A Question: What has historically happened to volatility (for the puts and calls on both near and far expiry futures), open interest, and prices for the underlying commodity when exchanges raise margins?
The answer is important. I have said before that news follows price movements, and the fact that exchanges realize when fundamentals change is a similar truism.
NYMEX to Change Margins for Crude Oil, Related Futures Contracts
NEW YORK, N.Y., May 6, 2008 -- The New York Mercantile Exchange, Inc. today
announced margin changes for its crude oil and related futures contracts,
beginning at the close of business tomorrow.
Margins for the crude oil, crude oil calendar swap, and crude oil financial
futures contracts will increase to $7,250 from $6,500 for clearing members,
$7,975 from $7,150 for members, and to $9,788 from $8,775 for customers.
Margins for the NYMEX miNYTM crude oil futures contract will increase to
$3,625 from $3,250 for clearing members, to $3,988 from $3,575 for members,
and to $4,894 from $4,388 for customers.
Margins for the NYMEX MACI index futures contract will increase to $1,450
from $1,300 for clearing members, to $1,595 from $1,430 for members, and to
$1,958 from $1,755 for customers.