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Old 12-10-2014, 01:38 PM
acemanhattan acemanhattan is offline
Join Date: Sep 2014
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Default Margin in a Futures Contract

I'm preparing for FM/2 but am coming across conflicting information from my prep sources with regard to whether the margin in a futures contract is based on the current price of the index or the futures price. I'll summarize my understanding and would appreciate if you could correct me.

Notional Value of 1 futures contract on S&P 500: $250 x futures price
Margin required: k% x Notional value of 1 futures contract on S&P 500

In other words, the margin is NOT based on the spot price of the index (ignoring the fact that the futures price is based on the spot price), it's based on the futures price specified in the contract. Is this correct?
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Old 03-19-2015, 08:16 PM
ct1733 ct1733 is offline
Join Date: May 2014
College: postgraduate
Posts: 8

Just loaded ThinkOrSwim(Td Ameritrade Trading Software). I "bought" the ESH5(March), ESM5(June) and the ESU5(September) contracts. The margin was the same on all of them $5060. The current prices were, in order listed above, 2087, 2078.50 and 2075.25. Don't remember the by the book answer though so doubt that helps.
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Old 03-20-2015, 08:53 AM
MathGeek92 MathGeek92 is offline
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