- Product
- Equity Index Futures
- TAIEX Futures
- Mini-TAIEX Futures
- Micro TAIEX Futures
- Taiwan Mid-Cap 100 Futures(The listing date is still awaiting approval)
- F4G TIP TW ESG Futures
- Electronic Sector Index Futures
- Mini Electronics Sector Futures
- Finance Sector Index Futures
- Mini Finance Sector Futures
- Non-Finance Non-Electronics Sub-Index Futures
- Shipping and Transportation Sector Futures
- Taiwan Semiconductor 30 Futures
- TIP Taiwan BIO Futures
- Taipei Exchange Stock Index Futures
- TPEx 200 Futures
- TOPIX Futures
- DJIA Futures
- S&P 500 Futures
- Nasdaq-100 Futures
- PHLX Semiconductor Sector Futures
- FTSE<sup>®</sup> 100 Futures
- Equity Futures
- Equity Index Options
- Equity Options
- Commodity Futures and Options
- FX Futures
- Flexible Products
- Key Information Documents for TAIFEX products
- Equity Index Futures
- Other Instruction on Trading/Clearing Procedure
- Trading
- Clearing
- Fee Schedule
Margin requirements on equity options are set based on the risk associated with the trading strategy and position as described below (in the table below, call means “call option,” put means “put option”):
Position | Margin Requirement |
---|---|
Long call | None |
Long put | |
Short call | Market value of premium + Max (value of underlying stock ×a% - out-of-the-money, value of underlying stock ×b%) |
Short put | Market value of premium + Max (value of underlying stock ×a% - out-of-the-money, strike price x strike price multiple ×b%) If the trading of the underlying stock on the Taiwan Stock Exchange or Taipei Exchange is suspended due to a violation by its issuer of the Securities Exchange Act or the rules and regulations of TWSE or TPEx, the margin requirement on selling a put option (short put) during the suspension period is: strike price x strike price multiple. |
Group | Clearing Margin Rate |
Maintenance Margin Rate |
Initial Margin Rate |
|||
---|---|---|---|---|---|---|
a% | b% | a% | b% | a% | b% | |
Group 1 | 10.00% | 5.000% | 10.35% | 5.175% | 13.50% | 6.750% |
Group 2 | 12.00% | 6.000% | 12.42% | 6.210% | 16.20% | 8.100% |
Group 3 | 15.00% | 7.500% | 15.53% | 7.765% | 20.25% | 10.125% |
For equity options with risk parameters greater than 15%, TAIFEX will round up the actual computation result to the nearest hundredth and the rounded value will be used as a% for clearing margin level. The a% of maintenance margin and initial margin level will be calculated by adding a required mark up of a% of clearing margin level. In addition, b% will be equal to the half of a%.
TAIFEX reviews the level of risk parameters for equity options on a quarterly basis and in the following cases:
(1) The issuance of equity option with new underlying stocks.
(2) Other circumstances as necessary.
Following the review, TAIFEX will publish the risk parameters of each equity option in the different groups. These changed parameters will become effective after the close of trading of the next regular trading session following the announcement date.
