Initial Margin, Maintenance Margin for futures

sushilp · June 23rd, 2009, 10:48 am

I think these margins depend on volatility of the underlying and confidence interval.Can somebody give the formulation?

Martinghoul · June 23rd, 2009, 11:02 am

As far as I am aware, the methodology for margin calculations is exchange-specific and highly proprietary. There are third parties that offer margin calculation service based on licenses that they have purchased from the appropriate exchanges.The one thing that seems to be available publicly (although I am not sure how useful it will be) is this: LCH.ClearNet Margin

LocalVolatility · June 24th, 2009, 9:20 pm

See for example the Eurex homepage: http://www.eurexclearing.com/download/r ... nal_en.pdf