Futures margin explained: initial, maintenance and daily settlement

What futures margin is, and what it is not

CME Group’s education pages draw a clear line between two uses of the word. Securities margin is a loan: an investor borrows part of the purchase price of a stock or bond and owns the security. Futures margin is not a down payment and nothing is borrowed. It is money left on deposit with the broker to show that the holder can absorb losses on the position. CME describes it as typically 3% to 12% of the contract’s notional value.

CME Clearing calls these deposits performance bonds and holds them so that clearing members can meet their obligations.

There are two levels. Initial margin is the amount required to open a position. Maintenance margin is the minimum equity required to keep it open. CME’s performance bonds page sets the relationship between them for all products: for accounts classed as Heightened Risk Profile (HRP), initial margin is 110% of maintenance; for non-HRP accounts it is 100%. If equity falls below maintenance, a margin call is issued to bring the account back up to the initial level, not just back to maintenance. If the call is not met, the position can be closed out by the broker.

The CME figures for the E-mini and Micro E-mini S&P 500

CME publishes requirements by product and contract month on each product’s margins tab. When we read the E-mini S&P 500 (ES) and Micro E-mini S&P 500 (MES) pages on 20 October 2026, they showed the maintenance figures below. The pages do not print an effective date next to the numbers, so we date them by when we read them.

The long and short figures differ: $26,121 against $23,290 for December ES. The Micro is a tenth of the E-mini to within a dollar, matching CME’s contract sizes: ES is $50 times the S&P 500 index and MES $5 times.

The pages list maintenance only. Applying CME’s 110% rule gives HRP initial margins of 26,121 × 1.1 = $28,733.10 for a long ES and 2,612 × 1.1 = $2,873.20 for a long MES (our arithmetic). For a non-HRP account, initial equals maintenance.

Notional value and the leverage arithmetic

Notional value is the price times the contract multiplier. CME’s settlement price for ESZ26 on 19 October 2026 was 7,734.50, so one contract controlled 7,734.50 × $50 = $386,725 of index exposure. One MES contract at the same settlement price controlled 7,734.50 × $5 = $38,672.50.

Against that, the long ES maintenance requirement of $26,121 is 26,121 ÷ 386,725 = 6.75% of notional, and the HRP initial figure of $28,733.10 is 7.43%. Put the other way, the exposure was about 13.5 times the deposit; the MES ratios are the same.

That ratio is what makes small index moves large in account terms. A 1% move in ES from 7,734.50 is 77.35 points, worth 77.35 × $50 = $3,867.25 per contract, or about 13.5% of the HRP initial margin. The gap between initial and maintenance is 28,733.10 − 26,121 = $2,612.10, which is 2,612.10 ÷ 50 = 52.24 index points, about 0.68% of 7,734.50. An account holding exactly the initial margin for one long contract gets a margin call after a fall of that size at settlement (all our calculations).

Daily settlement: losers pay winners every day

Every CME futures contract has one official daily settlement price, and it is the same for every open position. CME’s daily settlement procedure for the E-mini S&P 500 sets it from a volume-weighted average price of trades in the lead month between 14:59:30 and 15:00:00 Central Time.

Once the settlement price is set, each open position is revalued. The change from the previous settlement to today’s, times the multiplier, is that day’s profit or loss, and it is paid or collected in cash. This flow is called variation margin. CME’s phrase for it is that losers pay winners every day, so no loss is carried forward to the next session. If the day’s loss takes an account’s equity below maintenance, the call follows.

A settlement price is not the same as the last trade. On 19 October 2026 CME’s settlements page showed a last trade of 7,739.75 for ESZ26 and a settlement of 7,734.50. Variation margin uses the settlement. Yahoo Finance’s daily close for ESZ26.CME matched CME’s settlement on each of the six sessions used below, but the two are different series and Yahoo is not CME’s official record.

A worked example: one ES and one MES contract, 12 to 19 October 2026

Suppose an account bought one ESZ26 contract at the 12 October settlement price of 7,858.00 and started with the HRP initial margin derived from CME’s 20 October figure, $28,733.10. The requirement in force during 12–19 October may have differed, and real fills rarely happen at the settlement price. The settlement prices are CME’s own; the 12 October price is CME’s 13 October settlement of 7,855.75 plus that day’s published change of 2.25 points.

