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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:
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the lesser of:
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a percentage of the market value of the underlying interest determined using the following percentages:
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for equity options, the margin rate used for the underlying interest as determined in section 5311,
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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,
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for debt options, the margin rate used for the underlying interest as determined in section 5210,
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for currency options, IIROC’s published spot risk margin rate for the currency calculated according to the formula set out in subsection 5460(1),
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and
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the option’s in-the-money amount, if any,
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plus
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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.
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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:
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the market value of the call option,
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minus
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the excess, if any, of the amount offered over the exercise value of the call option.
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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.
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There is no history log for this rule.