Historical margin data

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sunyata
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Joined: Sat Jun 06, 2009 4:27 pm
Location: Charlottesville, VA

Historical margin data

Post by sunyata » Fri Jul 03, 2009 10:28 am

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.
Attachments
Major Product History.doc
Currencies, Stock Indices, Grains, Interest Rates
(781.76 KiB) Downloaded 601 times
Nymex Margins 2000-2008.xls
Energy, Metals
(623.5 KiB) Downloaded 695 times
S&P 500-Complete history-1982-2009.xls
S & P 500, Complete History
(35.5 KiB) Downloaded 555 times

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