Initial margin changes

[Sugar_Snap]

What causes the JSE to change the margins every now and then (more often now than then) ? Why would certain margins increase and others decrease? Could I read anything into a margin ie, when it increases that they expect the price to increase as well, or not? Does share volume play a roll in this ?

[dookie]

They adjust the margins to fit their actuarial calculations... so that the whole derivatives system works. Depends on market conditions. They used to do it less frequently, but given recent market ructions - are doing it more frequently. Perhaps too frequently, according to some.

[dookie]

But I haven't a clue how exactly they arrive at THE figure or what can be read into it. I think any real understanding of that requires at least Nobel Prize level maths.

[cfm]

The figure is based on the volatility of the share. But, also don't know the exact formula.

[SimonPB]

thr basic formula is the worst 1 day move ..