Historic Margin Rates

[Demon]

Hi, does anybody know of a data provider for historic margin rates on exchange traded futures?

[Tim Arnold]

The work around is to determine the calcuation they are using, such as volatility, and replicate yourself to compute your own custom dynamic margin rate that parallels the actual historic rates relatively closely.

[rajawali]

Actually there is a margin estimate blox in this post : viewtopic.php?p=52088&hilit=margin+estimate#p52088 and I remember using an adaptation of that blox using a mix of two different ATR periods to get a better agreement with broker published margin requirements.

[Demon]

Thanks for the responses. You may be interested to know we've been able to pull 'some' historic margin data out of Bloomberg, it's not daily, but it's far better than nothing.