Bloomberg Breakdown:
| Bloomberg Commodity Index Swaps-100 vs. OTC Bloomberg Commodity Index Swap(DGS) Bloomberg Commodity Index Futures-100 vs. Bloomberg Commodity Index (64) |
||
| CME Product | DGS Basket of 100 | 64 Basket of 100 |
|---|---|---|
| Coffee | 1 | 1 |
| Copper | 1 | 1 |
| Corn | 5 | 5 |
| Cotton | 1 | 1 |
| Crude Oil | 3 | 3 |
| Feeder Cattle | 2 | 2 |
| Gold | 1 | 1 |
| Heating Oil | 1 | 1 |
| Lean Hogs | 1 | 1 |
| Live Cattle | 1 | 1 |
| Natural Gas | 3 | 3 |
| RBOB Gasoline | 1 | 1 |
| Silver | 1 | 1 |
| Soybean Oil | 2 | 2 |
| Soybeans | 2 | 2 |
| Sugar | 1 | 1 |
| Wheat | 2 | 2 |
GSCI Breakdown:
| GSCI Basket-100 vs. Goldman Sachs Commodity Index (GI) GSCI Basket-100 vs. Goldman Sachs Commodity Index Excess Return (GA) |
||
| CME Product | GI Basket of 100 | GA Basket of 100 |
|---|---|---|
| Brent Crude Oil | 25 | 8 |
| Copper | 6 | 2 |
| Corn | 22 | 7 |
| Crude Oil | 61 | 19 |
| Feeder Cattle | 1 | 0 |
| Gold | 3 | 1 |
| Heating Oil | 7 | 2 |
| Lean Hogs | 7 | 2 |
| Live Cattle | 9 | 3 |
| Natural Gas | 12 | 4 |
| RBOB Gasoline | 7 | 2 |
| Silver | 1 | 0 |
| Soybeans | 6 | 2 |
| Wheat | 16 | 5 |
GSCI Breakdown:
| GSCI ER Futures Basket-100 vs. OTC S&P GSCI Excess Return Swap (SES) GSCI ER Futures Basket-100 vs. OTC S&P GSCI Excess Return Swap (SE2) GSCI ER Futures Basket-100 vs. OTC S&P GSCI Excess Return Swap (SE3) |
|||
| CME Product | SES Basket of 100 | SE2 Basket of 100 | SE3 Basket of 100 |
|---|---|---|---|
| Brent Crude Oil | 8 | 8 | 8 |
| Copper | 2 | 2 | 2 |
| Corn | 7 | 7 | 7 |
| Crude Oil | 19 | 19 | 19 |
| Feeder Cattle | 0 | 0 | 0 |
| Gold | 1 | 1 | 1 |
| Heating Oil | 2 | 2 | 2 |
| Lean Hogs | 2 | 2 | 2 |
| Live Cattle | 3 | 3 | 3 |
| Natural Gas | 4 | 4 | 4 |
| RBOB Gasoline | 2 | 2 | 2 |
| Silver | 0 | 0 | 0 |
| Soybeans | 2 | 2 | 2 |
| Wheat | 5 | 5 | 5 |
| Spread Rules | ||
| Inter-commodity spreads are not allowed when either contract is in the delivery month. | ||
| Regarding any inter-commodity spreads between products with different I/M ratios, the inter-commodity spread calculations for initial performance bond requirements outlined in the current SPAN Technical Specifications (dated 5/20/94)also meet the requirements for these spreads. | ||
| There will be no performance bond requirement for spreads formed with futures contracts based on the same underlying contract in both products: i.e. SP v ES (1:5), ND v NQ (1:5), JY v J7 (1:2), EC v E7 (1:2). Combinations of different futures expirations will be margined at calendar spread rates. | ||
| Short Positions | Margins for short customer positions are based on original trade price. | |
| For short customer positions, there will be a lower margin threshold of 30% and an upper margin threshold of 70% so that if these levels are breached, there will be a margin call(in the case of a lower threshold) or a margin release (in the case of a higher threshold) to bring the margin level to 50% of the current price. | ||
| Delivery | If either contract is in the delivery month, the performance bond will be the higher of the two non-spread delivery month performance bonds. | |
| For Agricultural and Forest Products, delivery month performance bond becomes effective on the business day following the expiration of the options. | ||
| Large Currency Spread | Long/Long or Short/Short | |
| Milk | Milk (DA) outright has a decreased delivery month expiration margin requirement that applies 15 days prior to expiration. Feeder Cattle (FC) outright has a decreased delivery month expiration margin requirement that applies 7 days prior to contract expiration. | |
| Rounding | For inter-commodity spreads, in some cases the calculated requirements may differ slightly due to rounding and the number of digits used in the calculation. | |
| Spread Determination | The Clearing House will recognize certain inter-commodity ratio spreads in ratios designed to estimate the appropriate arbitrage relationships. They are based on current market conditions and will change as the value of the component contracts fluctuates. For currently recognized ratios and additional information contact the Clearing House, Risk Control Department at (312)648-3888. | |
| The approximation of actual spread ratios has been approved by the Exchange. There may be discrepancies due to the application of rounding conventions. | ||
| Eurodollar/Yen Spread | This spread shall contain long (short) contracts in the first month of JY, short (long) contracts in the second month of JY, long (short) the Euroyen contract, short (long) the Eurodollar contract. The Eurodollar/Euroyen spread must be in the same calendar month as the front month of the JY Spread. | |
