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David:
Just a vague memory, don't call me on it, but I think it the corn margin was
near the $1000, maybe $1200 range. They probably goosed it a few times. I
remember bean margins hit at least $4500-5000 in 1988 as an example. Margins
jump around, up and down, pretty quick in moves like that.
Bill Wynne
Bill@xxxxxxxxxxxxxxx
>From: David Wieringa <david_wieringa_ml@xxxxxxxxxxxxxxxx>
>To: omega-list@xxxxxxxxxx
>CC: slwieringa@xxxxxxx, steve_wieringa@xxxxxxxxx
>Subject: Fwd: Methods of simulating margin
>Date: Wed, 20 Sep 2000 22:11:36 -0400
>
>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)
>>X-Mailer: QUALCOMM Windows Eudora Pro Version 4.2.2
>>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
>>X-Loop: omega-list@xxxxxxxxxx
>>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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