Historical Margin Requirements

S

Spaghetti Code

In bad times, I noticed several places increase the minimum margin requirement. I am exploring a buy-and-hold strategy, but it depends on not being forced out. FINRA/SEC margin requirements didn't appear to change last March, but several brokers / exchanges did. For instance, I believe the ES contracts required 60% margin to hold a long position open.

What I am looking for a is day by day total margin requirement, broken down by instrument (ES, SPX, or SPY) and broker/exchange (e.g. IB/CME).
 
My advice: forget margin by brokers and instead use own cash (ie. unfortunately much cash) as a margin substitute.
With a cash account (as opposed to margin account) you can do the same things, though you need to have much cash as collateral, for example for "Cash Secured Short Put", "Covered Call" etc...

In respect to options trading, a Cash Acct with "Level 2 Long Options Trading" permission allows:
- buying Long Options
- writing Covered Calls
- writing Cash Covered Puts (aka Cash Secured Puts)

[I think direct stock shorting is not possible with cash acct, but one can do the same
by using options, ie. using a synthetic construction: Short Stock = Short Call + Long Put
Hmm. maybe this is not that a good idea :), instead one simply should use a Long Put ]

And this is also the same what you can do in a margin account.
The only difference is that with margin acct you can (automatically) borrow cash from your broker,
but with cash account you have to provide all cash necessary from own funds in your cash acct.

But this of course also means: your overall strategy should not be dependent on margin use, ie. the 2x (or 4x) leverage it provides...

And: unfortunately "margin" in this context has at least two meanings...:
1) the collateral needed (ie. the margin requirement),
2) the amount (automatically) borrowed from the broker in a margin acct
:)
 
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Spaghetti Code said:
In bad times, I noticed several places increase the minimum margin requirement. I am exploring a buy-and-hold strategy, but it depends on not being forced out. FINRA/SEC margin requirements didn't appear to change last March, but several brokers / exchanges did. For instance, I believe the ES contracts required 60% margin to hold a long position open.

What I am looking for a is day by day total margin requirement, broken down by instrument (ES, SPX, or SPY) and broker/exchange (e.g. IB/CME).
More...


AMP future and ninjatrader broker. very low intraday margin
 
thecoder said:
1) the collateral needed (ie. the margin requirement),
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This is the margin I am talking about primarily.

thecoder said:
My advice: forget margin by brokers and instead use own cash (ie. unfortunately much cash) as a margin substitute.
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I don't understand why you say this. In order to stress test my strategy I need data on historical margin requirements. How much cash collateral was needed on February 28th, 2020 for a long ES contract? What about on March 20th? That is the question I need answered.


Handle123 said:
Available CME futures contracts at tastyworks : tastyworks (freshdesk.com)
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This is the margin requirement for today, not years in the past.
 
@Spaghetti Code, with cash account, one needs 100% margin :), ie. everything has to be covered in advance.
Then I think this value is even static, ie. for all days the same const value.
Maybe this is too much cash requirement or too restrictive for your strategy. So, then better forget this my suggestion.
 
Spaghetti Code said:
This is the margin I am talking about primarily.


I don't understand why you say this. In order to stress test my strategy I need data on historical margin requirements. How much cash collateral was needed on February 28th, 2020 for a long ES contract? What about on March 20th? That is the question I need answered.



This is the margin requirement for today, not years in the past.
More...

The best suggestion I can give you is, for futures, to use the current performance bond requirements you see listed on the majors. They are the highest they have ever been. I predict they will not go any higher, because they were established after the VIX popped to 80 at the start of the pandemic. It will take quite a while for them to ever be lowered, so use current numbers as your baseline, to be conservative.
 
Spaghetti Code, you better should ask the broker(s) you use whether they have collected & archived such time series data. But I think nobody has collected these data :-(

In my previous posting I was trying to say that if you have always enough cash then it's irrelevant how much the margin requirements are, since you have always enough cash to fulfill the requirements...
 
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Spaghetti Code said:
In bad times, I noticed several places increase the minimum margin requirement. I am exploring a buy-and-hold strategy, but it depends on not being forced out. FINRA/SEC margin requirements didn't appear to change last March, but several brokers / exchanges did. For instance, I believe the ES contracts required 60% margin to hold a long position open.

What I am looking for a is day by day total margin requirement, broken down by instrument (ES, SPX, or SPY) and broker/exchange (e.g. IB/CME).
More...

