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For any futures contract at the CME, under "Margins" tab, we can see a table like the one below.

My question is: what are the two columns named "Start Period" and "End Period"? Does it represent maturity months of futures contracts, or levels of maintenance margin for all futures in future periods? For example, does it mean that the Jun 2022 RBOB futures have a maintenance margin of 10,750 USD but the Jul 2022 RBOB futures have a maintenance margin of 10,000 USD? Or does it mean that all RBOB futures will have a maintenance margin of 10,750 USD from May 2022 to June 2022 and it will be 10,000 USD in July 2022? enter image description here

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Those are ranges of EXPIRATION DATES fot the futures concerned. If you have a futures contract now, this table shows that you have to put up more margin for a contract expiring in June 2022 then you do if you have a contract for December 2022. (You can rationalize this as the result of different volarilities for different contracts, the so-called "samuelson hypothesis"). Of course these numbers will change as time passes and the maturities shorten.

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  • $\begingroup$ I see. Thank you very much. So basically, short-term futures are more volatile than long-term ones. As a result, short-term futures requires a higher margin. $\endgroup$
    – L. Francis Cong
    May 16 at 0:17

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