| Eurodollar/ICE LIBOR Spread | Three ED futures in a given March quarterly month against a strip of three consecutive ICE LIBOR futures, where the ICE LIBOR strip would start in the same contract month as the Eurodollar futures. | |
| Butterfly Spreads | Butterfly Spread | Positions in consecutive quarterly futures months of either (+1:-2:+1) or (-1:+2:-1) configuration: (i.e. Mar 00, Jun 00, Sep 00). Serial months are not eligible. |
| Skipping 1 Month | Positions in consecutive quarterly futures months, skipping one month in between each month, of either (+1:-2:+1) or (-1:+2:-1)configuration: (i.e. Mar 00, Sep 00, Mar 01). Serial months are not eligible. | |
| Skipping 2 Months | Positions in consecutive quarterly futures months, skipping 2 months in between each month, of either (+1:-2:+1) or (-1:+2:-1) configuration:(i.e. Mar 00, Dec 00, Sep 01). Serial months are not eligible. | |
| Skipping 3 Months | Positions in consecutive quarterly futures months, skipping 3 months in between each month, of either (+1:-2:+1) or (-1:+2:-1)configuration: (i.e. Mar 00, Mar 01, Mar 02). Serial months are not eligible. | |
| Double Butterfly | Positions in consecutive quarterly futures months of either (+1:-3:+3:-1) or (-1:+3:-3:+1) configuration. | |
| Double Butterfly Spread (Skipping 1 Month) | Positions in consecutive quarterly futures months,skipping one month in between each month, of either (+1:-3:+3:-1) or (-1:+3:-3:+1) configuration. | |
| Condor Spreads | Condor Spread | Positions in consecutive quarterly futures months of either (+1:-1:-1:+1) or (-1:+1:+1:-1) configuration: (i.e. Mar 00, Jun 00, Sep 00, Dec 00). Serial months are not eligible. |
| Condor Spread (Skipping 1 Month) | Positions in consecutive quarterly futures months, skipping 1 month in between each month, of either (+1:-1:-1:+1) or (-1:+1:+1:-1)configuration: (i.e. Mar 00, Sep 00, Mar 01, Sep 01).Serial months are not eligible. | |
| Condor Spread (Skipping 2 Months) | Positions in consecutive quarterly futures months, skipping 2 months in between each month, of either (+1:-1:-1:+1) or (-1:+1:+1:-1)configuration. (i.e. Mar 00, Dec 00, Sep 01, Jun 02). Serial months are not eligible. | |
| Condor Spread (Skipping 3 Months) | Positions in consecutive quarterly futures months, skipping 3 months in between each month, of either (+1:-1:-1:+1) or (-1:+1:+1:-1)configuration: (i.e. Mar 00, Mar 01, Mar 02. Mar 03). Serial months are not eligible. | |
| CBOE | Margin requirement for those who qualify as a CBOE market maker. | |
| Crop Year | CBOT Soybean Meal | October through September |
| CBOT Soybean Oil | October through September | |
| CBOT Corn | November through September | |
| CBOT Oats | July through May | |
| CBOT Soybean | November through September | |
| CBOT Wheat | July through May | |
| CME Frozen Pork Belly | February through August | |
| Binary Fed Funds | Binary Options on Target Fed Funds Rate (commodity code '08') will have the following margin requirements under the specified market conditions: Short options between 0-25 basis pts. OTM will have a margin of $1000 minus option value *45% Short options between 26-50 basis pts. OTM will have a margin of $1000 minus option value *30% Short options between 51-75 basis pts. OTM will have a margin of $1000 minus option value *15% Short options greater than 76 basis pts. OTM will have a margin of $1000 minus option value *5% Long Options will have a margin that is equal to or less than the option value (an account containing only long options will never have a margin deficiency when the options are fully paid for). | |
| Eurodollars | ED consecutive month spreads include consecutive quarterly contracts. | |
| Crush | CBOT Crush spread: Soybean vs. Soy Meal, vs. Soybean Oil. | |
| Tier Configuration | Tier Configuration is used to calculate inter-month and delivery month performance bond requirements. Tiers allow for a more precise assessment of risk at the commodity month level. Each tier consists of at least one futures month, and all of the months within a tier are consecutive. This includes serial months. Calendar spread performance bond requirements may differ from the published amounts due to Scan Risk (i.e. for products such as Feeder Cattle or Milk in which the months are configured into tiers) due to the difference in outright rates for each tier. | |
| S&P Spreads | The options and futures vs. options on other Exchanges ratio spreads must be on a weighted (2:5) futures equivalent basis for SP spreads with the exception of SP v OEX and SP v XII, and (2:1) futures equivelent basis for ES with the exception of ES v OEX and ES v XII. | |
Spread Calculation Example
All margin and credit rates on this page are for example purposes only.
