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.
International exchange situation
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.
Option portfolio margin collection method
It is a common practice in the international market to implement portfolio margin preference for option trading. CBOE provides more than 65,438+00 portfolio margin standards for option arbitrage customers. The mainstream option portfolio margin systems are the SPAN system of CME and the STANS system of OCC.
Design principles of margin system for large commercial enterprises
The design of option margin of Dashang Institute is divided into two levels:
One-legged contract
In the idea of collecting margin for one-leg contracts, the traditional model is mainly based on three considerations: First, domestic option tools are emerging products, and it is more reasonable to implement the traditional model in the early stage of development. Second, setting a higher margin level is more conducive to preventing market risks and ensuring the safe operation of new tools. Thirdly, the traditional margin calculation model is simple, reasonable in structure and easy to realize, which provides convenience for customers to manage risks and participate in option trading steadily.
Portfolio margin
Dashang Institute has conducted research and market research on the collection method of option portfolio margin. On the basis of ensuring the smooth operation of the market in the initial stage of listing, with the accumulation of data, the combined margin discount will be introduced in a timely and step-by-step manner to improve the efficiency of capital use and promote the function of the option market.