5731. Short call option – short put option spread

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

       

      Short option position

       

      Short option position

      (i)

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

      and

      put option with the same underlying interest

      (ii)

      index call option

      and

      index participation unit put option based on the same index

      (iii)

      index participation unit call option

      and

      index 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 5731(2).

    2. The minimum margin required is the greatest of:

      1. the greater of:

        1. the margin required on the call option position,

        2. or

        3. the margin required on the put option position,

      2. and

      3. the excess of the aggregate exercise value of the put option position over the aggregate exercise value of the call option position,

      4. and

      5. 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.