The collection standard of the seller's trading margin for futures options is the higher of the following two:

(1) royalty (settlement price of option contract × trading unit of the underlying futures contract)+trading margin of the underlying futures contract-half of the imaginary value of the option contract.

(2) royalties (option contract settlement price × trading unit of the underlying futures contract)+half of the trading margin of the underlying futures contract.

Imaginary value of call option =max (option contract execution price-settlement price of the underlying futures contract on the same day, 0)* contract multiplier;

Put imaginary value =max (settlement price of underlying futures contract-exercise price of option contract, 0)* contract multiplier.

The contract multiplier of soybean meal option is 10, and the trading unit of the underlying futures contract is 10.

So the above two formulas can be combined into one formula:

Margin = commission +MAX (futures margin-1/2 imaginary number, 1/2 futures margin)

Extended data:

The option trading of large-scale commercial housing implements the trading margin system. For a one-legged option contract, the standard for collecting the trading margin of the option seller is: the settlement price of the option contract × the trading unit of the underlying futures contract +MAX[ the trading margin of the underlying futures contract-half of the imaginary value of the option and half of the trading margin of the underlying futures contract].

For different positions in options trading, the exchange system will also support the collection method of portfolio margin. After the implementation of option trading for a period of time, it will be launched in due course according to the market operation.

Single-stage option contract margin collection method

Theoretically, there are two main types of margin for a single futures option: traditional mode and Delta mode. The margin standard considers the maximum loss of a single contract the next day: one is the commission fee to be paid when closing the position; The second is the possible loss when closing the position. Specifically:

The first is the traditional margin collection model proposed by the big business. Margin = option contract settlement price × target futures contract trading unit +MAX[ target futures contract trading margin-1/2 option imaginary value, 1/2 target futures contract trading margin]. Internationally, CBOE has long adopted the traditional margin model with different parameters. The traditional model has a high risk coverage.

The second is Delta mode. Option margin = premium +|Delta|* futures margin. The range of option margin is {premium, premium+futures margin}, and the margin level is relatively lower than the traditional model. Under the imaginary option, the incremental model has a relatively low margin because the incremental value ranges between 0 and 0.5.

After daily settlement, the value of Delta changes with the change of contract price.

Baidu Encyclopedia-Option Margin