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) |
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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 |
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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 |
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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 |
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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 |
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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 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 |
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Sell 1 single stock futures contract and sell 1 put equity option | Margin Required for 1 single stock futures contract + premium for equity option |
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