5762. Short futures contracts – long call 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:

       

      Short futures position

       

      Long 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 subsections 5762(2) and 5762(3).

    2. Where the call 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 call options

        2. plus

        3. the lesser of:

          1. (A)      the aggregate exercise value of the long call options,

          2. minus

            (B)      the daily settlement value of the index futures contract position,

          3. the margin required on the short futures contract position,

      2. and

      3. the published tracking error margin rate for the spread between the index future contracts and the related index or the index future 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 call 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 call options over the aggregate in-the-money amount of the long 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 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.