Difference is about 35 bps.I see, thanks. I had just assumed the references to FOPs were associated with some delta, gamma vega neutral strategy like box spreads, and I did not consider other options strategies.Box spreads or far ITM vertical debit spreads (2-legged) of ES options have low margin requirements in addition to having "options value"; but it could really be any FOP if you run other options strategies that unlike box spreads are not delta, gamma and vega neutral (basically neutral with respect to everything except rho, interest rates). Unfortunately EUREX and Nikkei futures options don't have options value, so using them as futures collateral doesn't work for those currencies, except SGX Nikkei FOPs (although I have not tested those yet).Thanks, I had not seen this initialism before.Futures optionsHi comeinvest,
What does "FOP" stand for? Thanks!
Is this use of futures options as collateral related to box spreads with futures options (discussed a while back in the mHFEA thread) or something completely different?
Are plain old T bills good enough for use as futures collateral? Or would I be leaving 50+ bps on the table? I had originally planned to just use T bills if I open a futures account for SOFR 3 month/3YR/TU contracts/Equity futures.
Statistics: Posted by comeinvest — Sat Sep 14, 2024 2:46 am — Replies 14444 — Views 2115252