The margin in the investor's margin account can be divided into two parts: trading margin+settlement reserve. The trading margin directly participates in the initial opening and holding of positions, and the settlement reserve is additional funds used for daily debt-free settlement in addition to the trading margin. When the settlement reserve is less than 0 (that is, the trading margin is insufficient), investors will receive a notice of additional margin. If they can't make up the full margin on time, they will be forced to close some or all of their existing positions.
Reserve for settlement of investor's derivative margin account on the same day = reserve for settlement on the previous trading day+deposit on the same day-deposit for occupation of newly opened contracts on the same day+deposit for liquidation and release on the same day+royalty income-royalty expenditure-related expenses. The front-end control of the exchange trading system will not include the calculation of related expenses.
Initial margin of call option = {pre-settlement price +Max(M× pre-closing price of contract target-imaginary value of call option, N× pre-closing price of contract target)} * contract unit;
Initial margin of put option = min {pre-settlement price +max [m× pre-closing price of contract target-imaginary value of put option, N× exercise price], exercise price} * contract unit.
Among them, the imaginary value of call option =Max (strike price-the closing price before the contract target, 0), and the imaginary value of put option =max (the closing price before the contract target-the exercise price, 0).
In order to avoid the default risk of the option seller, after the selling position is closed daily, the funds in the margin account shall not be lower than the maintenance margin, and the calculation formula of the maintenance margin is as follows:
Call option maintenance margin = {settlement price +Max(M× closing price of contract target-imaginary value of call option, N× closing price of contract target)} * contract unit;
Put option maintenance margin = min {settlement price +max [m× closing price of contract target-imaginary value of put option, N× exercise price], exercise price} * contract unit.
Among them, the imaginary value of call option =Max (exercise price-closing price of contract target, 0), and the imaginary value of put option =max (closing price of contract target-exercise price, 0).
According to the regulations of Shanghai Stock Exchange, M=25% and N= 10% are the minimum deposit collection standards. Brokers will adjust these two parameters according to their own conditions, but they cannot be lower than the exchange's charging standards.