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That's interesting. I knew FCMs could increase margins whenever they felt like it, but I thought that was based solely on their own risk models (SPAN+ for lack of a better term). I did not know the exchanges had two or three intra-day official updates.
In my experience, even the larger FCMs vary quite a bit in the level of detail they provide for intra-day and end of day margins; I suspect if someone has an account with a small/less technologically sophisticated FCM, they might only have access to end of day net margin by product (not by contract).
Can you help answer these questions from other members on NexusFi?
CL is down +3% today. I'm trying to understand why, but I'm not seeing much from my normal newsfeeds (yahoo, marketwatch, google news, tos). Can't be because its the last day of the month can it? Where is a good source for real-time news on commodities?
Seems like a good time to enter a trade as vol should be up (but I might be naive)
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Couple of points here...
Normally the exchanges will advise of margin increases a day (or more) in advance, so you know it's happening. But in times of high volatility they can and do not only increase them intra-day but also increase them several times as @Dudetooth mentions. I'm not sure what the exact rules are on this but I believe the exchanges can (and do) force clearing firms to post more margin intraday. I assume that clearers can in turn pass that on to clients but do not know whether/how often that happens.
Not only do intra-day limits vary by clearer but at many clearers they vary by client as well. A proven successful trader will probably be given high intra-day limits than a newer trader.
EDIT. This was the 1/24/11 trade not Sep 2011. OI for all GC futures contracts dropped 81,752 in one day. 14%. Surprisingly futures were up 3.50 that day.
Probably some combination of Greece, Super Mario & the Angelas, and the U.S. Congress, i.e. the US debt ceiling, the European debt bomb and the subsequent volatility and broad sell-offs in many markets in Aug and Sep 2011.
From memory, I sold some crude oil options at about 50% IV and some silver options at about 85% IV in October 2011. We haven't been anywhere close to those IV levels since.
FWIW, in a number of physical commodities, you are now getting paid more for selling options:
Crude Oil, Nat Gas, Silver, Coffee, Cocoa and Lean Hog options (30-90 day options) all have implied volatilities in the 80th to 100th percentile using a 12-month look-back.
Sugar is also up a bit recently but only getting back to the 50th percentile. Corn, wheat, soybeans and soymeal are mostly less than the 50th percentile and likely heading into (continuing?) a period of relative slumber.
I think you're safe with $60. If we get near there we'll probably have bigger problems like a big recession and a plunging stock market.
But this has been a good reminder that crude, after a long period at plus or minus $100, can drop $10 fairly quickly. Anyone that sold a $75 or $80 put during the calm period when ATM IV was 15-17% (now it's 22% and a five delta put is 28%) is feeling some pain over the last week.
This is my first time with CL, but I have CLX4 84s (very very small position), CLZ4 72 and 74s, and CLF5 70s that I put on before the drop in CL and the rise in vol. I noticed that the CLF5 70's were the hardest hit. I thought they were supposed to be more resilient, but maybe I put them on too cheaply (I sold for 0.08 and they are worth 0.2 now... might load up on some more).
