Does your platform calculate spread margin? Let's say a client does a calendar spread on the ESU1. Does your risk software calculate per leg or per spread?

Modified on 2011/09/12 16:12 by Nate Ostrye (CTS) — Categorized as: Uncategorized

We provide each firm with a margin table for both outrights and spreads. This margin table is populated and maintained by each firm. Then the firm admin can assign a % margin that each account is risk managed.

It is not span margining.