Park wrote:I used to think that in a taxable account, a margin loan from IB was the most cost efficient source of leverage. But futures may give margin loans a run for the money. And futures often require a smaller margin deposit; the emini looks like it has a margin deposit of around 6%. For a margin loan on SPY, it would be 30%.
A couple things, ES mini is ~2000 * 50 so 100K USD. You also have to plan on whether you want constant leverage or some plan to buy and pay down the debt. Like buy one contract and keep adding money until you can replace it with an etf. Or - keep buying and etf on leverage until you have enough to buy one futures contract etc.. The same goes for options as you'll be long an option which means you'll be long gamma so your delta is always increasing as the market goes up, ie. you get even longer or more leveraged. The good thing is option contracts are smaller and easier to manage.
All the data you need to figure out your answer is available from quandl. You can download continous contracts fro the front month, and the next expiry so you can see the roll amount. They also have stocks and fred data (for interest rates). Actually I'll get it for you, here's an r snippet for downloading the futures data
Code: Select all
library("Quandl")
# only want columns 1,7,8
cont1<-Quandl("CHRIS/CME_ES1", type = "xts", sort="asc")[,c(1,7,8)]
cont2<-Quandl("CHRIS/CME_ES2", type = "xts", sort="asc")[,c(1,7,8)]
both<-merge(cont1,cont2)
write.zoo(both,file="data.csv", sep=",")
Here's the data, I threw in the SPY and dividends along with tbills, the Fed Funds series isn't long enough.
- data.zip
- (83.76 KiB) Downloaded 31 times
Settle, is the front month ES contract, Settle.1 is the next month. Look at 9/19 when Volume went from 687 to 22081, that is when they rolled their front month. So what you would have done is sell on the 18th at 948 and bought at 957.75. That 957.75 then became the front month the next day and closed then at 961. I wouldn't really worry about the specific day you roll on unless you want the exact daily balance. You can just look up about the 10th of each 4th month (HMUZ) and figure the roll difference and the gain/loss on that day. Your balance will just be off a bit until their data rolls. You can't hold these contracts long that long anyways because shorts initiate delivery. You should roll when Volume.1 > Volume.
You could also figure a .25 min tick spread. I'm pretty sure you can place a combo order and roll ES without having to pay the spread twice. It's like a $2 commision as well
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Code: Select all
es1 es2
Index Settle Volume Settle.1 Volume.1
9/11/1997 908 2523 918.25 9759
9/12/1997 924 928 933.75 18496
9/15/1997 922 208 931.5 11749
9/16/1997 947 354 956 22723
9/17/1997 946 345 956 11588
9/18/1997 948 687 957.75 9880
9/19/1997 961 22081 971 0
9/22/1997 966.25 10148 976.75 5
9/23/1997 962 24778 972.25 11