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-- Posted Wednesday, 12 July 2006 | Digg This Article
CBOT Margin Requirements for Fed Funds Binary Options Effective Close of Business July 13, 2006 Metal Groups | From | To | Ratio | Spread | Spread Credit % | Initial/Maintenance/Hedge | Spread Credit % | Initial/Maintenance/Hedge | 1:1 | Gold vs. Silver | 60% | $4,315/$3,196/$3,196 | 70% | | 1:5 | Gold vs. Mini-sized Silver | 60% | $4,315/$3,196/$3,196 | 70% | $3,236/$2,397/$2,397 | 3:1 | Mini-sized Gold vs. Silver | 60% | $4,315/$3,196/$3,196 | 70% | | 3:5 | Mini-sized Gold vs. Mini-sized Silver | 60% | $4,315/$3,196/$3,196 | 70% | $3,236/$2,397/$2,397 |
In setting margins levels, the Chicago Board of Trade Margin Committee along with the CME Clearing House monitors current and historical price movements covering short-term, intermediate and longer-term data using statistical and parametric and non-parametric analysis. Futures maintenance margin levels are typically set to cover at least the maximum one-day price move on 95% to 99% of the days during these time periods. Effective Close of Business July 12, 2006
A short option will have the following margin requirements under the specified market conditions: Position | Margin Requirement | Short options that are between 0 and 25 basis points out-of-the money | $1,000 minus option value * 70% | Short options that are between 26 and 50 basis points out-of-the money | $1,000 minus option value * 40% | Short options that are between 51 and 75 basis points out-of-the money | $1,000 minus option value * 15% | Short options that are greater than 76 basis points out-of-the money | $1,000 minus option value * 5% | Long Options | Equal to or less than the option value (an account containing only long options will never have a margin deficiency when the options are fully paid for). |
In setting margins levels, the Chicago Board of Trade Margin Committee along with the CME Clearing House monitors current and historical price movements covering short-term, intermediate and longer-term data using statistical and parametric and non-parametric analysis. Futures maintenance margin levels are typically set to cover at least the maximum one-day price move on 95% to 99% of the days during these time periods.
-- Posted Wednesday, 12 July 2006 | Digg This Article
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