5761. Long futures contracts – long put option combination

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    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

       

      Long option position

      (i)

      index futures contracts

      and

      index put option based on the same index

      (ii)

      index futures contracts

      and

      index participation unit put 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 subsections 5761(2) and 5761(3).

    2. Where the put option position is out-of-the-money, the minimum margin required is the greater of:

      1. the sum of:

        1. the aggregate market value of the long put options

        2. plus

        3. the lesser of:

          1. (A)      the daily settlement value of the index futures contract position,

            minus

            (B)      the aggregate exercise value of the long put options,

          2. the margin required on the long futures contract position,

      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.

    3. Where the put option position is in‑the‑money or at‑the‑money, the minimum margin required is the greater of:

      1. any excess of the aggregate market value of the long put options over the aggregate in‑the‑money amount of the long put 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 underlying qualifying basket of index securities or the index participation units.

    There is no history log for this rule.

    There is no history log for this rule.