Calendar Spread Margin Benefit

Elm shall be charged on both individual legs.

Calendar spread margin benefit. No benefit in elm shall be provided for spread positions i e. So far only calendar spreads or spreads consisting of two contract variants have the same underlying commodity. Currently margin benefit of 75 per cent in initial margins is given in spread trading.

A 60 of the margin computed on the basis of the applicable rates on leg 1 contracts. Leg 2 is the higher of the two. Those are vega positive trades which means they benefit from increase in iv.

They are based on the same underlying market and strike price. The calendar spread margin shall be as follows. The benefit for a calendar spread would continue till expiry of the near month contract.

Elm shall be charged on both individual legs. Those are my rules yours might be different. Maximum benefit in initial margin on spread positions is restricted to 50.

A calendar spread is a trading strategy for futures and options to minimize risk and cost by buying two contracts or options with the same strike price and different delivery dates. Initial margin after spread benefit has been able to cover mtm on at least 99 of the days as per back testing. 2 2 maximum benefit in initial margin on spread positions is restricted to 50.

These individual purchases known as the legs of the spread vary only in expiration date. No benefit in elm shall be provided for spread positions i e. The calendar spread benefit is the aggregate of.