5730. Call option spreads and put option spreads

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    1. Where a Dealer Member inventory or client account contains one of the following exchange-traded option spread pairings:

       

      Long (short) option position

       

      Short (long) option position

      (i)

      call option with an equity, index, index participation unit, debt or currency underlying interest

      and

      call option with the same underlying interest

      (ii)

      put option with an equity, index, index participation unit, debt or currency underlying interest

      and

      put option with the same underlying interest

      (iii)

      index call option

      and

      index participation unit call option based on the same index

      (iv)

      index put option

      and

      index participation unit put option based on the same index

      and equivalent quantities of each position in the pairing are held, the minimum margin required for the spread pairing is calculated in accordance with subsection 5730(2).

    2. Provided the condition in subsection 5730(1) is met, the minimum margin required is the lesser of:

      1. the margin required on the short option position determined pursuant to section 5721,

      2. or

      3. the greater of:

        1. the spread loss amount, if any, that would result if both options were exercised,

        2. and

        3. where the spread involves an index option position and an index participation unit option position, the published tracking error margin rate for the spread between the index and the related index participation units, multiplied by the market value of the index participation units underlying the index participation unit option position.

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    There is no history log for this rule.