5715. Summary reference tables of common strategies

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    1. The following reference list summarizes the margin requirements for unhedged positions in exchange‑traded options:

      1. long call option - 5720,

      2. long put option - 5720,

      3. short call option - 5721, and

      4. short put option - 5721.

    2. The following reference table summarizes the most common reduced margin offset strategies available involving exchange‑traded options:

       

      Short underlying interest

      Short call option

      Long put option

      Short call option and long put option

      Long underlying interest

      offset available for long and short positions in same security

      long underlying interest / short call combination

      - 5750(1)(i)

      long underlying interest / long put option contract combination

      - 5751(1)(i)

      conversion or long tripo

      - 5754(1)(i)

      Long call option

      short underlying interest / long call option contract combination

      - 5752(1)(i)

      call option spread

      - 5730(1)(i)

      long call option / long put option spread

      - 5732(1)(i)

      long call option / short call option / long put option combination

      - 5733(1)(i)

      Short put option

      short underlying interest / short put combination

      - 5753(1)(i)

      short call option / short put option spread

      - 5731(1)(i)

      put option spread

      - 5730(1)(i)

      Long call option and short put option

      reconversion or short tripo

      - 5755(1)(i)

    3. Other reduced margin offset strategies available involving exchange-traded options are as follows:

      1. option positions hedged by escrow receipts or letters of guarantee - 5725,

      2. long warrant - short call offset - 5734,

      3. box spread - 5735, and

      4. butterfly, iron butterfly and iron condor spreads – 5736 through 5740.

    4. The following reference table summarizes additional reduced margin offset strategies available involving qualifying baskets of index securities, index participation units, index options and index participation unit options:

       

      Short qualifying basket of index securities

      Short index participation units

       

      Short index or index participation unit call options

      Long index or index participation unit put options

      Short and long respectively index or index participation unit call and put options

      Long qualifying basket of index securities

      offset available for long and short positions in same index product

      long basket - short index participation units

      - 5770(1)(i)

      long basket - short call combination

      • 5750(1)(ii) and 5750(1)(iii)

      long basket - long put combination

      • 5751(1)(ii) and 5751(1)(iii)

      long tripo or conversion

      • 5754(1)(ii) and 5754(1)(iii)

      Long index participation units

      short basket - long index participation units

      - 5771(1)(i)

      offset available for long and short positions in same index product

      long index participation units - short call combination

      • 5750(1)(iv) and 5750(1)(v)

      long index participation units - long put combination

      • 5751(1)(iv) and 5751(1)(v)

      long tripo or conversion

      • 5754(1)(iv) and 5754(1)(v)

      Long index or index participation unit call options

      short basket - long call combination

      • 5752(1)(ii) and 5752(1)(iii)

      short index participation unit - long call combination

      • 5752(1)(iv) and 5752(1)(v)

      Refer to table in subsection 5715(2)

      Short index or index participation unit put options

      short basket - short put combination

      • 5753(1)(ii) and 5753(1)(iii)

      short index participation unit - short put combination

      • 5753(1)(iv) and 5753(1)(v)

      Long and short respectively index or index participation unit call and put options

      short tripo or reconversion

      • 5755(1)(ii) and 5755(1)(iii)

      short tripo or reconversion

      • 5755(1)(iv) and 5755(1)(v)
    5. The following reference table summarizes additional reduced margin offset strategies available involving index futures contracts, index options and index participation unit options:

       

      Short index futures contract

       

      Short index or index participation unit call options

      Long index or index participation unit put options

      Short and long respectively index or index participation unit call and put options

      Long index futures contract

      same contract month - margin computed in respect to the net long or net short position only

      Short calls - long index futures contracts

      • 5760(1)(i) and 5760(1)(ii)

      Long puts - long index futures contracts

      • 5761(1)(i) and 5761(1)(ii)

      Futures conversion or long tripo

      • 5764(1)(i) and 5764(1)(ii)

       

      different contract months - refer to requirements on exchange on which the contract trades

      Long index or index participation unit call options

      Long calls - short index futures contracts

      • 5762(1)(i) and 5762(1)(ii)

      Refer to table in subsection 5715(2)

      Short index or index participation unit put options

      Short puts - short index futures contracts

      • 5763(1)(i) and 5763(1)(ii)

      Long and short respectively index or index participation unit call and put options

      Futures reconversion or short tripo

      • 5765(1)(i) and 5765(1)(ii)
    6. The following reference table summarizes additional reduced margin offset strategies available involving index futures contracts, qualifying baskets of index securities and index participation units:

       

      Short qualifying basket of index securities

      Short index participation units

      Short index futures contracts

      Long qualifying basket of index securities

      Refer to table in subsection 5715(4)

      Long qualifying basket of index securities  - Short index futures contracts

      - 5772(1)(i)

      Long index participation units

      Long index participation units  - short index futures contracts

      - 5772(1)(ii)

      Long index futures contracts

      Short qualifying basket of index securities - long index futures contracts

      - 5772(1)(i)

      Short index participation units - long index futures contracts

      - 5772(1)(ii)

      Refer to table in subsection 5715(5)

    7. Other reduced margin offset strategies available involving any combination of qualifying baskets of index securities, index participation units, index options, index participation unit options and index futures contracts are as follows:

      1. long qualifying basket of index securities - short index participation unit call options - commitment to purchase index participation units (Dealer Member only) - 5550,

      2. long qualifying basket of index securities - long index participation unit put options - commitment to purchase index participation units (Dealer Member only) - 5551, and

      3. long qualifying basket of index securities - short index participation units - commitment to purchase index participation units (Dealer Member only) - 5552.

    5716. - 5719.  Reserved.

    There is no history log for this rule.

    There is no history log for this rule.