Why future margins are still so high?

Discussion in 'Retail Brokers' started by quintrix, Jan 7, 2009.

  1. Why future margins are still so high?

    ES $6188

    VIX has dropped to 35

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


    Former IB employees now at CME.
  4. DmanX

    DmanX Guest

    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.
  5. hcking


    the default risks at the CME are still fairly high as well
  6. I have a better question. How much margin do you really need to go broke?

    Are you just trying to move the process along?
  7. VIX back to 44
  8. Would love to see it go back to 80!