Margin for short index option =
Option premium +
Maximum [Margin “A” – Out-of-the-money, Margin “B”]
Margin “A” = Price of the underlying index × Value per index point × 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 index, 0)
Out-of-the-money for short put = Maximum (value of underlying index - strike price × strike price multiple, 0)
The calculation of the risk coefficient of margins for index option contracts is based on the price movements of the underlying index 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.
| Trading Strategy | Position Description | Margin Requirements | Remarks |
|---|---|---|---|
| Single Position | Long Put or Long Call | None | Pay only the premium |
| Short Put or Short Call |
100% of option market value + max(A - out-of-the-money amount, B) |
|
|
| Spread Positions | 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 farther expiration date (time call spread) | Max (clearing margin for index futures having the same underlying ×10%, 2× premium difference (points)×contract multiplier) |
|
|
| Buying put and selling put having the same or different strike price with the buy position having 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 | |||
| Straddle or Strangle Positions | Short Call and Short Put | max(margin requirement for call, margin requirement for put) + the option market value of call or put (depending on which one's margin requirement is less)＋short straddle/strangle additional margin(C-value) |
|
| Combinations of Options and Futures Positions(Except for Flexible Contracts) | Long futures and short call or Short futures and short put | Margin requirement of the futures position and the option market value |
|
| 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 |
