Calculation of margin on naked put options:
This calculation is identical to that for naked calls, with one exception:
instead of a % of the underlying stock value as represented by the previous closing price of the stock,
you use the amount represented by the strike price of the option.
So, to write 10 puts January 40 puts ITM with the stock at $30, for a premium of $12:
Option premium $ 12,000
Plus 20% of strike $ 8,000
Minus $ OTM ( $ 0)
___________
Requirement $ 20,000
Minimum calculation:
Option premium $ 12,000
Plus 10% of strike $ 4,000
________
Requirement $ 16,000
Therefore, the $20,000 requirement will apply
To write 10 January 40 puts OTM with the stock at $50, for a premium of $2:
Option premium $ 2,000
Plus 20% of strike $ 8,000
Minus $ OTM ( $ 10,000)
___________
Requirement $ 0
Minimum calculation:
Option premium $ 2,000
Plus 10% of strike $ 4,000
________
Requirement $ 6,000
therefore, the requirement is $6,000.
As with naked calls, the minimum calculation usually applies when the options are OTM.
With naked puts, the same principles apply with initial vs. maintenance margin:
initial margin uses the actual premium from the sale and last night's closing price;
maintenance margin uses the previous closing prices for both the premium and the underlying stock.
Previously, both calls and puts used the same calculation for underlying stock;
however, in January 2000, puts went to a strike-price based system. |