** Scanning Based Spreads:
Scanning based spreads are spreads that we have setup so that they scan together as one target product before they are spread against each other. This is used for products that will travel in a similar pattern of price movements. One example would be Treasury products.
Calculation:
Scanning Based Spread: 80% credit for 30Yr, 10Yr, 5Yr, 3Yr, 2Yr at a ratio of 2:3:5:6:6.
This means that for any combination of the above products at their correct ratio you will receive an 80% credit off the top of the highest loss of the legs plus the smallest gain between the legs.
Steps:
Examples:
+2 30Yr and -3 10Yr
30Yr - $3200
10Yr - $1800
Span Scenario # |
30 Year Scan |
10 Year Scan |
Span Scenario Total |
|---|---|---|---|
| 1 | - | - | - |
| 2 | - | - | - |
| 3 | -2133.312 |
1799.982 | 693.33 |
| 4 | -2133.312 | 1799.982 | 693.33 |
| 5 | 2133.12 | -1799.82 | 93.32 |
| 6 | 2133.12 | -1799.82 | 93.32 |
| 7 | -4266.88 | 3600.18 | 1386.74 |
| 8 | -4266.88 | 3600.18 | 1386.74 |
| 9 | 4266.624 | -3600.18 | 186.88 |
| 10 | 4266.624 | -3600.18 | 186.88 |
| 11 | -6400 | 5400 | 2080.00 |
| 12 | -6400 | 5400 | 2080.00 |
| 13 | 6400 | -5400 | 280.00 |
| 14 | 6400 | -5400 | 280.00 |
| 15 | -19200 | 16200 | 2059.20 |
| 16 | 19200 | -16200 | 277.20 |
++ Inter Spread Calculations:
Inter Spreads are calculated as a percentage of credit off the top of the full outright margin of the products that make up the legs of the spread.
Example:
Corn vs. Soybeans (1:2) – 65% Inter Rate
Outright Rates
Corn $1500
Soybeans $3500
$1500 + 2 *$3500 = $8500 before spread credit
With Inter spread credit there is a saving of $5525 (8500 * 0.65) or in other words a charge of $3975 (8500 * 0.35)
^^Intra Spread Calculations when there is a rate of $0:
Intra spreads that display a rate of $0 is not necessarily the case. The way that SPAN calculates the spread margins on a portfolio is as follows: (Outright rate of leg 1 - Outright rate of leg 2) + Intra Spread Charge. The rates displayed on the Intra Spread pages are all of these rates with the exception where the formula would create a negative number. These rates are displayed as zeros. The rate for these spreads is: Outright rate of leg 1 — Outright rate of leg 2.
Example:
Product X Month 2 - $500
Product X Month 3 - $500
Product X Month 4 - $750
Intra Spread Charge Month 2 vs. 3 - $200
Intra Spread Charge Month 2 vs. 4 - $50
Intra Spread Charge Month 3 vs. 4 - $0
Portfolio:
+1 Month 2 and -1 Month 3 has a margin of $200 : ($500 -$500)+$200
+1 Month 2 and -1 Month 4 has a margin of $300 : ($750 -$500)+$50
+1 Month 3 and -1 Month 4 has a margin of $250 : ($750 -$500)+$0
All margin and credit rates on this page are for example purposes only.