The Research On The Calculation Methods Of Spare Margin In The Stock Index Futures Market

Stock index futures market implements margin trading, traders can use a small amountof margin to conduct a large amount of the transaction, but at the same time it derives greatrisk.Deposit system is one of the systems to provide risk in the stock index futuresmarket,many scholars conducted research on the initial margin and trading margin,but bothof them concern on the price of intraday volatility.HuangWei,LiuHailong put forward theconcept of spare margin of futures market in his doctoral thesis,spare margin is to preventthe risk of price fluctuations for the entire holding period,it is more meaningful forinvestors,so the article conducts the research on the spare margin of the stock index futuresmarket based on that.Based on the similar path dependency of spare margin solving and pricing options,inthis paper the author wrote a Monte Carlo simulation program using the R softwarecombined with a real sample data to price Lookback options and then calculate sparemargin.Beacuse generalized hyperbolic distributions can better describe the phenomenonof peak yields and fat tail in financial market than normal distribution, so during the MonteCarlo simulation, the article is based on two different distribution-normal distribution and tdistribution(it is a special form of hyperbolic distributions),and simulate different numbersto observe the spare margin obtained.This paper choose CSI300Index as the sample data to conduct empirical analysis anddraw two main conclusions:(1) The amount of spare margin calculated by Monte Carlo simulations based on normaldistribution is less than the amount calculated based on t-distribution, in other words, ifthe investors reserve spare margin as calculated under the normal distribution, investorsface the risk of warehouse explosion.(2) The result confirms that the investors who hold short need more spare margin to setaside than the investors who hold long.