Short option margin requirement (NYMEX/ICE underlying)

Discussion in 'Options' started by j3rome, Oct 18, 2011.

  1. j3rome


    Hey guys,

    I was curious if anybody knows where I can find information from common brokers on their short option on futures margin requirement. I know the common calculations with stock, but I was under the impression that, with commodities, the short option margin requirement is equal to that of the equivalent future underlying.

    i.e. 1 WTI Crude Oil future has an initial margin of $8100 and a maintenance margin of $6000. Would a corresponding 1 lot of options have the identical margin requirement (or less)? Most brokerage shops are scummy, so I imagine they wouldn't make it much less, but it wouldn't make sense to have it be more than this.
  2. Dael


    SPAN margin calculation is restricted information. You can look at real margin requirements in your broker platform.

    Regarding to your CL one contract positions you'll get this (while CL is $88.55):
    1) Long NOV put 85 requires $2,668 in margin
    2) Short NOV put 85 requires $7,207
    3) NOV spread (short put 85 / long put 83) requires $791

    So yeah, short option margins are close to futures but you can dramatically lower them doing spreads.
  3. jef


    the margin of an short option is not the one of the underlying.
    It is in the span file and it is computed with the BS formula.
    A bad approximation (but make you understand how it works) is :
    margin of the underlying * delta of the option + option value