Cboe Global Markets

Portfolio Margining Rules

Cboe Regulatory Circular Re: Portfolio Margining of Customer Accounts (Dated Dec. 15, 2006)
Margin Requirements Examples for Sample Options-based Positions.
A 2007 table providing comparisons of strategy-based and portfolio margin requirements for 38 different positions.

The portfolio margining rules have the effect of aligning the amount of margin money required to be held in a customer's account to the risk of the portfolio as a whole, calculated through simulating market moves up and down, and accounting for offsets between and among all products held in the account that are highly correlated (for example, options on the S&P 500 Index (SPX), can be offset against options on the S&P 500 Depositary Receipts (SPY), or options on DIAMONDS (DIA) can be offset against SPX options). The longstanding practice for strategy-based margins is to require margin based on set formulas for various strategies (i.e., some spread strategies require a certain minimum margin), regardless of what other offsetting positions were held in the account and regardless of potential market moves. For some positions the margin requirements may not change significantly, but for other positions, such as owning a protective put against a long stock position, the difference may be sizable. This is appropriate in that the margin calculation accounts for the fact that the risk of one position (long stock) is offset by the other (long put).

Expanded Portfolio Margining In 2007

The SEC has approved amendments to Cboe rules that allow for expanded portfolio margining for customer accounts. The new rules become effective in April 2007. Further details of the new portfolio margining rules can be found in Rule Filings (SR-CBOE-2006-014).

Changes for Portfolio Margining for Certain Index Options Approved in July 2005

In July 2005 the SEC approved new rules regarding portfolio margining for index options positions of certain customers.

The Options Clearing Corporation's Customer Portfolio Margin page has a link to an online position editor.

The Options Clearing Corporation has an online Portfolio Margin Calculator