5721. Short option positions

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    1. Subject to subsection 5721(2), the minimum Dealer Member inventory margin and client account margin required for short exchange-traded option positions is:

      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. minus

      3. any out‑of‑the-money amount associated with the option.

    2. Subsection 5721(1) notwithstanding, the minimum client account margin required for short exchange‑traded option positions shall be the amount determined by multiplying:

      1. in the case of a short call option position, the market value of the underlying interest,

      2. in the case of a short put option position, the aggregate exercise value of the option,

      3. by

      4. one of the following percentages:

        1. for equity options, 5.00%,

        2. for index options or index participation unit options, 2.00%,

        3. for debt options, 1.00%,

        4. for currency options, 0.75%.

    5722. - 5724.  Reserved.

    There is no history log for this rule.

    There is no history log for this rule.