Questions tagged [margin]

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EWMA initial margin model risk

Let's say that someone wants to estimate the initial margin model (very simple one) with the exponential weighted moving average approach.For margin period of risk 2 days. ...
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28 views

How to control for Portfolio Margin Equity Retuirements when calculating risk vs. return (Sharpe) [duplicate]

What is the best way to control for varying margin requirements for 2 different equity securities when calculating Sharpe ratio (or any other risk return metric)? Suppose I have equity security A ...
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3 votes
0 answers
93 views

how does margin affect the Option Price when Selling an Option

Currently I'm thinking the effect of margin. When selling an option, you need to pay margin everyday and mark to market. In most exchanges, margin is overcollateralized. But when buying a option, you ...
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37 views

What does M mean in DI Deposit futures contract?

I am trying to understand the forumla for DI1 Brazilian deposit future contract. I am able to figure out everything except M in the following formula: Xt=N×M×(Pt−Pt−1Ft) Lets say if we want to ...
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1 vote
2 answers
131 views

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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1 answer
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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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0 votes
1 answer
41 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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2 answers
152 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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2 votes
1 answer
128 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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1 vote
0 answers
62 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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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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1 vote
1 answer
96 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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3 votes
1 answer
226 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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0 answers
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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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0 answers
57 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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1 vote
0 answers
42 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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1 answer
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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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2 votes
2 answers
588 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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4 votes
2 answers
1k 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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0 answers
40 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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1 vote
1 answer
72 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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1 vote
1 answer
107 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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1 vote
0 answers
84 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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1 vote
0 answers
27 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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0 votes
1 answer
48 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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1 vote
0 answers
27 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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10 votes
1 answer
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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1 vote
0 answers
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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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1 vote
1 answer
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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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3 votes
2 answers
10k 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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2 votes
2 answers
764 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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2 votes
1 answer
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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4 votes
1 answer
365 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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2 votes
0 answers
84 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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3 votes
0 answers
770 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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0 votes
1 answer
692 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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  • 340
1 vote
0 answers
168 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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9 votes
3 answers
2k 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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3 votes
2 answers
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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7 votes
0 answers
349 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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2 votes
1 answer
435 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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1 vote
1 answer
135 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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1 vote
2 answers
103 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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0 votes
2 answers
205 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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2 votes
0 answers
141 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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1 vote
1 answer
145 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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2 votes
1 answer
19k 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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3 votes
1 answer
750 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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1 vote
1 answer
430 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 ...
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