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Questions tagged [margin]

The tag has no usage guidance.

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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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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 ...
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1answer
40 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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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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1answer
157 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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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
22 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
3k 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
99 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
1k 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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1answer
201 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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0answers
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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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412 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
437 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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0answers
113 views

OTC Variance Swap margin

It is not clear for me the mechanism of margin requirements for OTC Variance Swaps. I dont saw in supplementary information to OTC Swaps the rules of margin maintance or initial margin or something ...
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3answers
329 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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0answers
221 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
172 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
110 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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2answers
169 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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0answers
106 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
124 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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0answers
7k 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
633 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 ...