Other than Hedging or Spreading. Under the provisions of Rule 431.00, the Board hereby fixes the following minimum maintenance* and initial* margins for futures transactions, other than hedging and spreading transactions:
|
Maintenance Margin |
Initial Margin |
Initial Margin |
|
|
Corn |
$1,000 |
135% |
$1,350 |
|
Oats |
$1,000 |
135% |
$1,350 |
|
Rough Rice |
$2,300 |
135% |
$3,105 |
| Soybeans |
$3,500
|
135%
|
$4,725
|
| Soybean Meal |
$2,000
|
135%
|
$2,700 |
| Soybean Oil |
$1,700
|
135%
|
$2,295
|
|
Wheat |
$4,500 |
135% |
$6,075
|
| Ethanol | $2,700 | 135% | $3,645 |
| South American Soybeans | $1,500 | 135% | $2,025 |
| Theoretical Futures on Soybean Crush Option | $2,655 | 135% | $3,584 |
| OTC Ethanol Forward Month Swap | $1,750 | 135% | $2,363 |
| OTC Cash Settled Ethanol Options | $3,500 | 135% | $4,725 |
| OTC Ethanol Gulf Coast Basis Swap | $2,000 | 135% | $2,700 |
| OTC Ethanol Los Angeles Basis Swap | $2,000 | 135% | $2,700 |
| OTC Ethanol New York Harbor Basis Swap | $2,000 | 135% | $2,700 |
|
Crop Years are Defined as the Following: |
|||
|
Maintenance Margin (per contract) |
Initial Margin Mark Up Percentage |
Initial Margin (per contract) |
|
|
Treasury Bonds |
$2,000 |
135% |
$2,700 |
|
10 Year T-Note |
$1,600 |
135% |
$2,160 |
|
5 Year T-Note |
$1,100 |
135% |
$1,485 |
|
2 Year T-Note |
$900 |
135% |
$1,215 |
|
30-Day Fed Fund-Tier 1 (Months 1-Month 4) -Less than 21 days to expiration -Less than 14 days to expiration -Less than 7 days to expiration |
$850
$650 $450
$250 |
135%
135% 135%
135% |
$1,148
$878 $608
$338 |
| 30-Day Fed Funds-Tier 2 (Months 5 and later) |
$1,000
|
135%
|
$1,350
|
|
10 Year Swaps |
$1,700 |
135% |
$2,295 |
|
5 Year Swaps |
$1,200 |
135% |
$1,620 |
|
30 Year Swaps |
$1,600 |
135% |
$2,160 |
|
Maintenance Margin (per contract) |
Initial Margin Mark Up Percentage |
Initial Margin (per contract) |
|
|
Dow Jones Industrial Average(sm)-$10.00 |
$5,604 |
125% |
$7,005 |
|
Dow Jones Industrial Average(sm)-$5.00 |
$2,500 |
125% |
$3,125 |
|
Dow Jones Industrial Average(sm)-$25.00 |
$14,010 |
125% |
$17,513 |
| Dow Jones AIG Commodity Index |
$1,700
|
135%
|
$2,295
|
| Dow Jones AIG Commodity Excess Return Index |
$1,000
|
135%
|
$1,350
|
| Dow Jones U.S. Real Estate Index |
$1,350
|
125%
|
$1,688
|
|
Maintenance Margin (per contract) |
Initial Margin Mark Up Percentage |
Initial Margin (per contract) |
|
|
100 Oz. Gold |
$3,300 |
135% |
$4,455 |
|
5,000 Oz. Silver |
$7,500 |
135% |
$10,125 |
|
Maintenance Margin (per contract) |
Initial Margin Mark Up Percentage |
Initial Margin (per contract) |
|
|
Gold |
$1,100 |
135% |
$1,485 |
|
Silver |
$1,500 |
135% |
$2,025 |
|
Dow Jones Industrial Average(sm)-$5.00 |
$2,802 |
125% |
$3,503 |
|
Eurodollars |
$250 |
135% |
$338 |
|
Corn |
$200 |
135% |
$270 |
| Soybean |
$700
|
135%
|
$945
|
|
Wheat |
$900 |
135% |
$1,215 |
A short option will have the following margin requirements under the specified market conditions:
|
Position |
Margin Requirement |
|
Short options that are between 0 and 25 basis points out-of-the money |
($1,000 minus option value) x 45%* |
|
Short options that are between 26 and 50 basis points out-of-the money |
($1,000 minus option value) x 30%* |
|
Short options that are between 51 and 75 basis points out-of-the money |
($1,000 minus option value) x 15%* |
|
Short options that are greater than 76 basis points out-of-the money |
($1,000 minus option value) x 5%* |
|
Long Options |
Equal to or less than the option value (an account containing only long options will never have a margin deficiency when the options are fully paid for). |
|
*Speculative margin rates are 135% of the applicable rate listed above. |
|
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