Short option margin requirement (NYMEX/ICE underlying)

[j3rome]

Hey guys,

I was curious if anybody knows where I can find information from common brokers on their short option on futures margin requirement. I know the common calculations with stock, but I was under the impression that, with commodities, the short option margin requirement is equal to that of the equivalent future underlying.

i.e. 1 WTI Crude Oil future has an initial margin of $8100 and a maintenance margin of $6000. Would a corresponding 1 lot of options have the identical margin requirement (or less)? Most brokerage shops are scummy, so I imagine they wouldn't make it much less, but it wouldn't make sense to have it be more than this.

 

[Dael]

SPAN margin calculation is restricted information. You can look at real margin requirements in your broker platform.

Regarding to your CL one contract positions you'll get this (while CL is $88.55):
1) Long NOV put 85 requires $2,668 in margin
2) Short NOV put 85 requires $7,207
3) NOV spread (short put 85 / long put 83) requires $791

So yeah, short option margins are close to futures but you can dramatically lower them doing spreads.

 

[jef]

Hi,
the margin of an short option is not the one of the underlying.
It is in the span file and it is computed with the BS formula.
A bad approximation (but make you understand how it works) is :
margin of the underlying * delta of the option + option value