TAIWAN FUTURES EXCHANGE-Foreign Participation-Other Instruction on Trading/Clearing Procedure-Clearing -Margining Requirements-Margining Requirements for Index Options

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.

Margin requirements for various index options trading strategies

Trading Strategy	Position Description	Margin Requirements	Remarks
Single Position	Long Put or Long Call	None	Pay only the premium
Single Position	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 (ie., the minimum margin level)
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	None
	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)	Not applicable if the buy position and sell position have the same expiration date. If the buy position has nearer expiration date than the sell position, margin is computed according to the method used for a single position. Futures having the same underlying index as TXO refers to one lot of TX. TFO refers to one lot of TF. TEO refers to one lot of TE.
	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	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 call or put (depending on which one's margin requirement is less)＋short straddle/strangle additional margin(C-value)	The method can be applied whether or not the exercise prices of call/put options are the same. 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.
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	1 TAIEX Futures (TX) position could be combined with 1 to 4 TAIEX Index Options (TXO) positions to form combination position 1 Mini-TAIEX Futures (mini-TX) position could be combined with 1 TAIEX index options (TXO) position to form a combination position 5 Micro-TAIEX Futures (TMF) position could be combined with 1 TAIEX index options (TXO) position to form a combination position 1 TF position could be combined with 1 to 4 TFO positions to form combination position 1 TE position could be combined with 1 to 4 TEO positions to form combination position 2 ZEF positions could be combined with 1 TEO position to form combination position 1 ZFF positions could be combined with 1 TFO position to form 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.
Conversion and Reverse Conversion	Reverse Conversion: Long call,Short Put