Series 3: 3.4.4.2. Intramarket Or Inter-Delivery Spread Margins

3.4.4.2. Intramarket or Inter-Delivery Spread Margins

With an intramarket spread, both the long and short positions are composed of the same commodity, each leg differing only by their expiration months. As a result, both legs of the spread are highly correlated. It makes sense, then, that the initial and maintenance margins for the spread would be obtained not by adding the margin for each position and applying a credit but by subtracting them. This sometimes leaves an intramarket spread with no margin requirement at