- Out-of-the-money for short call = MAXIMUM (strike price x strike price multiple - value of underlying stock, 0)
- Out-of-the-money for short put = MAXIMUM (value of underlying stock - strike price ×strike price multiple, 0)
The value of underlying stock is determined by the methods below or as announced by TAIFEX:
I. Normal Circumstances
Market event | Value of Underlying Stock |
---|---|
Normal | Closing price x shares |
II. Contract Adjustment
Market event | Value of Underlying Stock |
---|---|
Ex-right, ex-dividend |
Closing price after ex-right/ex-dividend x ex-right shares |
Capital decrease |
|
Merger |
|
III. If the underlying stock is suspended from trading due to a violation by its issuer of the Securities Exchange Act, or the rules and regulations of TWSE or TPEx, the value of the underlying stock for short call during the trading suspension period is determined as follows:
Market event | Value of Underlying Stock |
---|---|
No contract adjustment during trading suspension period | Closing price of the day before suspension of trading × shares |
Ex-right/ex-dividend during trading suspension | Closing price of the day before suspension of trading ×shares |
Position | Margin requirement | Remark |
---|---|---|
Bull Call Spread: buy low/sell high | None |
|
Bear Put Spread: buy high/sell low | ||
Buying call and selling call having the same or different strike price with the buy position having a farther expiration date (time call spread) | Max( the spot price of underlying stock × 10%, 2× premium difference (points) × contract multiplier ) |
|
Buying put and selling put having the same or different strike price with the buy position having a farther expiration date (time put spread) | ||
Bear Call Spread: buy high/sell low | Difference between the strike prices of buy and sell position x contract multiplier |
|
Bull Put Spread: buy low/sell high |
Position | Margin requirement | Remark |
---|---|---|
Long call, long put | None | |
Short call, short put | MAXIMUM(short call premium, short put premium) + market value of premium on option requiring less margin+short straddle/strangle additional margin(C-value) |
|
Position Description | Margin Requirements | Remarks |
---|---|---|
Buy 1 single stock futures contract with 2,000 shares of underlying security(or buy 20 single stock futures contract with 100 shares of underlying security) and sell 1 call equity option | Margin Required for 1 single stock futures contract with 2,000 shares of underlying security(or for 20 single stock futures contract with 100 shares of underlying security)+ premium for equity option |
|
Sell 1 single stock futures contract with 2,000 shares of underlying security(or sell 20 single stock futures contract with 100 shares of underlying security) and sell 1 put equity option |
Position | Margin Requirement | Note |
---|---|---|
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 |
Position | Margin Requirement |
---|---|
Long call | None |
Long put | |
Short call | Market value of premium + Max (Margin "A" - out-of-the-money, Margin "B") |
Short put | Market value of premium + Max (Margin "A" - out-of-the-money, Margin "B") If the trading of the underlying security on the Taiwan Stock Exchange or Taipei Exchange is suspended due to regulations of TWSE or TPEx, the margin requirement on selling a put option (short put) during the suspension period is: strike price x strike price multiple. |
- Out-of-the-money for short call = MAXIMUM (strike price x strike price multiple - value of underlying security, 0)
- Out-of-the-money for short put = MAXIMUM (value of underlying security - strike price ×strike price multiple, 0)
Value of Underlying Security
The value of underlying securities is determined by the methods below or as announced by TAIFEX:
I. Normal Circumstances
Market event | Value of Underlying Securities |
---|---|
Normal | Closing price x units |
II. Contract Adjustment
Market event | Value of Underlying Stock |
---|---|
Ex-right, ex-dividend |
Closing price after ex-right/ex-dividend x ex-right units |
Merger/Others | The value of underlying securities is announced by TAIFEX |
III. If the underlying stock is suspended from trading due to the rules and regulations of TWSE or TPEx, the value of the underlying stock for short call during the trading suspension period is determined as follows:
Market event | Value of Underlying Stock |
---|---|
No contract adjustment during trading suspension period | Closing price of the day before suspension of trading × units |
Ex-right/ex-dividend during trading suspension | Closing price of the day before suspension of trading units |
Position | Margin requirement | Remark |
---|---|---|
Bull Call Spread: buy low/sell high | None |
|
Bear Put Spread: buy high/sell low | ||
Buying call and selling call having the same or different strike price with the buy position having a farther expiration date (time call spread) | Max( the spot price of underlying security × 10%, 2× premium difference (points) × contract multiplier ) |
|
Buying put and selling put having the same or different strike price with the buy position having a farther expiration date (time put spread) | ||
Bear Call Spread: buy high/sell low | Difference between the strike prices of buy and sell position x contract multiplier |
|
Bull Put Spread: buy low/sell high |
Position | Margin requirement | Remark |
---|---|---|
Long call, long put | None | |
Short call, short put | MAXIMUM(short call premium, short put premium) + market value of premium on option requiring less margin+short straddle/strangle additional margin(C-value) |
|
Position Description | Margin Requirements | Remarks |
---|---|---|
Buy 1 single stock futures contract with 10,000 shares of underlying security (or buy 10 single stock futures contract with 1,000 shares of underlying security) and sell 1 call equity option | Margin Required for 1 single stock futures contract with 10,000 shares of underlying security (or for 10 single stock futures contract with 1,000 shares of underlying security) + premium for equity option |
|
Sell 1 single stock futures contract with 10,000 shares of underlying security (or sell 10 single stock futures contract with 1,000 shares of underlying security) and sell 1 put equity option |
Position | Margin Requirement | Note |
---|---|---|
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 |