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Historical margin data

Posted: Fri Jul 03, 2009 10:28 am
by sunyata
Hey all,

CME was kind enough to put together a package of historical margin requirements for futures contracts from multiple groups. These groups include: stock indices, currencies, grains, metals, energy, and ST & LT interest rates. I've attached the documents they forwarded me. The history goes back as far as year 2000 (except for the S & P) and the guy at the CME said this was all the information he has. He can include 2008 and 2009 at our request. But I thought this was a good start to begin building synthetic margin requirements using regression as sluggo mentioned in this thread.

Also, I will be putting these docs in a more user-friendly Excel format and will post those when I am finished.

Take care.