Inter-Commodity Credit
Analysis
The Secret Sauce to margin optimization lies in the interaction between various commodities.
Example Below: We have illustrated how these 'fine print' discounts work; each graph examines a position carrying 100 lots/month on calendar 2020 'ARB' (WTI-BRT) strip.
The Green graph represents the margin on the spread on CME (CL/BZ), while the blue graph represents margin on ICE (WBS/BRN), throughout the 2018 trade year.
While the expectation is that both CME and ICE equal each other's margin on this very simple and highly liquid spread, a closer examination illustrates high levels of variability.
