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.
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.
Some examples include:
• MBT (Micro Bitcoin Futures)
• ETH (Ether Futures)
• NDA (Nasdaq-100 Annual Dividend Index Futures)
Contents
- Block Trades
- End of Market Summary
- Eris PAI Dataset
- Market Depth
- MBO FIX
- BrokerTec Historical Data
- Time and Sales
- Top of Book - BBO
- Volume and Open Interest
- Order Book AI
- STL INT Settlements
- GovPX Historical Data
- Packet Capture Dataset
- GovPX End of Day Historical Data
- Premium FX Feed Historical Data
- SOFR Strip Rates
- CME Liquidity Tool Datasets
- EBS Historical Data
- Registrar
- Collateral Eligibility Lists
- CVOL
- CME Group Petroleum Index
- AIR Futures
- FX Options Vol Converter
- OTC IRS Curves
- CryptoQuant
- Fixing Prices
- Historical Margin Data
- Asian Gold Spot
- Settlements FAQ
- CME Term SOFR
- Daily Bulletin
- Commodities Indices
- Repo Fund Rates
- TFS-ICAP FX Options
- MXN Price Alignment Amount Rate
- Cleared OTC IRS
- FX Close Quotes
Dates Available
Historical Margin Data files start in the mid to early 2000s until present day, depending on product.
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 |