5751. Long underlying interest – long put option combination

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    1. Where a Dealer Member inventory or client account contains one of the following exchange-traded option and security combinations:

       

      Long position

       

      Long option position

      (i)

      underlying interest

      and

      put option with the same underlying interest

      (ii)

      qualifying basket of index securities

      and

      index put option based on the same index

      (iii)

      qualifying basket of index securities

      and

      index participation unit put option based on the same index

      (iv)

      index participation unit

      and

      index participation unit put option based on the same index

      (v)

      index participation unit

      and

      index put option based on the same index

      and equivalent quantities of each position in the combination are held, the minimum margin required for the combination is calculated in accordance with subsection 5751(2).

    2. Subject to additional margin requirements set out in subsection 5751(3), the minimum margin required is the greater of:

      1. lesser of:

        1. the normal margin required on the underlying interest,

        2. or

        3. the excess of the combined market value of the underlying interest and the put option over the aggregate exercise value of the put option,

      2. where the combination involves:

        1. a qualifying basket of index securities and an index participation unit option position,

        2. or

        3. an index participation unit position and an index option position,

        4. 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 or index participation unit position held.

    3. Where the combination involves a qualifying basket of index securities and the basket is imperfect, additional margin is required to be provided in the amount of the calculated incremental basket margin rate for the basket multiplied by the market value of the basket.

    There is no history log for this rule.

    There is no history log for this rule.