Questions tagged [margin]

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Operating Leverage Interpretation

Operating Leverage is the ratio of Contribution margin and operating income(proxy of profit). So, Operating Leverage = [Sales-Variable Cost]/[Profit] = Quantity*(Price-AVC)/Profit Many literature ...
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25 views

Higher Capital and margin requirement for bilateral Non-central cleared OTC Derivatives

The OTC Derivatives reforms after Global Financial Crisis include higher capital and margin requirement for bilateral traded OTC derivatives? I have the followings questions: The higher capital ...
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1answer
111 views

Question about Pattern Day Trading

According to the FINRA, the rules permit a pattern day trader to trade up to four times the maintenance margin excess in the account as of the close of business of the previous day. So if you have \$...
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33 views

price alignment interest on future contract

why this is no PAI (price alignment interest) on a future contact like cleared swaps have? Am I right that you may get interest from your margin account, but you do not need to pay the interest back ...
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2answers
105 views

Best way to lock in margin rate via hedging

I'm currently paying a 1.25% margin rate. This rate is based on the Fed Funds rate plus a margin. I would like to hedge against the possibility of this margin rate increasing. What is the best/...
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1answer
96 views

Operational aspects of repo funding trades

It is widely known that repurchase agreements ("repos") are regularly used by market participants as a mean to fund long/short positions in a certain asset, in particular for derivative ...
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58 views

What is an industry standard to value FX Forwards with margining?

I could not find any reference on market standard approaches to value FX Forward with margining options. Is computing the present value of FX Forward with spot, swap margin is so trivial? My ...
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42 views

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: ...
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1answer
65 views

Textbook about methodologies for computing margins (TIMS and SPAN)

I'm reading and trying to understand TIMS and SPAN methodologies for margin calculations. In the internet I found these 2 great resources and that's what I'm using to get familiar with things: TIMS ...
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1answer
208 views

short squeeze basic questions

I have a question that might appear simple for the more experienced here. I'm trying to understand the concept behind short squeezes and i'm a little lost. From what I understood: Short selling ...
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53 views

Modeling short-selling accounts

I am having trouble modeling short selling mechanics in my backtesting system. When I sell stock short, I make the following changed to account variables: Credit Balance += 200% of the stock value ...
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55 views

L/S cash-neutral portfolio exceeds margin

I am testing out a systematic, cash-neutral, long/short strategy in a paper trading account with Interactive Brokers. Each day, an algorithm tells me what my target portfolio should look like in terms ...
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34 views

How is the Jump-to-default for CDS modeled in clearing houses?

I am trying to understand how the margin is calculated where protection is sold and more specifically what type of recovery rates are assumed. Any insights would be much appreciated.
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1answer
59 views

Understanding daily installment in futures

Question: Is my understanding of how futures contract works correct? Just trying to understand the basics of futures contract and its daily installments. Consider a discrete time model where $t=0,1,...
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2answers
441 views

Delta one trading: dependence on repo rate?

I have heard a delta-one trader mentioning the dependency of its activity on interest rates, dividend yields and repo rates. While I can understand the exposure he has to interest rates and dividend ...
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2answers
866 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 ...
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39 views

Possible to have different collateral for each party?

Normally bilateral credit support annexes would have both parties post/receive the same collateral be it US treasuries or cash etc. Are there CSAs Where each party has a different set of eligible ...
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1answer
69 views

Why do some exchanges require clearing participants to post margins for cash products?

As the title reads, why do some exchanges require participants to post margins for cash products? I do understand why they require margins to be posted for futures, but why for cash products like ...
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1answer
96 views

Classifying groups of stocks beyond Market Cap/Industry/Sector

I'm monitoring margin values for a portfolio and I want to classify the stocks in my universe using different metrics/information. Just for the sake of making analysis/inferences on the data I have. ...
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73 views

Is it Possible to replicate SPAN?

I currently trade intraday Options on the nearest term expiry and futures. Both E-mini S&P. I am trying to replicate the SPAN margin calculation for the entire portfolio of options and futures. So ...
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26 views

Does a shift in prices effect Margin on Futures and their options?

