5733. Long call option – short call option – long put option

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    1. Where a Dealer Member inventory or client account contains long call option, short call option and long put option positions in exchange-traded options on the same underlying interest and equivalent quantities of each position in the combination are held, the minimum margin required is:

      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. 100% of the market value of the short call option,

      6. plus

      7. the greater of:

        1. any excess of the aggregate exercise value of the long call option over the aggregate exercise value of the short call option, and

        2. any excess of the aggregate exercise value of the long call option over the aggregate exercise value of the long put option.

      8. Where the amount calculated in clause 5733(1)(iv) is negative, this amount may be applied against the margin charge.

    There is no history log for this rule.

    There is no history log for this rule.