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Margining Requirements for Single Stock Futures

The underlying security is common stocks

I. Margin Requirement

Margining Requirement for Single Stock Futures＝Futures Price × Multiple of Contract × Margin Rate

II. Margin Rates

Group Clearing Margin Rate Maintenance Margin Rate Initial Margin Rate
Group 1 10.00% 10.35% 13.50%
Group 2 12.00% 12.42% 16.20%
Group 3 15.00% 15.53% 20.25%

　　For single stock futures 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 for clearing margin level. The maintenance margin and initial margin level will be calculated by adding a required mark up to the clearing margin level.

III. Same contract portfolio

Position Description Margin Requirements Remarks
Buy 1 single stock futures contract and sell 1 single stock futures contract Margin required for 1 single stock futures contract(depending on which one's margin requirement is higher)
  • Applicable to combinations of futures with the same underlying and different expiration dates.
  • Applicable to combinations of future with 2,000 shares of underlying security and future with 100 shares of the same underlying security and expiration dates, otherwise, adjusted contracts are also applicable.
  • In line with establishment of futures spread mechanism. For naked position contracts, the system optimizes margin calculations during the trading session.
  • Logic of margin optimization:
    (1) Combination positions for netting out the margin requirements larger should be preferentially selected.
    (2) Product ranked using the English alphabet.
    (3) Product month shall be from nearest to farthest.

IV. Combination of Options and Futures Positions

Position Description Margin Requirements Remarks
Buy 1 single stock futures contract with 2,000 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+ premium for equity option
  • Applicable to single stock futures and equity options with the same underlying.
  • One long single stock futures with 2,000 shares of underlying security and one short call equity option can form a combination position.
Sell 1 single stock futures contract with 2,000 shares of underlying security and sell 1 put equity option Margin Required for 1 single stock futures contract with 2,000 shares of underlying security + premium for equity option
  • Applicable to single stock futures and equity options with the same underlying.
  • One short single stock futures with 2,000 shares of underlying security and one short put equity option can form a combination position.
Buy 20 single stock futures contract with 100 shares of underlying security and sell 1 call equity option Margin Required for 20 single stock futures contract with 100 shares of underlying security+ premium for equity option
  • Applicable to single stock futures and equity options with the same underlying.
  • Twenty long single stock futures with 100 shares of underlying security and one short call equity option can form a combination position.
Sell 20 single stock futures contract with 100 shares of underlying security and sell 1 put equity option Margin Required for 20 single stock futures contract with 100 shares of underlying security + premium for equity option
  • Applicable to single stock futures and equity options with the same underlying.
  • Twenty short single stock futures with 100 shares of underlying security and one short put equity option can form a combination position.

The underlying security is exchange-traded funds(ETFs)

I. Margin Requirement

Margining Requirement for Single Stock Futures＝Futures Price × Multiple of Contract × Risk coefficient

II. Risk Coefficient

The calculation of the risk coefficient of margins for futures 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.

III. Same contract portfolio

Position Description Margin Requirements Remarks
Buy 1 single stock futures contract and sell 1 single stock futures contract Margin required for 1 single stock futures contract(depending on which one's margin requirement is higher) Applicable to combinations of futures with the same underlying and different expiration dates.

IV. Combination of Options and Futures Positions

Position Description Margin Requirements Remarks
Buy 1 single stock futures contract and sell 1 call equity option Margin Required for 1 single stock futures contract + premium for equity option
  • Applicable to single stock futures and equity options with the same underlying.
  • One long single stock futures and one short call equity option can form a combination position.
Sell 1 single stock futures contract and sell 1 put equity option Margin Required for 1 single stock futures contract + premium for equity option
  • Applicable to single stock futures and equity options with the same underlying.
  • One short single stock futures and one short put equity option can form a combination position.
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