Margin requirements for calendar spreads

[jobysid]

Hi,

Can anyone please suggest me the margin requirements for calendar spreads. I am specifically looking for crude oil and RBOB gasoline.. My broker has put a margin of close to $5,500 for one lot of crude calendar spread (CLU0-CLX0). Is it reasonable and the standard rate? I tried to get the information from CME website (http://www.cmegroup.com/wrappedpages/clearing/pbrates/performancebond.html), but may be due to my lack of experience, couldn't really figure out the requirements for spread calenders. I may be wrong, but after reading the several posts in this forum I had an impression that the margin requirements for calendar spreads are minimal (in hundreds rather than 1000s). Any help is highly appreciated.

Thanks
Joby

 

[-oo0(GoldTrader)]

Aloha Joby,
What you say is true. With calendar spreads during normal times margins can run a few, down to even $100.00 per spread.

Can anyone please suggest me the margin requirements for calendar spreads.

Margins are somewhat dependent on volatility. When the volatility goes up your broker may require more than the exchange minimums. Look at it as more than the market is likely to move in a day.

The exchanges web sites are pure junk. I do not know whom they are written for. They are not written for seasonal spread traders. Just consider them fantasy. Call up some broker when the markets are closed and they can give you today’s margins. Get a second opinion when you don’t like what they tell you. Joe Ross use to list spread margins on his web site.

If it is not a calendar spread, say one leg in gasoline and another in crude, what you show for NY is reasonable. Nothing would surprise me as to how much they will take you for in a day.

High margins should be taken as a warning that your return on margins is not likely to be to great. Look for easier spreads to trade.

 

[jobysid]

For the beginners (like I was when I started this thread), who follow this thread here is how you can find it

1. Go to the link http://www.cmegroup.com/wrappedpages/clearing/pbrates/performancebond.html
2. Under the product of your choice, select (click) the intra/inter commodity rates which ever is applicable. In my case it is intra commodity since I am doint the trading on crude oil for two different months (legs)
3. Before you proceed further you need to understand the tier under which the two different legs (months) of your trade belongs to.. there is a link in the page you are currently navigated to with the wordings "Click here for Tier Description" . Open this link and find out the tiers for both the legs
4. Back to the previous page..search for your product and the tiers to which your legs belongs to..For example you may find something like "Light Sweet Crude Oil (CL, CS, WS, 26) - Tier 1 vs. Tier 3 "
5. If you are looking for the spread margin for light sweet crude oil (CL), find the first row representing speculative or member (based on your category) You may find something like
Spec $2,363 $1,750 . On the day of your initial trade you should maintain a margin of $2,363. On the subsequent days you should maintain a margin of $1,750

 

[jobysid]

My friends in CME did it again.. They screwed it such a way that the person who developed the margin calculation himself may find it difficult to understand it.. So here are the updated instructions for crude oil calendar spread..(for others who use these instructions for calendar spread margins, please find your product code and use it instead of CL)

click on http://www.cmegroup.com/clearing/margins/index.html

1. Select the tab "intras"
2. Select Exchange as NYM, Asset class as CRUDE OIL and the product code as CL-LIGHT SWEET CRUDE OIL and click on FILETER to filter your criteria(pls note: at the time of writing this message, filtering on product code doesn't work)
3. The filtered result appears. You get currently around 512 results spanned over 11 pages and product codes not in any order (pls note: SORT on product code doesn't work)
4. In the filtered result, each group of calendar spread or other applicable items are highlighted with a single color. You may find one or more lines for each group which represent the different legs. For a crude calendar like the one I trade (buy one leg(future contract) & sell another leg) there should be two lines under one group and the product code should be CL and the ratio should be 1 for each line. You can ignore the data under column SIDE
5. The start month and end month in a line for a particular group may have the same value or different values. This is typically called a tier. Pls check whether the expiry month of your future contract (any of the legs) falls in the range of the start month and end month in a line. If so, you can assume that the given leg falls under the given tier
6. Identify the group of the data in the filtered result such a way that one of your legs(expiry month of the future contract) falls under one tier/line and the other leg of the calendar spread satisfies the other tier in this group..This means you found the margin requirement data corresponding to your calendar spread
7. Once you identify the group from the filtered result, find out the corresponding initial margin and maintenance margin.

Example: Today I am looking for margin for my calendar spread position (crude oil July 2011 and Jan 2012).
In the seventh page in filtered results, I identified the data with product code as CL and ratio as 1 each in both the lines of this group. I ignored the sides. For the line marked as side B, the start month and end month are 11/2011& 10/2012 which satisfies my Jan 2012 leg. For the side marked as A, the start month and end month are 04/2011& 07/2011 which satisfies my July 2011 leg. The initial margin was marked as 3375 USD and the maintenance margin as 2500 USD.