Just wondering what is the performance bond margin for an ES/NQ spread trade? Tried finding it on the CME website's performance bond list, I couldn't find one for E-mini S&P and E-mini Nasdaq? Also, what's the ratio, 2 ES x 3 NQ?
You get a 85% credit for your margin, and CME uses the ratio of 2 NQ for 1 ES. I got my information from http://www.cmegroup.com/clearing/margins/inters.html#e=CME&a=EQUITY+INDEX&p=SP
1 es is about 70k 1 nq is about 50k so at 1:1 you are net long or short es not sure what the closest size would be to get dollar neutral 3 es to 4 nq would get you pretty close it changes over time
at a prop shop I clerked at a ways back they did spu/nas in 1x2 you get a partial credit though for any combination
So the correct ratio is 1ES:2NQ. Maybe 2ES:3NQ works out as 1ES:2NQ with credit - and 1xES / 1xNQ remainder at normal margin.