By assessing the risk value of a single futures contract through historical simulation, and calculating the corresponding dynamic margin level，the paper makes an empirical analysis of sugar futures contracts of Zhengzhou Commodity Exchange and the conclusion proves that, compared with the static margin system adopted by the domestic futures exchanges, the dynamic margin system could control the risk of futures market and reduce the capital cost of the participants. Therefore, adopting the dynamic margin would be more conducive to the development of the futures market.