This page describes Historical Margin data available from CME DataMine.
Historical margin data includes historical outright margin data by futures product and expiration (“Period Code”).
Externally, Historical Margin data can be used by a firm to help predict margins, including during a volatile event, thereby estimating potential margin levels. Hedge funds may also use Historical Margin data as part of investor sales/calls to approximate margin impacts.
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Certain products have reused a Product Family (PF) code from a discontinued product; please note this can lead to discontinuity in margin data between the retirement of the initial product and start of the newer product. Data published on holidays may reflect inconsistences due to technical limitations. |
Contents
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Dates Available
Historical Margin Data files start in the mid to early 2000s until present day, depending on product.
Sample Files
| Dataset | Sample File |
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| HMD Ags | 01/11/2022 |
| HMD All | 01/11/2022 |
| HMD Energy | 01/11/2022 |
| HMD Equity Index | 01/11/2022 |
| HMD FX | 01/11/2022 |
| HMD IR | 01/11/2022 |
| HMD Metals | 01/11/2022 |
| HMD Real Estate | 01/11/2022 |
| HMD Weather | 01/11/2022 |
FAQ
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What format is the file delivered in? Data is provided in .csv format. Are files compressed? Files can be compressed as needed after Support creates a job to pull the data. How is data calculated? CME Clearing Risk Management calculates margins pursuant to its margin methodologies. |
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How many files are available per day? The database structure allows for one or more files as needed. How far back do you maintain these records? The Historical Margin data offering goes back to the early to mid 2000s. Do you have sample files available? Yes, please contact cmedatasales@cmegroup.com to request sample files. Are there any dates for which files cannot be produced? Files are produced consistent with the end-of-day margin cycles set forth by CME Clearing. |
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When are these files delivered? Files are available daily at the end of the day as needed. |
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How large are these files? Daily files average 5.8MB. Is there a specific process that must be followed in order to use the data? The process can be customized to meet a firm's needs. |