This model was developed by 1973, and the exchange calculates the option margin according to the premium, futures contract margin, option value and other parameters. For the option seller, the deposit to be paid can be expressed as:
Maximum value (royalty+futures margin-1/2 option imaginary value, royalty+1/2 futures margin)
The margin calculation in the above formula depends on the imaginary value of the option. If it is a real option or an equal option, the margin is premium+futures margin; If it is a virtual option, compare the depth of the virtual value. The margin obtained by this model is high, which can ensure the security of the transaction, but it is not convenient to calculate the comprehensive margin of the option portfolio. At present, China's Taiwan Province Futures Exchange adopts this traditional margin model.
2. Delta mode
This is a system in which the efficiency of capital use is superior to the traditional model. The calculation formula of option deposit is:
Option margin = premium +Delta × futures margin
There is a positive change between the margin of call option and Delta, while the put option is the opposite, mainly because the Delta of call option is positive and the put option is negative. The change of δ coefficient directly affects the change of margin. An improvement of the system is to consider different option risks under different futures prices. However, from the option pricing formula, the change of the underlying asset price is only one of the factors that affect the option value, and other factors (volatility, exercise price, time, etc. ) is not taken into account. In addition, Delta reflects the historical situation more, and its foresight needs further investigation.
3. Span mode
In order to comprehensively consider the fluctuation of the subject matter price, time risk, price correlation change among the subject matter, spread risk and other factors, the span settlement system is more comprehensive. By simulating various possible reactions of portfolio with market conditions, we can get the maximum possible daily loss, subtract some risks that can offset each other, and get a relatively reasonable margin after gradual correction. The deposit calculation formula is:
Total margin amount of Span = σ risk value of each commodity group-option net income
In the above formula, the risk value of commodity group refers to dividing the positions in the portfolio into different commodity combinations according to the classification standard, and calculating the risk value of each commodity combination. The net income of options refers to the cash flow after the options held are immediately closed at the current market price.
It can be seen that Span can achieve the maximum margin loss covering various simulation situations in the process of portfolio margin calculation. This is the result of comprehensive consideration of various factors that may affect profit and loss.
In addition to the above three basic margin systems, the theoretical inter-market margin system developed by the Chicago Board Options Exchange (TIMS) has also been accepted and used by some exchanges. The underlying asset price fluctuation of options contracts in different exchanges is different, and investors bear different risks.