumes that the S&P500 is down 50%, and my portfolio is down 53% (slight negative alpha). You can toggle between short selling and futures in cell D3. Quick questions: 1) My broker is saying $13,200 of initial margin for a ESM0 contract, and $12,000 of maintenance margin. But that spread is basically a difference of ~9.6% of notional (initial margin) vs. 8.7% of notional (maintenance margin) if say ESM0 current px is $2750. So isn't that kind of crazy? I mean the S&P500 can move easily more than 1% in a day/intraday, so wouldn't just a 1% move if I put up the initial margin requirement put me below the maintenance margin? Does that mean I need to be watching my futures account like a hawk, 24/7 just for a 1% move? Or does that mean I have to make my account a lot less capital efficient by putting up an initial margin of like 30% rather than the 9.6% they are asking me? I fundamentally don't understand this. 2) My spreadsheet implies that it would be more favorable to hedge using futures vs. shorting the SPY as it is easier to meet the 30% maintenance margin requirement and allows me to borrow roughly $80k more on margin safely in this scenario without being margin called. Am I right on this? Link to spreadsheet below: https://send.firefox.com/download/2f39331c3413452d/#GfBqOPG7IyoakbqRL8SCmQ