5764. Futures 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 futures contract and exchange‑traded option contract combinations:

       

      Long futures position

       

      Long option position

       

      Short option position

      (i)

      index futures contracts

      and

      index put option based on the same index

      and

      index call option based on the same index

      (ii)

      index futures contracts

      and

      index participation unit put  option based on the same index

      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 contracts have the same expiry date 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 5764(2).

    2. The minimum margin required is the greater of:

      1. the sum of:

        1. the aggregate market value of the long call options,

        2. minus

        3. the aggregate market value of the short put options,

        4. plus

        5. the difference, plus or minus, between the daily settlement value of the long futures contracts and the aggregate exercise value of the long put options or the short call options, whichever is lower,

      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.