margin-estimator 0.1

Calculate estimated margin requirements for equities, options, futures, and futures options. Based on CBOE and CME margining.

margin-estimator

Calculate estimated margin requirements for equities, options, futures, and futures options. Based on CBOE and CME margining.

[!NOTE] Not all features are available yet, pending further development. Currently, equity/ETF/index options are supported, for any trade type other than ratio spreads, box spreads, and jaze lizards. Contributions welcome!

Installation

$ pip install margin_estimator

Usage

Simply pass a list of legs to the calculate_margin function along with an Underlying object containing information on the underlying, and you'll get back margin requirement estimates for cash and margin accounts!

from datetime import date
from decimal import Decimal
from margin_estimator import (
    ETFType,
    Option,
    OptionType,
    Underlying,
    calculate_margin,
)

# a SPY iron condor
# make sure to pass `ETFType.BROAD` for broad-based indices
underlying = Underlying(price=Decimal("587.88"), etf_type=ETFType.BROAD)
expiration = date(2024, 12, 20)
long_put = Option(
    expiration=expiration,
    price=Decimal("4.78"),
    quantity=1,
    strike=Decimal(567),
    type=OptionType.PUT,
)
short_put = Option(
    expiration=expiration,
    price=Decimal("5.61"),
    quantity=-1,
    strike=Decimal(572),
    type=OptionType.PUT,
)
short_call = Option(
    expiration=expiration,
    price=Decimal("5.23"),
    quantity=-1,
    strike=Decimal(602),
    type=OptionType.CALL,
)
long_call = Option(
    expiration=expiration,
    price=Decimal("3.68"),
    quantity=1,
    strike=Decimal(607),
    type=OptionType.CALL,
)
margin = calculate_margin(
    [long_put, short_put, long_call, short_call], underlying
)
print(margin)

>>> cash_requirement=Decimal('262.00') margin_requirement=Decimal('262.00')

For normal equities you can omit the etf_type parameter:

# a short F put
underlying = Underlying(price=Decimal("11.03"))
expiration = date(2024, 12, 20)
put = Option(
    expiration=expiration,
    price=Decimal("0.45"),
    quantity=-1,
    strike=Decimal(11),
    type=OptionType.PUT,
)
margin = calculate_margin([put], underlying)
print(margin)

>>> cash_requirement=Decimal('1055.00') margin_requirement=Decimal('263.00')

And for leveraged products, you'll need to pass in the leverage_factor:

# a naked TQQQ call
underlying = Underlying(
    price=Decimal("77.35"),
    etf_type=ETFType.BROAD,
    leverage_factor=Decimal(3),
)
expiration = date(2024, 12, 20)
call = Option(
    expiration=expiration,
    price=Decimal("4.45"),
    quantity=-1,
    strike=Decimal(80),
    type=OptionType.CALL,
)
margin = calculate_margin([call], underlying)
print(margin)

>>> cash_requirement=Decimal('7555.00') margin_requirement=Decimal('3661.00')

Please note that all numbers are baseline estimates based on CBOE/CME guidelines and individual broker margins will likely vary significantly.