Why future margins are still so high?

Why future margins are still so high?

ES $6188

VIX has dropped to 35

Thoughts?

 

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

 

Former IB employees now at CME.

 

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.

 

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

 

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

Are you just trying to move the process along?

 

VIX back to 44

 

Would love to see it go back to 80!