13 October: 7,855.75 − 7,858.00 = −2.25 points × $50 = −$112.50. Balance $28,620.60, above maintenance.

14 October: 7,770.25 − 7,855.75 = −85.50 points × $50 = −$4,275.00. Balance $24,345.60, below the $26,121 maintenance level. The call is to restore initial margin: 28,733.10 − 24,345.60 = $4,387.50 deposited, balance back to $28,733.10.

15 October: +20.75 points × $50 = +$1,037.50. Balance $29,770.60.

16 October: −86.75 points × $50 = −$4,337.50. Balance $25,433.10, below maintenance again. A second call of 28,733.10 − 25,433.10 = $3,300.00.

19 October: +30.25 points × $50 = +$1,512.50. Balance $30,245.60.

The daily amounts add up to −$6,175, which is the full move from 7,858.00 to 7,734.50 (−123.50 points × $50). The account ends at $30,245.60 after $7,687.50 of extra deposits: 28,733.10 + 7,687.50 − 6,175 = 30,245.60. The point of the example is the sequence: the position lost about 21% of its starting margin over five sessions, yet needed two top-ups, because the maintenance test is applied every day rather than to the total.

The MES column is the same arithmetic at $5 a point. Starting at $2,873.20 against $2,612 maintenance, it drew calls of $438.75 and $330.00 on the same two days and ended at $3,024.45 (all figures our calculation).

Why margins change, and how CME announces it

CME’s education page says more volatile daily moves may produce higher requirements, and calmer conditions lower ones.

The model behind the numbers is SPAN, and CME is moving products to a successor framework, SPAN 2. CME describes SPAN 2 as a historical value-at-risk approach using at least 10 years of data, with total portfolio margin built from a historical risk component, a stress component, a liquidity charge for close-out costs and a concentration charge for unusually large positions. CME’s rollout page says energy and equity contracts have been migrated to SPAN 2; the list of in-scope contracts is in a report that requires special access, so we have not confirmed which framework sets the ES figures above.

Changes are published as clearing advisories with a notice date and an effective date. Advisory 26-322, for example, was dated 24 September 2026 and set new rates effective after the close of business on 25 September 2026, as part of CME’s normal review of market conditions. That advisory covered energy and sports index contracts; it did not list the E-mini S&P 500.

Exchange minimum, broker margin and prop-firm drawdown

The CME figures are minimums for the clearing house. CME’s own course notes that a broker may be required to collect more than the amount CME Clearing sets, and brokers publish their own margin schedules on top. Some brokers also quote smaller figures for positions opened and closed within one session; those are the broker’s terms, not CME’s.

A prop-firm evaluation or funded account works differently again. The trader is usually not posting performance bond at all; the firm sets a maximum loss, often called drawdown, and closes the account if it is breached. That limit can be checked continuously or only at the end of the day, and it can trail the account’s high point. It is a business rule chosen by the firm, not a margin calculation. Our drawdown explainer at /articles/intraday-trailing-vs-eod-drawdown-mechanics shows how the two styles treat the same trade, and each firm’s published rules are on our prop-firm pages at /prop-firms.

How to check these numbers yourself

Every figure above comes from public CME pages, and the arithmetic can be redone with a calculator.

• Margins: the Margins tab on CME’s E-mini S&P 500 and Micro E-mini S&P 500 product pages, by contract month, long and short.
• Initial versus maintenance: CME’s Performance Bonds/Margins page, which sets out the 110% and 100% rules.
• Settlement prices: the Settlements tab on each product page; a trade-date menu covers the last five sessions.
• Contract size: the Contract Specs tab ($50 for ES, $5 for MES).
• Changes: CME clearing advisories titled Performance Bond Requirements, each with a notice date and an effective date.
• On our site, contract months and rolls are covered at /articles/futures-contract-months-rolls-and-roll-dates, and the futures lesson is at /learn/futures.