The minimum trading margin of CSI 500 stock index futures margin is 8% of the contract value.
The minimum trading margin of SSE 50 stock index futures is 8% of the contract value.
The futures margin trading system has a certain leverage. Investors do not need to pay the full amount of the contract value, but only need to pay a certain percentage of the deposit to trade. The leverage effect of the margin system not only magnifies the income, but also magnifies the risk. In case of extreme market, the loss of investors may even exceed the principal invested.
Calculation of requirements of futures margin system
For futures and options in Hong Kong futures market, PRiME method is used to calculate the margin requirements of each clearing participant. The specific calculation steps are as follows:
First, using the concept of commodity combination, take 16 risk scenario to calculate the risk value, considering the cross-month price difference risk, but not considering the cross-commodity price difference risk offset.
Second, the risk array. The risk array indicates the increase or decrease of the value of derivatives in a trading day. There are two reasons for the change of value: one is the change of the price of the subject matter, which is called the scanning range; The second is the change of the volatility interval of the subject matter, which is called the volatility scanning interval.
Third, detect the risk value. Calculate the detection risk value of the same commodity portfolio position, that is, the maximum loss value of the contract in the risk array, which is divided into total and net calculation methods. Select a risk array with positions and multiply it by the number of positions. Multi-position is positive and short position is negative.
Fourth, combine delta. PriME uses Delta information to form spread positions, and each contract uses a single delta value, which is called compound delta, which is calculated by weighted average of the delta values corresponding to each target price detection point.
Fifth, cross-month spreads. PriME assumes that the price changes in different contract months are 100% related when detecting the price of the subject matter. In fact, there is no perfect correlation between price changes, so PriME adds up the monthly spread margin to calculate the net account margin.
Sixth, the minimum margin requirement for selling options. For positions with put options in the portfolio, PriME has the minimum margin requirement for put options, that is, the minimum margin requirement for the seller part with options in the commodity portfolio.
Seventh, the value of buyer's part. Applicable to all options in each commodity portfolio, and as the upper limit of the margin demand of the portfolio, only applicable to futures options.