Skip to content
All library documents

How CME Futures Margin Periods Relate to Contract Expiration

Article Quant Q&A · Author: L. Francis Cong
Read the original

Summary

The discussion clarifies that the start and end periods in a CME futures margin table refer to ranges of contract expiration dates. They do not indicate calendar windows during which every contract receives the listed margin, nor do they simply assign a margin by named delivery month. Instead, the table distinguishes margin requirements for contracts expiring in different date ranges, so nearer and later expirations can carry different requirements at the same time.

The reply suggests that differences may reflect maturity-related volatility, invoking the Samuelson effect: futures volatility often varies with time to expiration. It also notes that margin figures change as time passes and maturities shorten. This is a concise interpretation of a particular exchange table, not a general rule for every contract or a full explanation of CME’s margin methodology; traders should consult current contract-specific margin information.

Key ideas

  • CME margin table periods identify ranges of futures expiration dates.
  • Contracts with different expirations can have different margin requirements at the same time.
  • Maturity-related volatility may help explain margin differences across expirations.
  • Published margin requirements can change as contracts approach expiration.

Tags

FuturesCommoditiesVolatilityRisk management
Full text
# What do "Start Period" and "End Period" mean for maintenance margins of futures at the CME Group?


# What do "Start Period" and "End Period" mean for maintenance margins of futures at the CME Group?












For any futures contract at the CME, under "Margins" tab, we can see a table like the one below.

My question is: what are the two columns named "Start Period" and "End Period"? Does it represent maturity months of futures contracts, or levels of maintenance margin for all futures in future periods? For example, does it mean that the Jun 2022 RBOB futures have a maintenance margin of 10,750 USD but the Jul 2022 RBOB futures have a maintenance margin of 10,000 USD? Or does it mean that all RBOB futures will have a maintenance margin of 10,750 USD from May 2022 to June 2022 and it will be 10,000 USD in July 2022?

## Answer by nbbo2 (score 1)

https://quant.stackexchange.com/a/70905

Those are ranges of EXPIRATION DATES fot the futures concerned. If you have a futures contract now, this table shows that you have to put up more margin for a contract expiring in June 2022 then you do if you have a contract for December 2022. (You can rationalize this as the result of different volarilities for different contracts, the so-called "samuelson hypothesis"). Of course these numbers will change as time passes and the maturities shorten.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.