Historical Margin Data

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.

Nex/BrokerTec- Contents

Resources

Dates Available

Historical Margin Data files start in the mid to early 2000s until present day, depending on product.

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Sample Files

Dataset	Sample File
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

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FAQ

Margin Data Format

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.

Margin Data Availability

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.

Margin Data Delivery

When are these files delivered?

Files are available daily at the end of the day as needed.

Margin Data Interpretation

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.

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