Clearing
SPAN Parameter Table
Effective on 2024/12/9
A. Price Scan Range
I. Futures
| Contracts | Price Scan Range |
|---|---|
| TX | TX Clearing Margin |
| TE | TE Clearing Margin |
| TF | TF Clearing Margin |
| XIF | XIF Clearing Margin |
| GTF | GTF Clearing Margin |
| G2F | G2F Clearing Margin |
| E4F | E4F Clearing Margin |
| BTF | BTF Clearing Margin |
| GDF | GDF Clearing Margin |
| MTX | TX Clearing Margin×0.25 |
| MXFFX | TX Clearing Margin×0.25 |
| TMF | TX Clearing Margin×0.05 |
| TGF | TGF Clearing Margin |
| RHF | RHF Clearing Margin |
| RTF | RTF Clearing Margin |
| Single Stock Futures：the underlying security is common stocks(STF) | Spot Month Futures Price × Multiple of Contract × Margin Rate |
| Single Stock Futures：the underlying security is exchange-traded funds(ETFs) | Single Stock Futures Clearing Margin |
| TJF | TJF Clearing Margin |
| XEF | XEF Clearing Margin |
| XJF | XJF Clearing Margin |
| XBF | XBF Clearing Margin |
| XAF | XAF Clearing Margin |
| UDF | UDF Clearing Margin |
| SPF | SPF Clearing Margin |
| UNF | UNF Clearing Margin |
| SXF | SXF Clearing Margin |
| F1F | F1F Clearing Margin |
| BRF | BRF Clearing Margin |
| ZEF | TE Clearing Margin×0.125 |
| ZFF | TF Clearing Margin×0.25 |
| SOF | SOF Clearing Margin |
| SHF | SHF Clearing Margin |
| M1F | M1F Clearing Margin |
| Contracts | Price Scan Range for index futures having the same underlying | Description Contract Size Multiplier | Price Scan Range |
|---|---|---|---|
| TXO | TX Clearing Margin | 0.25 | TX Clearing Margin×0.25 |
| TEO | TE Clearing Margin | 0.25 | TE Clearing Margin×0.25 |
| TFO |
TF Clearing Margin | 0.25 | TF Clearing Margin×0.25 |
| Contracts | Futures contract for the same underlying | Price Scan Range (A) |
|---|---|---|
| Equity Option (Call、Put) | YES | The price scan range of the futures contract for the same underlying security multiplied by a percentage of the contract value. |
| NO | Clearing margin's risk margin 'A' value |
| Contracts | Price Scan Range for futures having the same underlying | Description Contract Size Multiplier | Price Scan Range |
|---|---|---|---|
| TGO | TGF Clearing Margin | 0.5 | TGF Clearing Margin×0.5 |
B. Extreme Move Multiplier
and Extreme Move Covered Fraction
1. Extreme Move Multiplier：3
2. Extreme Move Covered
Fraction：32%
C. Volatility Scan Range
| Index Options | Volatility Scan Range |
|---|---|
| TXO | 6.7% |
| TEO | 7.4% |
| TFO | 6.3% |
| Equity Options | Volatility Scan Range |
| The underlying security is common stocks | 19.7% |
| The underlying security is exchange-traded funds | 10.2% |
| Commodity Options | Volatility Scan Range |
| TGO | 6.3% |
D. Intra-Commodity Spread
Charge
