Support Board
Date/Time: Sun, 15 Jun 2025 07:05:08 +0000
[Programming Help] - Spread Margins
View Count: 163
| [2025-06-04 18:51:58] |
| User741544 - Posts: 12 |
|
Hello. Considering using Teton for live account. 1. From what I understand you do have ability to determine SPAN risk for exchange listed calendar spreads? Is this via a haircut formula or some other method? 2. If I leg into a spread as opposed to using exchange listed symbols are they still calculated for actual SPAN risk or no? If not, I wonder why referencing the above question as any execution in exchange listed spreads immediately resolves to two or more outrights positions. 3. I got this scary disclaimer from the clearer in question (AMP in this case) before proceeding saying Sierra is set to auto liquidate per certain terms at certain times so obviously I want to be clear on all the details. Assuming there is no Sierra internal provision for correctly margining legged spreads is there some kind of override that can be set in the back end by the clearer like a fixed haircut applied to all symbols from a certain root? I spread SR3 and SR1 term structure so with 40+ individual symbols in SR3 alone plus roll offs and roll ons of old and new fronts anything other than a root rule would be impractical at best. 4. I can add that a fixed 25% haircut will almost always land very close to how SPAN margins will price in any combination regardless of number of legs. Perhaps that’s how you’re computing single calendar spread margins internally if you aren’t getting exact risk pricing from the exchange so maybe that’s the work around? Please advise what my options are. Thanks in advance. |
| [2025-06-05 15:06:37] |
| User741544 - Posts: 12 |
|
Hi. I haven’t heard anything back from SC engineering on this maybe I’m doing something wrong and they can’t see it? I see in top left of message body Notice: post is hidden but it’s not as far as I can tell. If anyone can see this and can let me know I’d appreciate it. Thanks
|
To post a message in this thread, you need to log in with your Sierra Chart account: