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Just a side note. A client was interested in the wheat/spread margin
recently. I called the margin department of our FCM. They said the exchange
does not recognize this as a spread currently. Of course, I questioned this
and e-mailed the CBOT. Sure enough, the CBOT margin people said that the
corn and wheat do not currently have even a 60% correlation, which would
allow for a spread margin discount.
I am not quite sure how the CBOT figures this correlation, but that will the
subject of another e-mail to the CBOT. :-)
Regards,
John J. Lothian
Disclosure: Futures trading involves financial risk, lots of it!
Disclosure: John J. Lothian is the President of the Electronic Trading
Division of The Price Futures Group, Inc., an Introducing Broker.
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