Abstract: The static level of futures margin in China is presently only an empirical figure, and it is not sensitive to fluctuations. Sometimes, this margin level cannot cover the risk enough when the market fluctuates severely. The BMM, POT, Return Level, and ES methods are used to study the gold futures trading and clearing margin levels combined with liquidity risks. Results show the trading margin level should be 5.2% and should increase to 6.2% when the risk increases. It is suggested that the clearing margin should be changed from 5% to 5.8% for covering risk from three months to one year.