TAIWAN FUTURES EXCHANGE-Clearing-Exchange Traded Derivatives Clearing-Margining-Margining Requirements-Margining Requirements for Commodity Options

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Clearing

Exchange Traded Derivatives Clearing

OTC Derivatives Clearing

Qualifying Central Counterparty (QCCP) Disclosure

Quantitative Disclosure

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Clearing

Exchange Traded Derivatives Clearing

OTC Derivatives Clearing

Qualifying Central Counterparty (QCCP) Disclosure

Quantitative Disclosure

Margining Requirements for Commodity Options

Determination of Margin Requirements

Margin for short Commodity option =
Option premium + Maximum [Margin “A” – Out-of-the-money, Margin “B”]

Take Gold options for example,

Margin “A” =Price of LBMA PM Fixing (after conversion for weight and fineness) × Contract size × Risk coefficient

The value obtained by this formula is rounded upward to the nearest NT$1,000

Margin “B” =
Margin “A” × 0.5, rounded up to the nearest NT$1,000

Out-of-the-money for short call = Maximum (strike price x strike price multiple - value of underlying spot, 0)

Out-of-the-money for short put = Maximum (value of underlying spot - strike price × strike price multiple, 0)

The calculation of the risk coefficient of margins for Commodity option contracts is based on the price movements of the underlying spot within a certain period, anti-procyclicality and other possible factors with at least a 99 percent confidence interval to cover two-day premium price variation.

Margin requirements for various Commodity options trading strategies

Trading Strategy

Position Description

Margin Requirements

Remarks

Single Position

Long Put
or
Long Call

None

Pay for the premium only

Short Put
or
Short Call

100% of option market value + max(A - out-of-the-money amount, B)

A= a fixed amount as announced by TAIFEX

B= a fixed amount as announced by TAIFEX

Spread Positions

Bull Call Spread: buy low/sell high

None

Applicable only if the buy position and sell position have the same expiration date.
If the combination of expiration dates does not follow the aforesaid position portfolio, margin is computed according to the method used for a single position.

Bear Put Spread: buy high/sell low

Buying call and selling call having the same or different strike price with the buy position having the farther expiration date (time call spread)

Max (clearing margin for index futures having the same underlying x10%, 2x premium difference(points)xcontract multiplier)

Not Applicable if the buy position and sell position have the same expiration date.
If the buy position has a nearer expiration date than the sell position, margin is computed according to the method used for a single position.
Futures having the same underlying as TGO refers to one lot of TGF.

Buying put and selling put having the same or different strike price with the buy position having the farther expiration date (time put spread)

Bear Call Spread: buy high/sell low

Difference between the strike prices of the buy and sell positions x contract multiplier

Applicable only if the buy position and sell position have the same expiration date.
If the combination of expiration dates does not follow the aforesaid position portfolio, margin is computed according to the method used for a single position.

Bull Put Spread: buy low/sell high

Straddle or Strangle Positions

Short Call
and
Short Put

max(margin requirement for call, margin requirement for put)＋ the option market value of the call or put (depending on which one's margin requirement is less)＋short straddle/strangle additional margin(C-value)

The method can be applied even when the exercise prices of the call and put options differ
C-value is only applied to individual investors and non-professional juristic investors, including account identification code of 0, 1, 3, 7, I, J, U, V, W. (Codes 1, 3, 7 are for Taiwanese individual investors. Codes I and J are for Foreign individual investors. Codes U and V are for Mainland China individual investors. Code 0 and W are for non-professional juristic investors that are registered in Taiwan)
C-value is announced by TAIFEX.

Combination of Options and Futures Positions

Long futures and short call
or
Short futures and short put

Margin requirement of the futures and the option market value

1 NT Dollar Gold Futures (TGF) position could be combined with 1 to 2 gold options (TGO) positions to form a combination position.

Conversion and Reverse Conversion

Conversion: Long put, short call

No margin required on long position.
The margin on short position is calculated the same way as that on a short call or short put.

Reverse conversion Long call, short put