Generally speaking, the greater the price fluctuation of futures contracts, the greater the risk and the greater the margin ratio. For example, the risk of aluminum fluctuation is small, and the minimum margin charged in the previous period is 5%, while the price of fuel oil is closely related to the situation in the Middle East in addition to supply and demand, so the minimum margin of the exchange is set at 8%. With the approach of the last trading day, the margin ratio of commodity futures has gradually increased. The theoretical basis for this is that the historical volatility of the spot reflects the risk degree of the variety, and the matching margin level should be set according to the volatility of the spot. With the approach of the last trading day, the default risk of buyers and sellers increases accordingly. In order to ensure the interests of spot merchants and manufacturers, it is required to increase the margin.
The interests of spot dealers and manufacturers are mainly considered from two aspects. If the seller defaults on delivery, the buyer's losses include the loss of production and operation interruption caused by the failure to deliver the required goods. This kind of loss involves not only the profits obtained, but also the liquidated damages paid in the spot market due to the failure to perform the contract due to the interruption of production or the increase of the spot cost of temporary procurement. If the buyer violates the delivery contract, the seller's losses include storage costs, losses caused by falling commodity prices, interest on funds occupied by commodities, losses caused by poor quality of commodities due to long storage period, storage costs, etc. Therefore, when the commodity futures contract approaches the last trading day, the size of the margin that the exchange can freeze should be able to make up for the above losses of the other party with the margin in case of default. Exchanges will generally develop a risk control method, and the margin will increase over time. As the Shanghai and Shenzhen 300 index futures are delivered in cash, the current regulations do not stipulate that the margin will increase as the last trading day approaches.
There are several situations that will increase the margin. First, when the contract position exceeds the specified level, the margin should be increased accordingly, because the large position indicates that the market differentiation is intensified and the market risk suddenly increases. Second, when there is a daily limit or a daily limit, the margin will also be raised, because it shows that the market fluctuation is beyond the normal range and there may be huge risks. This is also to curb the ability of powerful parties to open new positions. The third is to raise the margin before the long holiday, which is to improve the risk tolerance of the domestic futures market after the big fluctuations in the external market.
The relevant provisions of the exchange on the adjustment of margin with the size of positions, with the approach of the last trading day, and in the case of price limit, are generally clearly stated in the risk control documents of the exchange. The adjustment in the case of long holidays is decided by the exchange according to market risks.
The name of the proportional margin system is confusing, because the domestic futures industry first came into contact with Hang Seng Index Futures, and later the concept and name of Hang Seng Index Futures were extended to domestic commodity futures. Under the fixed deposit system, if the amount of funds remaining after deducting the floating loss from the original deposit paid by the customer is equal to the maintenance deposit, the strong leveling point will be triggered. It can be seen that the maintenance margin in Hang Seng Index futures is actually the concept of strong leveling margin.
Domestic commodity futures use proportional margin, and the funds needed for opening positions are dynamic. There is no name for maintaining the deposit, only the concept of risk rate. When buying and selling Hang Seng Index futures, the broker told you a contract of HK$ 50,000. No matter how the market fluctuates on that day, 50,000 Hong Kong dollars can open a position. In the market of proportional margin system, brokers can only tell you how much it costs to open positions and buy and sell 1 contracts. For example, in the early days of the introduction of the Shanghai and Shenzhen 300 Index Futures Regulations, it only took about 42,000 yuan to buy and sell 1 Shanghai and Shenzhen 300 Index futures contracts, but at present, the margin of 1 contracts has increased to more than 90,000 yuan.
At present, in the domestic commodity futures market, margin is called "initial margin", "original margin" and "opening margin", or generally called margin. There is no detailed division, but it involves interested customers. Such a rough division can not give customers a satisfactory explanation. For example, customers often ask, if I buy from Man Cang, what are the advantages?
The author believes that the margin under the proportional margin system is divided into four concepts: opening margin, holding margin, maintaining margin and strengthening margin, which is helpful to communicate with customers and reduce business risks.
Opening margin refers to the margin calculated according to the opening price and the margin ratio charged by the futures company when the customer opens the position. Position margin refers to the margin dynamically calculated by the computer with the price fluctuation after the customer opens the position. This margin is the concept of opening margin for investors who have not yet opened the position or are about to open the position. Domestic futures companies generally stipulate that the margin charged by the exchange is a strong margin. In this way, as long as the customer's rights and interests are between the position margin and the strong margin, the customer's position can be maintained, which belongs to the concept of maintaining margin. It can be seen that the maintenance margin under the proportional margin system is an interval and dynamic concept.
For the case that the exchange charges 8% margin and the futures company charges 10% 2 percentage points, for any price, the calculation formula of strong margin is: strong margin = stock index futures price × contract multiplier × number of buyers and sellers × margin ratio ×(8/ 10), that is, the calculated position margin is multiplied by the coefficient of 0.80. If the margin of the exchange is raised to 10% and the paid-in amount of the futures company is 12%, the coefficient becomes 0.83. As long as the customer's rights and interests are greater than the calculated strong margin, the position in hand can be maintained. If the commodity futures exchange receives 5% and the futures company receives 7%, the coefficient is 0.7 1, which is actually the concept of risk rate. This is what brokers often tell their clients. When your risk rate reaches 7 1%, it will trigger a strong leveling point, and the futures company has the right to make a strong leveling.
You can refer to www.qihuoz.com Futures Network.