Margin-Regelung für Devisenoptionen
Margin-Regelung für Vanilla-Optionen
The margin requirement on FX options is calculated per currency pair, (ensuring alignment with the concept of tiered margins as per FX spot and forwards) and per maturity date. In each currency pair, there is an upper limitation to the margin requirement that is the highest potential exposure across the FX options and FX spot and forward positions, multiplied by the prevailing spot margin requirement. This calculation also takes into account potential netting between FX options and FX spot and forward positions.
On limited risk strategies, e.g. a short call spread, the margin requirement on an FX options portfolio is calculated as the maximum future loss.
On unlimited risk strategies, e.g. naked short options, the margin requirement is calculated as the notional amount multiplied by the prevailing spot margin requirement.
Tiered margin rates are applicable to the FX options margin calculation when a client's margin requirement is driven by the prevailing FX spot margin requirement, and not the maximum future loss. The prevailing FX spot margin levels are tiered based on USD notional amounts; the higher the notional amount potentially the higher the margin rate. The tiered margin requirement is calculated per currency pair. In the FX options margin calculation, the prevailing spot margin requirement in each currency pair is the tiered, or blended, margin rate determined on the basis of the highest potential exposure across the FX options and FX spot and forward positions.
Example 1: Short Call Spread or Limited Risk strategy
You sell a call spread on 10M USDCAD at strikes 1.41 and 1.42.
The current spot rate is 1.40.
The margin requirement will be the maximum future loss of 71,429 USD (10M x (1.42 – 1.41) = 100,000 CAD / USD @ 1.40).
Example 2: Unlimited Downside Risk
You sell a 10M USDCAD put option. You have an unlimited downside risk. The margin requirement is therefore calculated as the notional amount multiplied by the prevailing spot margin requirement.
The prevailing spot margin rate is determined by the highest potential exposure, which is 10M USD.
Thus, the prevailing spot rate is the blended margin rate of 2.2% ((1% x 3M USD + 2% x 2M USD + 3% x 5M USD) / 10M).
The margin requirement is therefore 220,000 USD (2.2% x 10M USD).
The FX option margin calculation does not apply to Touch options, however open positions will affect the amount you have 'Available for Margin Trading' as displayed in the Account Summary.
Therefore, if margin positions are held on the account, the 'Margin Utilisation' will increase when adding Touch option positions.
Note. Before opening the position a pre-check will be done to ensure that you cannot accidentally open a Touch option position that will move the Margin Utilisation above 100%.