My Frequently Traded Commodity Margins in September 2012

The major grains are all denominated with 5,000 bushels per contract which leads to pretty similar % margins:

Corn about $40,000 for 2781, 7%

Wheat $45,000 for 3767,  8.4%

Soybeans $85000 for 5616, 6.6%

(Bonds are 100k per contract at par, so price *100k to get current size:)

10 Year Treasury $133,000 for 2049, 1.5% (!!)

30 Year Treasury $149,000 for 3915, 2.6%

S&P is 250* index price or $357000 for 21875, 6.1%

Nasdaq 100 is 100*index, $282000 for 12500, 4.4%

Russell 2000 is 100*index, $82000 for 7500, 9.1%

Gold 100 * price, $170,000 for 9113, 5.3%

Copper 25,000*price $90,000 for 5508, 6.1%

Euro is 125000 euros for $156,000 for 4050, 2.5%

Crude Oil 1000 barrels, $96000 for 6886, 7.1%

A notable outlier is Cotton for 50,000*price $37000 for 7500, 20% — a legacy of the 2010 runup?

 

 

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