5735. Box spread

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    1. Client account requirement - Where a client account contains a box spread combination on the same underlying interest with all exchange-traded options expiring at the same time, such that the client holds a long and short call option and a long and short put option and where the long call option and short put option, and short call option and long put option have the same exercise price, the minimum client account margin required is the lesser of:

      1. the greater of the margin requirements calculated for the component call and put spreads pursuant to subsection 5730(2), and

      2. the greater of the out-of-the-money amounts calculated for the component call and put spreads.

    2. Dealer Member inventory account requirement - Where a Dealer Member inventory account contains a box spread exchange-traded option combination on the same underlying interest with all options expiring at the same time, such that the Dealer Member holds a long and short call option and a long and short put option and where the long call option and short put option, and short call option and long put option have the same exercise price, the minimum Dealer Member inventory margin required is the sum of:

      1. the difference, plus or minus, between the aggregate exercise value of the long call options and the aggregate exercise value of the long put options, and

      2. the net market value of the options.

    There is no history log for this rule.

    There is no history log for this rule.