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Subject to subsection 5721(2), the minimum Dealer Member inventory margin and client account margin required for short exchange-traded option positions is:
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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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minus
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any out‑of‑the-money amount associated with the option.
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Subsection 5721(1) notwithstanding, the minimum client account margin required for short exchange‑traded option positions shall be the amount determined by multiplying:
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in the case of a short call option position, the market value of the underlying interest,
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in the case of a short put option position, the aggregate exercise value of the option,
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by
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one of the following percentages:
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for equity options, 5.00%,
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for index options or index participation unit options, 2.00%,
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for debt options, 1.00%,
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for currency options, 0.75%.
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5722. - 5724. Reserved.
There is no history log for this rule.