5720. Long option positions

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    1. Subject to subsection 5720(2), the minimum Dealer Member inventory margin and client account margin required for long exchange‑traded option positions is the sum of:

      1. the lesser of:

        1. a percentage of the market value of the underlying interest determined using the following percentages:

          1. for equity options, the margin rate used for the underlying interest as determined in section 5311,

          2. for index options or index participation unit options, the published floating margin rate for the index or index participation unit calculated according to the formula set out in section 5360,

          3. for debt options, the margin rate used for the underlying interest as determined in section 5210,

          4. for currency options, IIROC’s published spot risk margin rate for the currency calculated according to the formula set out in subsection 5460(1),

        2. and

        3. the option’s in-the-money amount, if any,

      2. plus

      3. where the period to expiry is greater or equal to nine months, 50% of the option’s time value, 100% of the option’s time value otherwise.

    2. If the position in subsection 5720(1) is a long call option on an equity that is the subject of a legal and binding cash take‑over bid for which all conditions have been met, the margin required on that call option is:

      1. the market value of the call option,

      2. minus

      3. the excess, if any, of the amount offered over the exercise value of the call option.

      4. If the take‑over bid is made for less than 100% of the issued and outstanding securities, the margin requirement must be applied pro rata in the same proportion as the offer, and subsection 5720(1) applies to the balance.

    There is no history log for this rule.

    There is no history log for this rule.