margin-estimator 0.4.1

Calculate estimated margin requirements for equities options, based on CBOE margining.

margin-estimator

Calculate estimated margin requirements for equities options, based on CBOE margining.

[!NOTE] Box spreads and some complex multi-legged positions may be calculated too conservatively.

Installation

$ pip install margin_estimator

Usage

Simply pass an arbitrary 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,
    Shares,
    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')

You can even add shares of an underlying to calculate requirements for covered legs:

# a covered SPY call
underlying = Underlying(price=Decimal("740"))
expiration = date(2026, 5, 15)
call = Option(
    expiration=expiration,
    price=Decimal("4.45"),
    quantity=-1,
    strike=Decimal(780),
    type=OptionType.CALL,
)
shares = Shares(price=Decimal("700.41"), quantity=100)
margin = calculate_margin([call, shares], underlying)
print(margin)

>>> cash_requirement=Decimal('70041.00') margin_requirement=Decimal('35020.00')

Please note that all numbers are baseline minimums from CBOE guidelines and individual broker margins will likely vary significantly.