Minimum Margin Requirements
Futures
CBOE S&P 500 Three Month Variance (VT)
Outright
| | Initial | Maintenance |
| Speculative | $12,500 | $10,000 |
| Hedge / TPH Permit1 | $10,000 | $10,000 |
Outright, During the Settlement Determination Period
| |
Initial |
Maintenance |
| Speculative |
|
|
| Weeks 1 and 2 |
$12,500 |
$10,000 |
| Weeks 3 through 6 |
$9,375 |
$7,500 |
| Weeks 7 through 10 |
$6,250 |
$5,000 |
| Weeks 11 through expir. |
$3,125 |
$2,500 |
| |
|
|
| Hedge / TPH Permit |
|
|
| Weeks 1 and 2 |
$10,000 |
$10,000 |
| Weeks 3 through 6 |
$7,500 |
$7,500 |
| Weeks 7 through 10 |
$5,000 |
$5,000 |
| Weeks 11 through expir. |
$3,125 |
$3,125 |
Intra-Commodity Rates (Calendar Spreads)2
Tier 1 [mos. 1-3] vs. Tier 2 [mos. 4-6]
Tier 1 [mos. 1-3] vs. Tier 3 [mos. 7-9]
Tier 1 [mos. 1-3] vs. Tier 4 [mos. 10-12]
| | Initial | Maintenance |
| Speculative | $25,000 | $20,000 |
| Hedge / TPH Permit1 | $20,000 | $20,000 |
Tier 2 [mos. 4-6] vs. Tier 3 [mos. 7-9]
Tier 3 [mos. 7-9] vs. Tier 4 [mos. 10-12]
| | Initial | Maintenance |
| Speculative | $2,625 | $2,100 |
| Hedge / TPH Permit1 | $2,100 | $2,100 |
Tier 2 [mos. 4-6] vs. Tier 4 [mos. 10-12]
| | Initial | Maintenance |
| Speculative | $5,250 | $4,200 |
| Hedge / TPH Permit1 | $4,200 | $4,200 |
Inter-Commodity Spreads
None at this time
Inter-Exchange Spreads
None at this time
Schedule for Increasing / Decreasing
Given the potential for dramatic changes in the level at which the CBOE S&P 500 Three Month Variance futures contract may trade, and the magnitude of an increase in the margin requirement, the schedule given below is provided as an aid for anticipating increases in the margin requirements.
If the Daily
Settlement Value
for Any Contract Is: |
Margin Requirement Outright
(Hedge)* |
Incremental Change |
Tier 2 vs Tier 3
Tier 3 vs Tier 4
Spread Margin (Hedge)* |
Tier 2 vs Tier 4
Spread Margin (Hedge)* |
| 0 to 399.99 |
$5,500 |
- |
$1,600 |
$3,200 |
| 400 to 624.99 |
$10,000 |
$4,500 |
$2,100 |
$4,200 |
| 625 to 899.99 |
$15,000 |
$5,000 |
$2,600 |
$5,200 |
| 900 to 1224.99 |
$20,000 |
$5,000 |
$3,100 |
$6,200 |
| 1225 to 1599.99 |
$30,000 |
$10,000 |
$3,600 |
$7,200 |
| 1600 to 2024.99 |
$40,000 |
$10,000 |
$4,100 |
$8,200 |
| 2025 to 2499.99 |
$50,000 |
$10,000 |
$4,600 |
$9,200 |
| 2500 to 3024.99 |
$60,000 |
$10,000 |
$5,100 |
$10,200 |
| 3025 to 3599.99 |
$70,000 |
$10,000 |
$5,600 |
$11,200 |
| 3600 to 4224.99 |
$85,000 |
$15,000 |
$6,100 |
$12,200 |
| 4225 to 4899.99 |
$100,000 |
$15,000 |
$6,600 |
$13,200 |
| 4900 to 5624.99 |
$115,000 |
$15,000 |
$7,100 |
$14,200 |
| 5625 to 6399.99 |
$130,000 |
$15,000 |
$7,600 |
$15,200 |
| 6400 to 7224.99 |
$150,000 |
$20,000 |
$8,100 |
$16,200 |
| 7225 to 8099.99 |
$170,000 |
$20,000 |
$8,600 |
$17,200 |
| 8100 to 9024.99 |
$190,000 |
$20,000 |
$9,100 |
$18,200 |
| 9025 to 9999.99 |
$210,000 |
$20,000 |
$9,600 |
$19,200 |
| 10000 to 11024.99 |
$230,000 |
$20,000 |
$10,100 |
$20,200 |
Table Notes
The margin requirement will be decreased by the applicable increment if the determinant daily settlement value drops below a breakpoint and remains below for at least five business days.
Contract That Is In Its Settlement Period:
First two weeks: 100% of requirement
Weeks 3 through 6: 75% of requirement
Weeks 7 through 10: 50% of requirement
Weeks 11 through expiration: 25% of requirement
A contract that is in its settlement period is not spread eligible.
* NOTE: Speculative rate is 125% of the hedge rate.
1 TPH Permit means the account of a person possessing a Trading Privilege Holder Permit that allows access to the CBOE Futures Exchange, LLC trading system.
2 A contract that is in its settlement determination period (Tier 1) is not spread eligible. The spread margin rate is equal to twice the outright rate.
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