S&P 500 Option Margin Requirements

Arnie Guitar

Arnie Guitar

I know about the common formula for equities;

30% x Underlying - OTM amount + 100% of option premium = Margin Requirement;
for naked options.....

Would it be the same for index options?

So, for discussion's sake;

S&P 500 = 1305
May S&P 500 1350 Call option = 1.25

So,
1350 x .3 = 405
405 - 45 = 360
360 + 1.25 = 361.25

So the margin requirement for being short one naked May 1350 call would be $36,125.

Right?
 
I'm not familiar with the way stock options are calculated, but for short options on SP futures there is no simple calculation that you could use figure our the required margin. The margin is calculated by 'SPAN', which uses a complicated algorithm which in turn run through multiple market scenarios to determine what the margin would be to sell that particular strike. I've talked to the CME about this before. It's just not something that you could figure out on pencil and paper.

For reference, I had my margin department run the calculation on that and it was roughly $14,700 required.
 
It depends on the brokers. For Interactive Brokers, the margin requirement for shorting one contract of May S&P 500 1350 Call option should be about US$18,000.


Quote from Arnie Guitar:

I know about the common formula for equities;

30% x Underlying - OTM amount + 100% of option premium = Margin Requirement;
for naked options.....

Would it be the same for index options?

So, for discussion's sake;

S&P 500 = 1305
May S&P 500 1350 Call option = 1.25

So,
1350 x .3 = 405
405 - 45 = 360
360 + 1.25 = 361.25

So the margin requirement for being short one naked May 1350 call would be $36,125.

Right?
More...
 
Quote from omcate:

It depends on the brokers. For Interactive Brokers, the margin requirement for shorting one contract of May S&P 500 1350 Call option should be about US$18,000.
More...

At their discretion a broker or FCM could require more than SPAN would calculate, but not less.
 
Margin requirements on SPAN contracts in IB do not exceed the clearinghouse minimal requirements. I am talking about futures options here.
TWS and PC SPAN both show requirements
Initial 15.165
Maintenance 12,132
The number $14,700 given by Global is actually the margin for CBOE SPX. My TWS shows the requirement for short SPX option on CBOE is 14,780.10. I do not understand where omcate took his $18,000.
 
How nice.I have never been able to understand margin requirements on futures.Now I see that the pros dont understand them either.:D
 
Quote from ids:

Margin requirements on SPAN contracts in IB do not exceed the clearinghouse minimal requirements. I am talking about futures options here.
TWS and PC SPAN both show requirements
Initial 15.165
Maintenance 12,132
The number $14,700 given by Global is actually the margin for CBOE SPX. My TWS shows the requirement for short SPX option on CBOE is 14,780.10. I do not understand where omcate took his $18,000.
More...

I shorted two contracts of SPX Feb 1310 Call one day before expiration via Interactive Brokers. This trade used up about US$36,000 of my available fund. At that time, the Call option was about 25 points out of money. That is how I come up with $18,000.
 
At optionsXpress:

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1050745>
Quote from Arnie Guitar:

I know about the common formula for equities;

30% x Underlying - OTM amount + 100% of option premium = Margin Requirement;
for naked options.....

Would it be the same for index options?

So, for discussion's sake;

S&P 500 = 1305
May S&P 500 1350 Call option = 1.25

So,
1350 x .3 = 405
405 - 45 = 360
360 + 1.25 = 361.25

So the margin requirement for being short one naked May 1350 call would be $36,125.

Right?
More...
 

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