Sellers of 50ETF options need to freeze margin, and because the portfolio margin system has not yet been implemented, the margin cannot be reduced even if different combinations of strategies (e.g., bull spreads, etc.) are employed. The amount of margin is related to the risk degree of the account, when the risk degree is high (generally 90%), it is impossible to open a position (**hedging), and when it is higher, it may be liquidated and cause significant losses.
The formula for calculating the exchange margin and its influencing factors
As the name suggests, the exchange margin is the margin charged by the exchange. The formula for calculating the exchange margin is as follows:
lMargin for the opening of the call option obligation position = [pre-contract settlement price + max (12% of the previous ** price of the underlying of the contract - the out-of-the-money of the call option, 7% of the previous ** price of the underlying of the contract)] contract unit.
l Margin for the opening of the put option obligation position = min [pre-contract settlement price + max (12% of the previous ** price of the underlying contract - put option out-of-value, 7% exercise**) exercise**] contract unit.
where m=12%, n=7%. Enter the previous trading day*** into the above formula to calculate the applicable initial margin for the next day, which can generally be displayed in the trading software.
It is worth mentioning that during the trading process on the second day, the underlying ** and the contract ** will generally have a certain change relative to the previous day** price, and the exchange will calculate a margin that changes at any time according to the timely data, which is generally called the maintenance margin, which is generally not displayed in the trading software.
If the underlying ** changes greatly on the second day, the corresponding option** will also change greatly, under the joint influence of the two, the maintenance margin may change significantly compared with the initial margin, in this case, the margin seen in the trading software may not be particularly large, but the risk is very large.
Broker margin
The exchange margin is the basis of the broker's margin, and the margin charged by the brokerage will generally increase by a certain amount on the basis of the above-mentioned exchange margin. The simpler way is to add a fixed percentage on the basis of the exchange margin, such as 10% or 20%, and the more complex way is to add a percentage to m and n in the above exchange margin calculation formula, such as 3%, so that the margin increase of different options contracts is not exactly the same.
Call OptionsThere are three main factors involved in the calculation of margin:The strike price (a), ***b of the underlying asset, and the settlement of the option**(c).。The specific calculation is as follows:
1.When the underlying asset *** is less than 95 of the strike priceAt 24%, the margin is calculated as follows: C + 007b。In this case, the risk is less, so the margin is relatively low. This reflects a large gap between the underlying asset** and the strike price, with a smaller delta, i.e., a smaller impact on the margin by a unit of the underlying asset**.
2.When the underlying asset *** is greater than 95 of the strike priceAt 24%, the margin is calculated as follows: C + 112b - a。In this case, the underlying asset** approaches or exceeds the strike price, the risk increases significantly, and therefore the margin increases significantly. This reflects the proximity between the underlying asset** and the strike price, with a larger delta, that is, the impact of the change in the unit of the underlying asset** on the margin is also greater.
When the underlying asset** is low, if the seller goes in the opposite direction, the margin will gradually increase, but the growth rate is slower, and the seller may not feel too much pressure. However, once the underlying asset** exceeds 95% of the strike price24%, the margin growth rate will accelerate sharply, and the risk will also increase rapidly.
Under normal circumstances, when the risk exceeds 90%, it may not be possible to open a position, and it is unlikely that the seller wants to hedge the option at this time. As the underlying asset continues, if the implied volatility also increases, it will lead to a large increase in the option, which in turn will cause the margin to rise rapidly, and the risk will also rise rapidly. When the margin risk exceeds 110%, you may face the risk of being forced to close your position by the brokerage, which is extremely risky.
Put optionsMargin calculations are slightly more complex than for call options. Taking into account the long expiration time of the option and the small change in the underlying asset**, the calculation formula of margin mainly involves three factors:The strike price (a), ***b of the underlying asset, and the settlement of the option**(c).。The specific calculation is as follows:
1.When the *** of the underlying asset is greater than 105 of the strike priceAt 68%, the risk is less, so the margin is lower. At this time, the margin calculation formula is: C + 007a, not related to ***b) of the underlying asset. In this case, the strike price (a) is fixed and the increase in margin is only related to the settlement of the option**(c). The underlying asset** is far away from the strike price, and the absolute value of the delta value is small, so for each additional unit of the underlying asset**, the margin decreases by delta (absolute value) units.
2.When the *** of the underlying asset is less than 105 of the strike priceAt 68%, the risk increases significantly, so the margin increases significantly accordingly. At this time, the margin calculation formula is: C + 012b, irrespective of strike price (a). In this case, the underlying asset** is close to or below the strike price, the absolute value of the delta value is larger, and for each unit of the underlying asset**, the margin increases (the absolute value of delta - 0.).12) units.
Based on the above analysis, the margin increase for selling put options is significantly lower than for call options, which means that the pressure to sell put options is relatively small. In addition, the premium received when selling the option can be used as cash, and the actual blocked margin is the part of the margin calculated above after deducting the premium received (option settlement**c). The relationship between the actual frozen margin and the strike price or the underlying asset** will vary, depending on the circumstances of the option and the rules of the exchange. Options