Why future margins are still so high?

[quintrix]

Why future margins are still so high?

ES $6188

VIX has dropped to 35

Thoughts?

 

[buzzy2]

Stupid CME quants with their stupid Value-at-risk models.

 

[cstfx]

Former IB employees now at CME.

 

[DmanX]

For all their fancy talk about how they derive the margin amounts per commodity (SPAN), I figure it centers around a moving average of about 30 days. Right now for the ES, the moving average for VIX is still on the high 40's.

Probably in 2 to 3 weeks, given the rate of decline for the MA on teh VIX, they'll drop the margin back to the $5200 level.

 

[hcking]

the default risks at the CME are still fairly high as well

 

[stock777]

I have a better question. How much margin do you really need to go broke?

Are you just trying to move the process along?

 

[MrDODGE]

VIX back to 44

 

[Random.Capital]

Would love to see it go back to 80!