5734. Long warrant – short call option

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

      1. the lesser of:

        1. a percentage of the market value of the underlying interest determined using the following percentages:

          1. for equity options, the margin rate used for the underlying interest as determined in section 5311,

          2. 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,

          3. for debt options, the margin rate used for the underlying interest as determined in section 5210,

          4. for currency options, IIROC’s published spot risk margin rate for the currency calculated according to the formula set out in subsection 5460(1),

        2. or

        3. the spread loss amount, if any, that would result if both the option and the warrant were exercised,

      2. and

      3. the excess of the market value of the warrant over the in‑the‑money value of the warrant multiplied by 25%,

      4. and

      5. the in‑the‑money value of the warrant, multiplied by:

        1. 50%, where the expiration date of the warrant is 9 months or more away, or

        2. 100%, where the expiration date of the warrant is fewer than 9 months away.

    There is no history log for this rule.

    There is no history log for this rule.