Margin on Naked ETF Options

Discussion in 'Options' started by dave_s, Oct 18, 2009.

  1. dave_s


  2. spindr0


    The margin is going to increase. The appropriate paragraph is:

    >> For a listed, uncovered option on a leveraged ETF, the formula above will continue to apply; however, the percentages of the underlying ETFmarket value will be determined using the same methodology as the underlying ETF. Thus, instead of using 15% of the ETFmarket value for a broad-based ETF and 20% for a narrow-based ETF, a leveraged ETF at 200% would use 30% (two times 15%, or 40% for narrow-based) of the market value, and a leveraged ETF at 300% would use 45% (three times 15%, or 60% for narrow-based). <<

    Figure out the nature of the ETF you're looking at and use the appropriate new numbers.

    You can get some help with margin at the CBOE. They're calculator is at:

    and they offer a margin manual at:

    Yes, margin can be a PITA :)
  3. dave_s


    What is your reading of the order of the increased margin calculation. Will they first increase the margin (by 2 or 3) and then back off the Out of the Money amount and still possibly produce 15 or 20% min requirement for deep OTM options.

    Or back off the OTM amount and then double or triple the requirement.
  4. spindr0