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Historical margin data on futures spreads
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Historical margin data on futures spreads

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Historical margin data on futures spreads

What is the appropriate approach to calculate returns on futures spreads when backtesting, considering that margins on futures spreads are product-specific and not just a percentage of market value - rather set by the exchange using risk analysis tools? CME group provides risk array files for SPAN but only as of 2013. Does anyone know of a source of historical margins data for heavy-volume futures? Bloomberg terminal and CME group both don't have/provide it.

Thanks
Hershel

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hsfutures View Post
What is the appropriate approach to calculate returns on futures spreads when backtesting, considering that margins on futures spreads are product-specific and not just a percentage of market value - rather set by the exchange using risk analysis tools? CME group provides risk array files for SPAN but only as of 2013. Does anyone know of a source of historical margins data for heavy-volume futures? Bloomberg terminal and CME group both don't have/provide it.

Thanks
Hershel

Try here, this group has some experience:

https://futures.io/options-futures/12309-selling-options-futures.html

Mike

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