Quadruple witching triggers $1.5bn VM call at CME Clearing

CME Clearing’s futures and options clearing service issued a variation margin payment call of $1.5 billion to one member in the first quarter of the year – the largest made by the central counterparty (CCP) since Q2 2018. 

The call occurred on March 15, as a series of futures and options contracts expired simultaneously – an event known as a ‘quadruple witching’. The peak VM call was 56% bigger than the one of $975 million made in Q4 2018.

The CCP’s interest rate swaps division reported a

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