5753. Short underlying interest – short 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:

       

       

      Short position

       

      Short 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 5753(2).

    2. Subject to additional margin requirements set out in subsection 5753(3), the minimum margin required is the greater of:

      1. the lesser of:

        1. the normal margin required on the underlying interest, index basket or index participation unit position, and

        2. any excess of the normal margin required on the underlying interest, index basket or index participation unit position over the in-the-money value, if any, of the put options,

      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.