History of S&P Futures Margin

Discussion in 'Index Futures' started by Dinolovin, Aug 3, 2008.

  1. Anybody have a link or document the details the increase of margin for emini s&p futures over the past 20 years?

    I have searched everywhere, even emailed the CME and have received no response.
  2. Lucrum


    About the only "help" I can offer is that I seem to remember when the full size (before the emini existed) initial performance bond was around $12K.
    Early 1990's I believe.

    It's typically around 7% of the underlying so you could reverse engineer an estimate based on past S&P values.
  3. Thanks a million...good trading kind sir
  4. Emini S&P didn't start until 1997-ish I believe, so going back 20 yrs. isn't really possible. Keep in mind that the big spoo contract used to have a $500 multiplier instead of the $250 multiplier in the big contract now.
  5. Do you know when it switched from 500 to 250?
  6. Novemer 3, 1997.

    "#97-24 and 97-25 (Corrected): November 2, 1997: CME S&P 500 Futures and Options to split — change to PC-SPAN Contract Value Multiplier

    On Monday, November 3, 1997, CME's S&P 500 futures and options will be split. The contract value multiplier will be halved, from $500 to $250. A single long open position will become two long open positions.

    Accordingly, in PC-SPAN, it is necessary beginning Monday November 3, to change the contract value multiplier for all of the affected commodity master records from 500 to 250. "