5781. Short option positions

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    1. Subject to subsection 5781(2), the minimum Dealer Member inventory margin and client account margin required for short over‑the‑counter option positions is:

      1. a percentage of the market value of the underlying interest determined using the following percentages:

        1. for debt options, the margin rate used for the underlying interest as determined in sections 5210 through 5241,

        2. for equity options, the margin rate used for the underlying interest as determined in section 5310 through 5315,

        3. for index options or index participation unit options, the published floating margin rate for the index or index participation unit calculated according to the formula set out in section 5360,

        4. for currency options, IIROC’s published spot risk margin rate for the currency calculated according to the formula set out in section 5460 through 5469,

      2. minus

      3. any out‑of‑the-money amount associated with the option.

    2. Subsection 5781(1) notwithstanding, the minimum client account margin required for short over‑the‑counter option positions shall be no less than the amount determined by multiplying:

      1. in the case of a short call option position, the market value of the underlying interest,

      2. in the case of a short put option position, the aggregate exercise value of the option,

      3. by 25% of the margin rate used for the underlying interest.

    There is no history log for this rule.

    There is no history log for this rule.