The Stack Overflow podcast is back! Listen to an interview with our new CEO.

Questions tagged [margin]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
2
votes
2answers
84 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 ...
3
votes
2answers
128 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 ...
0
votes
0answers
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 ...
1
vote
1answer
63 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 ...
1
vote
1answer
74 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. ...
1
vote
0answers
58 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 ...
1
vote
0answers
23 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 ...
0
votes
1answer
41 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 ...
1
vote
0answers
21 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 ...
5
votes
1answer
406 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 ...
1
vote
0answers
23 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) ...
1
vote
1answer
30 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. ...
2
votes
2answers
5k 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 $S_t$. ...
0
votes
2answers
117 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 ...
1
vote
1answer
2k 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 ...
4
votes
1answer
252 views

Does margin trading affect market price?

Does supply and demand in CFD trading affect the actual price of financial market?
2
votes
0answers
62 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 ...
3
votes
0answers
507 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 ...
0
votes
1answer
498 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 ...
1
vote
0answers
133 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 ...
9
votes
3answers
406 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 ...
2
votes
2answers
941 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 ...
7
votes
0answers
241 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 ...
2
votes
1answer
224 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 ...
1
vote
1answer
115 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 ...
1
vote
1answer
61 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 ...
0
votes
2answers
175 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 ...
2
votes
0answers
116 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=...
1
vote
1answer
128 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 ...
1
vote
1answer
9k 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, ...
3
votes
1answer
673 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 ...
1
vote
1answer
387 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 ...