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Does anyone have a way of knowing what margin was for CBOT Corn in July 1996?
Any help appreciated.
Thanks,
Dave
>Resent-Date: Wed, 20 Sep 2000 17:28:18 -0700
>X-Sender: david_wieringa@xxxxxxxxxxxxxxxxxxxxxxxxxxx (Unverified)
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>Date: Wed, 20 Sep 2000 20:27:52 -0400
>To: omega-list@xxxxxxxxxx
>From: David Wieringa <david_wieringa@xxxxxxxxx>
>Subject: Methods of simulating margin
>Cc: slwieringa@xxxxxxx, steve_wieringa@xxxxxxxxx
>Resent-From: omega-list@xxxxxxxxxx
>X-Mailing-List: <omega-list@xxxxxxxxxx> archive/latest/55662
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>Resent-Sender: omega-list-request@xxxxxxxxxx
>
>Here's a question to the list from my trading partner...
>
>I am looking for a way to allow my system to adjust to changes in market
>volitility. Rather than base my system parameters on a 'normal trading
>day' I would like to base them on a variable that changes with trading
>volitility such as margin.
>
>For example, in 1994 corn on a normal day moved above 2 cents from close
>to close. During a period of 1996, it was not unusual to see this
>commodity move over 15 cents in a day.
>
>Rather than try to find a historical source of margin for a number of
>commodities in my portfolio, it seems plausable I should be able to
>simulate margin as a function of the trading ranges of a recent period of time.
>
>Does anyone know how the exchanges compute margin?
>
>How do others allow there system to adjust for changes in volitility?
>
>Thanks for your input.
>
>
>---
>david_wieringa@xxxxxxxxx
>Scottsdale, AZ
david_wieringa@xxxxxxxx
Software Engineer (contractor)
Scottsdale, AZ / Grand Rapids, MI
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