5754. Conversion or long tripo 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

       

      Short option position

      (i)

      underlying interest

      and

      put option with the same underlying interest

      and

      call option with the same underlying interest

      (ii)

      qualifying basket of index securities

      and

      index put option based on the same index

      and

      index call option based on the same index

      (iii)

      qualifying basket of index securities

      and

      index participation unit put option based on the same index

      and

      index participation unit call option based on the same index

      (iv)

      index participation unit

      and

      index participation unit put option based on the same index

      and

      index participation unit call option based on the same index

      (v)

      index participation unit

      and

      index put option based on the same index

      and

      index call 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 5754(2).

    2. Subject to additional margin requirements set out in subsection 5754(3), the minimum margin required is the greater of:

      1. the sum of:

        1. 100% of the market value of the long put options,

        2. minus

        3. 100% of the market value of the short call options,

        4. plus

        5. the difference, plus or minus, between the market value of the underlying interest, index basket or index participation unit position and the aggregate exercise value of the long put options or short call options, whichever is lower,

      2. and

      3. 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.