Stock Derivatives

Eurex Single-Stock Futures Margin Requirements

How Eurex calculates margin on single-stock futures, STARS-2 methodology, broker surcharges, and capital planning for European stock futures positions.

February 20, 2026

Eurex single-stock futures use the STARS-2 margin methodology to set initial and maintenance margin requirements. Combined with broker surcharges, the actual margin requirement for any specific contract depends on the underlying stock's volatility, the position size, and the broker's risk premium. For traders sizing positions or planning capital allocation, understanding the margin mechanics is essential. This guide breaks down how Eurex single-stock futures margin works and how to plan capital efficiently.

How Eurex margin works

Eurex Clearing uses the STARS-2 (System for Theoretical Analysis and Numerical Simulations) methodology. The system simulates a range of market scenarios, price moves, volatility changes, time decay for options, and calculates the worst-case loss across scenarios. Initial margin is set to cover this worst-case scenario plus a buffer.

For single-stock futures, the principal margin driver is expected price volatility over a standard liquidation horizon (typically 1-2 days). Higher-volatility stocks require higher margin per contract.

Approximate margin levels

Margin requirements vary substantially across stocks. Approximate working ranges:

Large-cap, low-vol European stocks

For names like Allianz, Sanofi, Münchener Rück:

Initial margin: ~5-8% of contract notional.
For a 100-share contract on a stock at €100 (notional €10,000): margin ~€500-€800.

Large-cap, mid-vol European stocks

For names like SAP, BASF, Deutsche Post:

Initial margin: ~8-12% of notional.
For a 100-share contract on a stock at €100: margin ~€800-€1,200.

Higher-vol European stocks

For names like Mercedes-Benz, BMW, Siemens Healthineers:

Initial margin: ~12-18% of notional.
For a 100-share contract on a stock at €100: margin ~€1,200-€1,800.

US stocks listed as Eurex single-stock futures

For names like AAPL, MSFT, GOOGL on Eurex:

Initial margin: ~10-15% of notional.
For a 100-share contract on AAPL at $220: margin ~$2,200-$3,300.

These figures vary substantially based on current volatility regime.

Broker surcharges

Most retail-focused brokers apply margin surcharges above the Eurex baseline. Common surcharge ranges:

Interactive Brokers, typically modest surcharges, 10-25% above Eurex baseline.
Saxo Bank, surcharges vary by contract; check the contract-specific schedule.
Specialist futures brokers, may offer lower surcharges for active accounts.

The total margin requirement (Eurex baseline + broker surcharge) is what the trader actually pays.

What affects margin requirements

1. Volatility regime

Higher realised and implied volatility on the underlying produces higher margin. Regime shifts can prompt rapid margin escalation.

2. Position size tier

Larger positions may face proportionally higher margin per contract through tier-based scaling.

3. Account portfolio offsets

For accounts with offsetting positions (e.g., long single-stock future + short call options on the same underlying), portfolio margin treatment can reduce net margin. Eligibility requires account opt-in.

4. Broker risk premium

Broker may apply additional margin based on internal risk assessment of the client account.

Approaching dividend ex-dates, earnings releases, or M&A activity can trigger margin escalation as Eurex re-runs scenarios under updated assumptions.

Maintenance margin

Typically set at approximately 75-85% of initial margin. Once equity falls below maintenance, additional margin must be deposited or positions reduced.

For a position with €1,000 initial margin, maintenance margin might be ~€750-€850. If unrealised losses bring account equity below maintenance level, margin call triggers.

Day-trading margin

Some brokers offer day-trading margin reductions on positions opened and closed within the same session. Reduced margin can be 25-50% of the overnight figure.

Day-trading margin requires closing positions before session close. Failure to close triggers a margin call to bring the position to overnight margin levels, which often means forced reduction.

For active intraday traders, day-trading margin substantially improves capital efficiency. For position traders, only overnight margin matters.

Capital planning

For a trader planning to hold single-stock futures overnight at moderate position sizing:

Capital required = Position size × (Initial margin + Reserve buffer)

Reserve buffer should cover:

Adverse intraday moves before margin call.
Potential margin escalation during volatile regimes.
Operational reserves for new positions.

A practical template: 2x initial margin as minimum capital allocation per contract.

For a position with €1,000 initial margin per contract:

Minimum capital allocation: €2,000 per contract.
Reasonable working capital: €2,500-€4,000 per contract for active position management.

Scenarios that increase margin

Elevated volatility regimes

When the underlying stock's implied volatility rises, margin requirements typically rise within days. Multi-week stress regimes can push margin 50-100% above baseline.

Macro or company-specific events

Major events (FOMC, ECB, company earnings, regulatory decisions) may trigger immediate margin escalation as Eurex re-runs scenario analysis.

Concentrated positions

Large positions in a single contract may face additional surcharges from broker risk management.

Approaching expiry

Some brokers increase margin on positions held into the final week before expiry, particularly if the trader hasn't initiated the roll.

Approaching dividend ex-date

Single-stock futures basis is affected by dividends. Margin may adjust around ex-dates.

Margin call mechanics

If account equity drops below maintenance margin:

Broker issues margin call notification.
Trader has limited time (often hours, not days) to deposit additional cash or reduce position.
If trader fails to act, broker liquidates positions to bring account back to maintenance level.

Forced liquidation by broker may not match trader's preferred exit price. Liquidation execution may face wider spreads in volatile regimes.

Avoiding forced liquidation

1. Hold significant cash buffer

Beyond minimum margin, hold 50-100% additional cash in the account as buffer.

2. Monitor margin ratio actively

Most brokers display margin ratio in real time. A ratio approaching 1.5x or below warrants attention.

3. Pre-define position reduction triggers

If margin ratio drops below a defined threshold (e.g., 2.0x), reduce position rather than waiting for forced liquidation.

4. Diversify capital

Don't allocate 100% of account to a single position. Cash buffer enables both flexibility and absorption of adverse moves.

5. Be aware of overnight risk

Major news outside trading hours can produce gap moves that move from comfortable margin position to liquidation in seconds.

Comparison: Eurex single-stock futures vs CFDs on same underlying

For European retail traders, comparing margin between Eurex single-stock futures and CFDs:

Single-stock CFDs (ESMA-regulated)

Major stocks: 5x maximum leverage = 20% margin.
Non-major stocks: 5x maximum leverage = 20% margin.