Volatility a. b. C. d. From the price change file, calculate the volatility for the past 5, 20, and 50 days. sum of the squares of daily price changes number of days in sum Determine the average of the 5-, 20-, and 50day volatility. Determine the 99% move by multiplying this Convert this number into dollars per contract by multiplying by the dollars per contract point. This result is then the margin that should be required based on the average of the volatilities for the last 5, 20, and 50 days. The Board also modified its limited trading rules by doubling (to 40% of the positions permitted under the silver position limit rule) permissible new positions. 6. March 27, 1980 - Bache asked the board that the silver market be closed and that all silver contracts be liquidated and settled. The President and Counsel recom mended against such action. No action was taken. E. Activities of Audit Staff at Comex from September 1979 through March 1980 In addition to the complete audits performed by the Audit Staff of the Compliance Department of Comex many other reviews were conducted during the subject period all of which included silver positions and some of which were exclusively related to silver. The special reviews conducted by the Audit Staff consisted of: (1) margin reviews, in some cases with particular emphasis on long silver positions of customers; (2) review of silver positions and compliance with position limit rules; (3) review of bona fide hedge accounts and hedging procedures; (4) review of positions to determine compliance with liquidation only trading order; (5) review of accounts maintained at clearing members for non-clearing members of Comex; (6) review of inventory positions and procedures; and (7) special financial reviews to determine compliance with Comex financial requirements. During the period September 1979 through March 1980, all or some of the special reviews described above were accomplished at each of the following Clearing Members: ACLI International Commodity Services, Inc. J. Aron Commodities Corp. J. Aron & Co., Inc. Bache Halsey Stuart Shields, Inc. Brody White & Co., Inc. Cargill Investor Services, Inc. Clayton Brokerage Co. of St. Louis Dean Witter Reynolds, Inc. Clearing Members (cont'd) Paine Webber Jackson Curtis, Inc. Republic Clearing Corp. Shearson Hayden Stone, Inc. Lee B. Stern & Co. T&S Commodities Thomson McKinnon Securities, Inc. Truebner & Co. United Equities Commodities Co. Rudolf Wolff Commodity Brokers During the week of March 24, 1980, Comex auditors conducted intensive reviews at Bache Halsey Stuart Shields, Inc. ContiCommodity Services, Inc. and Heinold Commodities, Inc. of all aspects of the financial condition of those firms with particular emphasis on accounts maintaining silver positions, the responsiveness to margin calls of those accounts and the impact of those accounts on the over-all financial condition of those firms. In part, those reviews were conducted with the assistance and cooperation of the audit staff of the CFTC and with the audit staffs of other contract markets. In fact during the entire period continuous liaison was maintained between the Comex Audit Staff and the CFTC Audit Staff with a regular and ongoing exchange of data and information. C. EXHIBITS OF COMMODITY EXCHANGE, INC. List of members of Board of Governors of Expanded daily price limit rule Questionnaire sent to clearing members Questionnaire sent to depositories Original position limit rule Liquidation trading order and exemptions Position limit rule as amended Comex response to CFTC inquiry Daily Comex silver settlement prices for spot silver. 64-891 0 80 20 |