Calculating Margin Requirement...

And this is for the ShortStrangle example on p.45 of the CBOE Margin Handbook :

Using rule 3:

Code:

calc_margin_req(sPosition=ShortStrangle, uParCode=0, S=92.6300, K=90.00, Pr=7.0000, K2=90.00, Pr2=3.7000)
  calc_margin_req(sPosition=NakedCall, uParCode=0, S=92.6300, K=90.00, Pr=7.0000)
  ITMval=2.6300 OTMval=0.0000
  MarginAcct:  InitReq=107.0000

  calc_margin_req(sPosition=NakedPut, uParCode=0, S=92.6300, K=90.00, Pr=3.7000)
  ITMval=0.0000 OTMval=2.6300
  MarginAcct:  InitReq=103.7000

ITMval=0.0000 OTMval=0.0000
MarginAcct:  InitReq=110.7000

Without using rule 3 (this then gives the same result as the CBOE example):

Code:

calc_margin_req(sPosition=ShortStrangle, uParCode=1, S=92.6300, K=90.00, Pr=7.0000, K2=90.00, Pr2=3.7000)
  calc_margin_req(sPosition=NakedCall, uParCode=1, S=92.6300, K=90.00, Pr=7.0000)
  ITMval=2.6300 OTMval=0.0000
  MarginAcct:  InitReq=25.5260

  calc_margin_req(sPosition=NakedPut, uParCode=1, S=92.6300, K=90.00, Pr=3.7000)
  ITMval=0.0000 OTMval=2.6300
  MarginAcct:  InitReq=19.5960

ITMval=0.0000 OTMval=0.0000
MarginAcct:  InitReq=29.2260

And below is the CBOE MarginReq for ShortStrangle example on p.45 (ie. the above result is equal to this CBOE example):

 

The $100 is per contract, ie. then in the above code "100 / multiplier" has to be used, ie. practically $1.
Why TradeStation is using it is not clear to me.
Hmm. maybe to make it expensive for option writers who write countless options for $0.01 each (ie. $1 credit per contract)?..

 

Just for the sake of completeness: X3 in the above code has to be changed as follows:

Code:

        const double X3 = Pr + 1.0;       // INFO: $1 * multiplier 100 makes the said $100 per contract