| Commodity | TX、TE、TF | XI、GT、G2、E4、BT、SO、SH、M1、GD、TG、RH、RT、XE、XJ、XB、XA、TJ、UD、SP、UN、SX、F1、BR | Equity |
|---|---|---|---|
| Ratio | 30% | 50% | 50% |
| Intra-Commodity
Spread Charge |
PSR×30% | PSR×50% | Single Stock Futures PSR×50% (There is no Futures contract for the same underlying：Equity Options PSR×50%) |
E. Inter-Commodity Spread
Credit Rate and Delta Per Spread Ratio
| Commodity | Inter-Commodity Spread Credit Rate | Delta Per Spread Ratio | ||||
|---|---|---|---|---|---|---|
| TX vs TE | 0.50 | 1 | TX | vs | 1.02 | TE |
| TX vs TF | 0.50 | 1 | TX | vs | 2.26 | TF |
| TX vs XI | 0.50 | 1 | TX | vs | 2.16 | XI |
| TX vs GT | 0.50 | 1 | TX | vs | 3.78 | GT |
| TE vs TF | 0.50 | 1 | TE | vs | 2.21 | TF |
| TE vs XI | 0.50 | 1 | TE | vs | 2.11 | XI |
| TE vs GT | 0.50 | 1 | TE | vs | 3.57 | GT |
| TF vs XI | 0.50 | 1 | TF | vs | 0.96 | XI |
| TF vs GT | 0.50 | 1 | TF | vs | 1.76 | GT |
| XI vs GT | 0.50 | 1 | XI | vs | 1.84 | GT |
| TX vs G2 | 0.50 | 1 | TX | vs | 1.85 | G2 |
| TE vs G2 | 0.50 | 1 | TE | vs | 1.71 | G2 |
| TF vs G2 | 0.50 | 1 | TF | vs | 0.83 | G2 |
| XI vs G2 | 0.50 | 1 | XI | vs | 0.86 | G2 |
| GT vs G2 | 0.50 | 1 | GT | vs | 0.48 | G2 |
| TX vs E4 | 0.50 | 1 | TX | vs | 1.01 | E4 |
| TE vs E4 | 0.50 | 1 | TE | vs | 0.89 | E4 |
| TF vs E4 | 0.50 | 1 | TF | vs | 0.44 | E4 |
| XI vs E4 | 0.50 | 1 | XI | vs | 0.46 | E4 |
| GT vs E4 | 0.50 | 1 | GT | vs | 0.26 | E4 |
| G2 vs E4 | 0.50 | 1 | G2 | vs | 0.54 | E4 |
| TX vs SO | 0.50 | 1 | TX | vs | 3.73 | SO |
| TE vs SO | 0.50 | 1 | TE | vs | 3.44 | SO |
| TF vs SO | 0.50 | 1 | TF | vs | 1.92 | SO |
| XI vs SO | 0.50 | 1 | XI | vs | 1.84 | SO |
| GT vs SO | 0.50 | 1 | GT | vs | 0.90 | SO |
| G2 vs SO | 0.50 | 1 | G2 | vs | 1.86 | SO |
| E4 vs SO | 0.50 | 1 | E4 | vs | 3.81 | SO |
| TX vs M1 | 0.50 | 1 | TX | vs | 5.87 | M1 |
| TE vs M1 | 0.50 | 1 | TE | vs | 6.43 | M1 |
| TF vs M1 | 0.50 | 1 | TF | vs | 2.66 | M1 |
| XI vs M1 | 0.50 | 1 | XI | vs | 1.93 | M1 |
| GT vs M1 | 0.50 | 1 | GT | vs | 1.34 | M1 |
| G2 vs M1 | 0.50 | 1 | G2 | vs | 2.65 | M1 |
| E4 vs M1 | 0.50 | 1 | E4 | vs | 6.17 | M1 |
| SO vs M1 | 0.50 | 1 | SO | vs | 1.54 | M1 |
| UD vs SP | 0.50 | 1 | UD | vs | 0.88 | SP |
| SX vs UN | 0.50 | 1 | SX | vs | 0.37 | UN |
| RH vs RT | 0.50 | 1 | RH | vs | 5 | RT |
F. Short Option Minimum
Charge
| Index Options | Rule | Short Option Minimum Charge |
|---|---|---|
| TXO | One Tick | 5 NTD |
| TEO | One Tick | 5 NTD |
| TFO | One Tick | 5 NTD |
| Equity Options | Rule | Short Option Minimum Charge |
| The underlying security is common stocks | One Tick | 20 NTD |
| The underlying security is exchange-traded funds | One Tick | 100 NTD |
| Commodity Options | Rule | Short Option Minimum Charge |
| TGO | One Tick | 25 NTD |
