Pair Trading > Models, Algorithms & Approaches

Leveraged ETF

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Douglas Goullet:
Hi, do you think trading with leveraged ETF will be a matter of adjusting the $ amount in each side or it will take more than that? Example SPY vs SSO. If it is only a $ issue say 1:2 ratio. If it needs to be adjusted at the log of return side then I guess it would be more complicated. Regards, D

admin:
You only need to find out what is the overnight margin required by IB for the ETF you want to trade (in percents). For instance for 3x leveraged ETF like FAZ it is AFAIK 90% for Req-T accounts. You just type this value into the stock margin setting (default is 50%). Then it should work correctly.

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