5763. Short futures contracts – short put option combination

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

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 5763(2).

The minimum margin required is the greater of:

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

2. minus

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

3. and

4. 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.