11 reputation
1
bio website
location
age
visits member for 1 year, 7 months
seen May 21 at 18:00

May
10
comment How does the CME set margin requirements on commodity Futures
Yeah the discretionary changes wont show up in my model, however I think having something that adapts to market conditions is better than assuming static margin requirements over large observations.
May
10
comment How does the CME set margin requirements on commodity Futures
I hope I didn't come off as hostile, that was by no means my intention. You did in fact provide the correct answer. I just wanted to clarify that I was trying to replicate the results.
May
10
comment How does the CME set margin requirements on commodity Futures
The SPAN algorithm is not public, but it seems they are modeling for the worst case drawdown in a day. From what I read they take a range of scenarios and the max of the drawdowns plus some other risk premiums is the initial margin. I want to write some code so I can have an approximate margin calculation based on historical volatility and pricing. I havent had a chance to do a deep dive on this yet, but I wanted to clarify my aim and initial findings.
May
9
awarded  Student
May
9
asked How does the CME set margin requirements on commodity Futures