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.

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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.

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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.

Total Margin
Ratio = CME to Ice
Ratio = CME-ICE/CME