5760. Long index futures contract – short call option combination

Or jump to a Series:

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

       

      Long futures position

       

      Short option position

      (i)

      index futures contracts

      and

      index call option based on the same index

      (ii)

      index futures contracts

      and

      index participation unit call option based on the same index

      and equivalent quantities of each position in the combination are held and the options and futures contracts have the same settlement date or can be settled in either of the two nearest contract months, the minimum margin required for the combination is calculated in accordance with subsection 5760(2).

    2. The minimum margin required is the greater of:

      1. (a)      the normal margin required on the index futures contract position,

        minus

        (b)      the aggregate market value of the short call options,

      2. and

      3. the published tracking error margin rate for the spread between the index futures contracts and the related index or the index futures contracts and the related index participation units, multiplied by the market value of the qualifying basket of index securities underlying the index option position or the index participation units underlying the index participation unit option position.

    There is no history log for this rule.

    There is no history log for this rule.