All retail brokers changed their margin requirements in March 2020 to 1:1 during the high volatility days, especially after the trading halts. CME has rules for circuit breakers and trading halts on ES, and all brokers will tighten their leverage. Some only relaxed the margin requirements sooner than others.

What you can do instead is if there is an incoming margin change, switch from ES to MES, because MES is 10% of the value of ES, so you might have enough in your brokerage account to hold it without leverage overnight.


From CME FAQ: https://www.cmegroup.com/trading/equity-index/sp-500-price-limits-faq.html#halt

What happens when the underlying S&P 500 Index hits a circuit breaker level?
7% decline

A 7% decline (Level 1 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 7.12 trading halt for both the cash equity market AND all US-based equity index futures and options, including E-mini S&P 500, Micro E-mini S&P 500, and S&P 500 futures and options. Trading will resume 10 minutes after the trading halt commenced, with price limits expanded to Level 2 (13%).

13% decline

A 13% decline (Level 2 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 7.12 trading halt for both the cash equity market AND all US-based equity index futures and options, including E-mini S&P 500, Micro E-mini S&P 500, and S&P 500 futures and options. Trading will resume 10 minutes after the trading halt commenced, with price limits expanded to Level 3 (20%).

20% decline

A 20% decline (Level 3 circuit breaker) in the S&P 500 Index will terminate trading for the remainder of the trading day in both the cash equity market AND all US-based equity index futures and options, including E-mini S&P 500, Micro E-mini S&P 500, and S&P 500 futures and options. Trading will resume at the regularly scheduled start of the next trading day at 5:00 p.m. CT the evening prior to the next business day.
 
Spaghetti Code said:
This is the margin I am talking about primarily.


I don't understand why you say this. In order to stress test my strategy I need data on historical margin requirements. How much cash collateral was needed on February 28th, 2020 for a long ES contract? What about on March 20th? That is the question I need answered.
More...

I don't know if there is a complete list out there for all dates and all brokers, but here are the emails from NinjaTrader brokerage:

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March 9th, 2020: First email
Margin Increase for CME Equity Indices, Interest Rates & Energies

Due to the risk presented by significant market swings, intraday margins for the CME Equity Indices, Interest Rates and Energies have been increased 2X until further notice.

Following a significant market move the evening of Sunday, March 8th, several CME Group markets including the Equity Indexes are currently at lock limit and there will be no trading until Monday, March 9th at 8:30 am CT. Lock limits are used by exchanges to regulate market volatility.
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March 9th, 2020: 2nd email
5X Margin Increase for CME Equity Indices, Interest Rates & Energies

Due to the risk presented by significant market swings, intraday margins for the CME Equity Indices, Interest Rates and Energies have been increased 5X until further notice.
-----------------------------------------------------------------

March 10th, 2020: Return to normal
Margins Update for CME Equity Indices, Interest Rates & Energies

Intraday margins for the CME Equity Indices, Interest Rates and Energies have been returned to standard levels
-----------------------------------------------------------------

March 15th, 2020: Policy update
Updated Margin Policy & Notification Resource

NinjaTrader is constantly evaluating market conditions in real-time and on occasion will be making temporary changes to the amount of margin required for trading. The recent market volatility has been historic and as we believe it will persist in the near-term, we are creating tools to ensure you have the most current information.

For the latest updates on our intraday margins, please visit our new Order Desk Updates page which will reflect the current status of available margin based on any temporary changes we have elected to make.

In addition, we have implemented the following margin policy until further notice:

•During overnight trading sessions, we will remain at 2X our standard available margins. As this is based on active market conditions, this level may increase if required.
•If Lock Limits are reached during overnight or normal trading hours, margins will be increased immediately and may reach initial exchange margin.

Volatility creates opportunity and challenges for traders. NinjaTrader has always been, and will remain, committed to being there for our customers regardless of market conditions. While we are experiencing a high number of customer service requests, our Team, processes, and systems continue to deliver the same high level of quality and responsiveness you expect from NinjaTrader. We’re on it and are proud to be your partner during these unprecedented times.

As always, it is important to use proper risk management when trading during volatile market conditions and only risk management capital should be used for trading.
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After March 15th, they stopped sending emails and instead posted updates to margin requirements to https://ninjatrader.com/blog/order-desk-updates/

The margins continued to fluctuate for a few more weeks after this.
 
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