In regards to ES im wondering If theres a scenerio intraday (price shock) that will effect the amount of margin im carrying. Besides PnL Kind of a dumb question, as I guess its just a function of ...
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46 views

Return on Investment for rolled options position on margin [duplicate]

I'm trying to calculate my return on investment (ROI) for an options position on margin that has been rolled. I'll give an example: Sell to Open (STO) a naked put position, for which I collect 100 ...
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26 views

Quantitative impact of Dodd-Frank Act on risk management

The US Dodd-Frank Act (DFA) introduced mandatory central clearing of standard (e.g. plain vanilla) swaps for big financial institutions in the US in 2013. It might be a broad question but: what have ...
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1k views

Risk management tools for long term Gamma/Vega sellers subject to margin calls

TL;DR: if you're a retail investor and you systematically sell long-term vertical spreads while staying Delta-neutral, your main risk comes from Vega and the Gamma of opening gaps that can throw you ...
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27 views

How does REG-T apply to non-standard option strategies

I'm trying to estimate the margin impacts from non-standard (e.g. not in the CBOE manual) option strategies. How do the rules apply to things like this: (All European) ...
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1answer
32 views

Comparing account equity vs maintenance margin on large number of positions

Forex brokers will start liquidating your positions when your account's equity falls below the maintenance margin set by the broker. ...
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2answers
9k views

Funded equity collars and margin loans

There is an article in the Financial Times today concerning equity funded collars [1]. The equity collar structure is used by a counterparty $A$ which wants to build up a position in a stock $S_t$. ...
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2answers
585 views

% Drawdown on Stock Portfolio to hit Margin Call

Margin requirement is industry standard at 30% of total portfolio (cash + margin loan) e.g. You have 600k in equities purchased with cash and 400k in equities purchased on margin loan. The total ...
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1answer
5k views

Mark to market forward contract

(All prices are in $) Say that at time $t=0$, $A$ goes long a forward contract with maturity $T$ on an underlying asset $X$ with forward price 100 \$, that is, $A$ agrees to buy $X$ for 100 \$ at ...
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354 views

Does margin trading affect market price?

Does supply and demand in CFD trading affect the actual price of financial market?
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81 views

How to estimate quantitatively the settlement period?

The context of this question is Counterparty Credit Risk. In particular, the modelling of collateral for non-cleared OTC derivatives. Regulators require collateral amounts, such as Variation Margin ...
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684 views

Optimal f (position sizing) without look ahead bias

My goal is to identify a systematic way to position sizing in the futures market. Let assume that I'm an investor with log utility. In addition, let assume that I'm reluctant in estimating the ...
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1answer
658 views

Margin modelling to backtest futures investment strategy

Let say that I have access to continuous daily time series for 20+ years of data for E-mini S&P 500 Index Futures. I have a long/short strategy to backtest that places orders either on open or ...
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159 views

Margin requirements for OTC variance swaps

It is not clear for me the mechanism of margin requirements for OTC variance swaps. I don't see in supplementary information to OTC Swaps the rules of margin maintenance or initial margin or ...
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3answers
1k 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 ...
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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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330 views

Libraries for calculating options strategy-based margin

Hopefully, this is an acceptable question in this forum, even if it isn't analytically focused. As part of an effort to analyse the effect of different option trade structures on a portfolio, I need ...
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1answer
409 views

Calculating required funds on Futures trades

I'm coding in python a backtester for trading the Futures markets (equity futures, precious metals, bond futures, etc..). When I open a position long or short, I need to deduct an appropriate amount ...
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1answer
124 views

Calculation loan's margin from bank perspective

I was wondering how bank calculates in practice the amount of money it earns after granting a credit (I hope margin is the proper word). Supposing, that the client took 3-year 10000 euros loan (36 ...
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1answer
74 views

Mechanics of futures contracts: with respect to which time reference is the variational margin calculated?

Consider the following situation. My futures exchange, Futures Inc., is open for business 9AM till 5PM EST. A few days ago I assumed a long position in a futures contract, $C$, on one unit of some ...
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2answers
201 views

if I had a 1M spread option. Would you say that was 1m notional (for IM purposes) or 1m pay + 1m rec i.e. 2m notional?

Assume I have a 1Mspread option. Would you say that was 1M notional (for IM purposes) or ...
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129 views

Gaussian Copula with t margins

I am trying to fit a Gaussian Copula with t margins to my data (log returns of two stocks). It has already worked for a Gaussian Copula with normal margins with: normcopula_dist = mvdc(copula=...
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1answer
142 views

Data on margin volumes?

I came across a Financial Times article today that said "Peaks in margin trading have been a precursor to bear runs in the past, notably in March 2000 and July 2007." I'm curious if anyone here would ...
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1answer
16k views

Margin % Bridge - Effect of Price, Cost, Volume

Given sales and profitability data for two time periods, how would I go about calculating the impact of price, cost, volume and mix margin % (bps)? I can do the analysis as a gross margin $ bridge, ...
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1answer
734 views

How can I calculate the margin requirements for a Bitcoin futures contract?

Suppose that I want to calculate what the margin requirements should be for a Bitcoin futures contract, where the contract is the USD/BTC exchange rate (settled in Bitcoins). I've looked at the SPAN ...
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1answer
422 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 ...