The margin rate commonly used in China's commodity futures exchanges is 5%, and the margin charged by futures brokerage companies to customers is increased by 3 percentage points to 8% on the basis of exchanges. Take Dalian soybean futures trading, which has always been relatively stable, as an example. In the 84 1 day trading since October 2, 2003, there were five days when the "absolute value of the difference between the closing price of the current day and the closing price of the previous day" exceeded 5%, with a probability of 0.59%, that is, the margin rate covered 99.3 1%. When the margin standard of 8% is adopted, the situation of exceeding the margin collection standard is reduced to two times, with a probability of 0.24%, that is, the coverage rate of margin to transactions reaches 99.76%. This shows that such a margin setting can basically prevent overnight risks.
However, within one day, the maximum amplitude of the day has never exceeded 5% of the margin, indicating that the coverage rate of this margin rate has reached 100%, that is to say, this margin setting can completely prevent the trading risk of the day at all times.
As the margin rate of 5% is adopted, the corresponding price limit range is 3%, so the margin rate is 0.67 times of 65438+ price limit range. That is to say, when the trading margin rate is set to 1.67 times the daily limit, the margin is enough to resist the trading fluctuation of the day or even overnight without risk.