Questions tagged [margin]
The margin tag has no summary.
56 questions
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How to see which ETOs on CME have futures-style vs equity-style margining
CME describes two styles of determining variation margin on exchange-traded options: equity-style and futures-style, and indicates that the margining style affects the value of a contract.
https://www....
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Partial scaling out - how does it work with margin
How does scaling out exactly work? For example if I have \$2 in my account, and buy 100 euros (say exchange rate is 1 eur = 1 usd) with 2% margin (so \$98 borrowed). It rises to say 1.02 USD for EUR ...
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Clarification of a term used in margin management by top counterparties
I am doing some primary research on margin management for different global counterparties and have come across the paper "The European central counterparty (CCP) ecosystem" by Armakolla et ...
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Where can I find OCC TIMS methodology?
I searched the web, but could not find OCC TIMS methodology detailed description anywhere. Any ideas?
OCC TIMS
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How the margining system worked in this situation?
In Section 2.5 of Options, Futures, and Other Derivatives (8th edition), there is a paragraph discussing the credit risk associated with the operation of margins:
The whole purpose of the margining ...
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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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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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447
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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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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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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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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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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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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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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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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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- 133
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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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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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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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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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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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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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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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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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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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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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