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The following reference list summarizes the margin requirements for unhedged positions in exchange‑traded options:
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long call option - 5720,
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long put option - 5720,
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short call option - 5721, and
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short put option - 5721.
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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)
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Other reduced margin offset strategies available involving exchange-traded options are as follows:
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option positions hedged by escrow receipts or letters of guarantee - 5725,
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long warrant - short call offset - 5734,
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box spread - 5735, and
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butterfly, iron butterfly and iron condor spreads – 5736 through 5740.
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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)
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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)
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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)
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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:
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long qualifying basket of index securities - short index participation unit call options - commitment to purchase index participation units (Dealer Member only) - 5550,
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long qualifying basket of index securities - long index participation unit put options - commitment to purchase index participation units (Dealer Member only) - 5551, and
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long qualifying basket of index securities - short index participation units - commitment to purchase index participation units (Dealer Member only) - 5552.
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5716. - 5719. Reserved.
There is no history log for this rule.