Questions tagged [initial-margin]

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Computing cost for crypto futures trades

I'm trying to replicate the cost of cryptofutures trade without success. Here are the inputs and the cost i got: Quantity: 1 BTC Mark Price: 11732.72 USD Leverage:20 Margin Percentage: 2.5% THE COST: ...
3
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2answers
531 views

ISDA SIMM swap sensitivities

Most of the commercial SIMM models require sensitivities to be passed in in CRIF format. The documentation mentions that "par sensitivities" need to be used. What exactly is a par sensitivity? When we ...
9
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3answers
940 views

Why does buying future options require margin?

An option is the right, but not the privilege, to trade an underlying at the strike price. Buying a stock option doesn't require any margin - I've just tested this with InteractiveBrokers, trying to ...
3
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2answers
1k views

MVA, initial margin valuation adjustment for derivatives

I have read a number articles about margin valuation adjustment (MVA), which effectively is the funding cost of the initial margin, which has become important because of the rise of central clearing ...
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1answer
398 views

Initial margin requirement as percentage, not dollar value

Problem from Finan, FM/2 On 12-30-1998, you decided to bet on the January effect. On that day, you bought 400 shares of Microsoft on margin at the price of 139 per share. The initial margin ...