CME margin increases

Overnight

Overnight

For the majors, effective as of Friday's close...

E-MINI NASDAQ 100 FUTURES (NQ)
Spec Increase USD
Old init/maintenance - 5,225 4,750

New init/maintenance - 5,720 5,200

E-MINI S&P 500 FUTURES (ES)
Spec Increase USD
Old init/maintenance - 5,280 4,800

New init/maintenance - 5,555 5,050

E-MINI DOW ($5) FUTURES (YM)
Spec Increase USD
Old init/maintenance - 4,125 3,750

New init/maintenance - 4,620 4,200

S&P 500 FUTURES (SP)
Spec Increase USD
Old init/maintenance - 26,400 24,000

New init/maintenance - 27,775 25,250

I got the e-mail Thursday but neglected to check it until just now heh. Seems I missed an increase notice over the past 2-3 weeks because last I recall NQ's maintenance was 4,500 at beginning of January. Good to know for us swingers out there so we can plan accordingly.

IB customers, better get on the horn with them Sunday night (if their CS is open then) and get their latest numbers, what with them being much higher than minimums historically.
 
Overnight said:
IB customers, better get on the horn with them Sunday night (if their CS is open then) and get their latest numbers, what with them being much higher than minimums historically.
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IB don't seem to currently use exchange margin for US SIFs, instead they seem to use a fixed ratio like 20:1 leverage
(ie. overnight maintenance margin=5% the of notional value of the contract)

So i would expect them to increase margin for most SIF products after this recent up, regardless of what the exchanges are doing.
 
IB had racheted up their margin requirements 7% to 10% during the two times in September and November, when VIX was hovering between 9.3 and 9.9. Their argument, VIX is so low, this is has to normalize to over 11, we're going to increase our margin req. Brilliant!

I wonder if the new margin requirements will force some liquidations into the market.
 
RosyScenario said:
Thanks for this post. But might we ask from whence this email came? As it seems you have good service there.
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Came from http://www.cmegroup.com/notices/clearing/2018/01/Chadv18-040.pdf

See the link in that first page? Click it and sign up so you can get notices too. Their communications group is amazing. I am sure if you actually paid them money, they could remind you when to brush your teeth. Lots of option in there.
 
truetype said:
Overdue, in light of the substantial increase in notional values of equity contracts over the past year.
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It has nothing to do with the notional value, but the expected/projected volatility in range. The CME is basically saying that they have an expectation of a slight increase in volatility now as opposed to the previous time period they last examined it.

Here, gander at these two files for historical YM maintenance margins...

Previous 3 years...

http://www.cmegroup.com/clearing/risk-management/files/11_2014_to_present.zip

Previous 3 years before the previous 3 years...

http://www.cmegroup.com/clearing/risk-management/files/11_2009_to_2013.zip

Why were the margins much higher 8 years ago than they are now? Because of the projected volatility. Remember the hell we were coming out of from 2009. Was a crazy time in the markets, yes? Quite volatile.

And what was the notional value of the Dow/YM 7-8 years ago as compared today?

So it isn't overdue in that it is to be expected now due to rising values, but rising range possibilities. But being based on notional value? Man, you guys with your notional value stuff. *bangs head on a Tesla Powerwall, repeatedly, because it feels so good when I stop*.
 
Overnight said:
It has nothing to do with the notional value, but the expected/projected volatility in range
More...
I'll be sure to explain to Bryan Durkin next time I see him that CME doesn't monitor the notional size of its various contracts. Should be good for some laughs...
 
truetype said:
I'll be sure to explain to Bryan Durkin next time I see him that CME doesn't monitor the notional size of its various contracts. Should be good for some laughs...
More...

Did I ever intimate ANYWHERE that the CME does not monitor the notional size of the contracts? Hmm?

Have you looked through the links I provided? Notional value seems to have been lower, but margins higher as compared to today?
 
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