5732. Long call option – long 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:

       

      Long option position

       

      Long 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 5732(2).

    2. The minimum margin required is the lesser of:

      1. the sum of:

        1. the margin required for the long call option position,

        2. plus

        3. the margin required for the long put option position,

      2. or

      3. the sum of:

        1. 100% of the market value of the long call option,

        2. plus

        3. 100% of the market value of the long put option,

        4. minus

        5. the amount by which the aggregate exercise value of the put option exceeds the aggregate exercise value of the call option.

    There is no history log for this rule.

    There is no history log for this rule.