I want to decrease my exposure to a 10-year note futures by using 10-year micro futures after volatility-adjusting them. I've calculated that the difference in volatility in the micro has 5.125x the volatility of a full-sized.

How many micros would I need to have the same exposure as a full-sized contract after volatility-adjusting them?

  • $\begingroup$ Hmm... the Micro Yield Futures (10Y) have a margin requirement one eight ($\frac{1}{8}$) the size of the Ten Year Futures (ZN) margin requirement. They cannot be 5.125 times more volatile. The CME takes volatility into account in setting margin requirements. (Do you mean the Micros have approximately one fifth the volatility?). $\endgroup$
    – nbbo2
    Nov 10, 2021 at 19:38
  • $\begingroup$ I think this is due to the contract size. The full sized has a larger multiplier and lower vol, but higher notional compared to the micro. The micro only has a 1000x multiplier. I think my volatility calculation for the micros is wrong, however. I think the micros gave around 44% vol $\endgroup$
    – JamieC113
    Nov 10, 2021 at 22:09


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