A performance bond DECREASE from the CME on indices?

Wow.

Check pages 6 and 7...

https://www.cmegroup.com/content/dam/cmegroup/notices/clearing/2022/01/Chadv22-005.pdf

It's not much, but it's DOWN! What temperature is it in hell right now?

 

Thanks for posting that. I haven't given any attention in several months.

Currencies decreased too.
Butter, energy, and treasury's increased.

I'm sure there are other bits I glossed.

Interesting times.

 

Is this margin for futures? What is a performance bond?

 

I suppose the two terms can be interchangeable, so yeah, margin on futures.

 

Surprising they would decrease it given the increase in volatility but I guess the increases were enough of a buffer in the past.

 

Yes. In the NQ, the current level of margin we have been under was implemented during the March 2020 clusterfuck. We have maintained very wide ranges since then, so I was surprised to see a decrease NOW, especially after the FOMC is full-steam-ahead on tightening. That always messes with the NDX and NAZ.

And why the increase in cash butter future margins? I realize it is a new contract, but what has been going on in that space, and what does the CME risk department forsee in the near future to warrant that change?

Higher cow-abduction by aliens, leading to less milk supply? A mystery for sure.

 

There is also SOME degree of behavioral "incentivizing" associated with performance bond amounts. Requiring less or more to hold contracts is a big deal!... affects sizing and overall strategies used. However, it's not really applicable to day-trader clientele using firms catering to day-trading (like many here, including me) with reduced day-trade margin/performance bond.

 

Yep this is what I was thinking as well. NQ book is very thin relative to ES, volume is moving to micros.

 

ES has 2 or 3 times the volume as NQ. Therefore you would expect the NQ book to 2 or 3 times as thin based on just this fact.

However the NQ daily range in pts is about 6 times larger than the ES. Therefore you would expect the NQ book to be 6 times thinner than the ES given this fact.

Combing both the above effects I would expect the NQ book to be 12 to 18 times thinner than the ES book.


Or to put it another way: If the volume in NQ tripled to match ES and daily range on NQ collpased to 50pts to match ES. I would expect the NQ book to be just as thick as ES is currently.

 

Get outta here with your facts!