OPTION
計算期權孖展,第一步將option position及pending postion 列出,計算時要分別計算
A)Marginable Positions. The objective is to identify what is to be margined.
SERIES |
L |
S |
E |
A |
PR CURRT |
SERIES |
L |
S |
E |
A |
PR CURRT |
CHK |
HKB |
||||||||||
C DEC 5000 |
40 |
0 |
0 |
0 |
1.61 |
C JAN 22000 |
7 |
0 |
3 |
0 |
10.92 |
C DEC 5500 |
100 |
0 |
0 |
0.05 |
C JAN 23000 |
0 |
88 |
0 |
0 |
6.88 |
|
C JAN 6000 |
0 |
50 |
0 |
98 |
0.15 |
C FEB 22000 |
0 |
20 |
0 |
0 |
12.56 |
C JAN 6500 |
35 |
0 |
15 |
0 |
0.03 |
C FEB 24000 |
20 |
0 |
25 |
0 |
5.58 |
C FEB 5000 |
0 |
120 |
0 |
0 |
1.92 |
P MAR 25000 |
0 |
30 |
0 |
15 |
8.54 |
C MAR 6000 |
0 |
30 |
0 |
30 |
0.71 |
P MAR 26000 |
0 |
20 |
0 |
110 |
12.08 |
P MAR 6500 |
50 |
0 |
50 |
0 |
7.37 |
P JUN 22000 |
0 |
150 |
0 |
0 |
2.95 |
P JUN 6500 |
0 |
50 |
0 |
0 |
5.46 |
P JUN 26000 |
60 |
0 |
0 |
0 |
12.93 |
B)Mark-to-Market Margin. This calculates liquidation value at current market levels.(B use Option Premium Price)
(A) |
(B) |
(C) | (D) |
(A) |
(B) |
(C) |
(D) |
|||||||||
SERIES |
UN CL PR |
L |
S |
SET PR |
TR UN VAL |
MK TO MKT |
SERIES |
UN CL PR |
L |
S |
SET PR |
TR UN VAL |
MK TO MKT |
|||
CHK |
HKB |
|||||||||||||||
| C DEC 5000 | 55.5 |
40 |
0 |
1.61 |
1000 |
(64,400.00) | C JAN 22000 |
241 |
7 |
0 |
10.92 |
400 |
(30,576.00) |
|||
C DEC 5500 |
55.5 |
-100 |
0 |
0.05 |
1000 |
(5,000.00) |
C JAN 23000 |
241 |
0 |
88 |
6.88 |
400 |
242,176.00 |
|||
C JAN 6000 |
55.5 |
0 |
50 |
0.15 |
1000 |
7,500.00 |
C FEB 22000 |
241 |
0 |
20 |
12.56 |
400 |
100,480.00 |
|||
C JAN 6500 |
55.5 |
35 |
0 |
0.03 |
1000 |
(1,050.00) |
C FEB 24000 |
241 |
20 |
0 |
5.58 |
400 |
(44,640.00) |
|||
C FEB 5000 |
55.5 |
0 |
120 |
1.92 |
1000 |
230,400.00 |
P MAR 25000 |
241 |
0 |
30 |
8.54 |
400 |
102,480.00 |
|||
C MAR 6000 |
55.5 |
0 |
30 |
0.71 |
1000 |
21,300.00 |
P MAR 26000 |
241 |
0 |
20 |
12.08 |
400 |
96,640.00 |
|||
P MAR 6500 |
55.5 |
50 |
0 |
7.37 |
1000 |
(368,500.00) |
P JUN 22000 |
241 |
0 |
150 |
2.95 |
400 |
177,000.00 |
|||
P JUN 6500 |
55.5 |
0 |
50 |
5.46 |
1000 |
273,000.00 |
P JUN 26000 |
241 |
60 |
0 |
12.93 |
400 |
(310,320.00) |
|||
TOTAL= |
93,250.00 |
TOTAL= |
333,240.00 |
|||||||||||||
SUB TOTAL= |
426,490.00 |
|||||||||||||||
Remark:- 計算mark to market,是用期權金premium,即收市時之premium.
Mark-to-Market=Position x Premium Price x Trade Unit Value
(D)=(A)x(B)x(C)
C)Additional Margin. This identifies the risk in the event of the “worst-case” market movement.
SERIES |
POS |
UN VAL |
CURR VAL |
MIN PR |
STR PR |
STR PR |
STR PR |
MAX PR |
STR PR |
STR PR |
||
(D) |
||||||||||||
CHK |
55.5 |
36.07 |
48 |
50 |
55 |
60 |
65 |
74.93 |
||||
C DEC 5000 |
40L |
1000 |
(64,400.00) |
- |
- |
(607.48) |
(200,349.84) |
(400,349.84) |
(600,349.84) |
(997,549.84) |
||
C DEC 5500 |
100L |
1000 |
(5,000.00) |
- |
- |
- |
(1,670.50) |
(500,962.00) |
(1,000,962.00) |
(1,993,962.00) |
||
C JAN 6000 |
50S |
1000 |
7,500.00 |
- |
1.40 |
35.55 |
5,629.85 |
76,469.95 |
271,223.00 |
762,203.35 |
||
C JAN 6500 |
35L |
1000 |
(1,050.00) |
- |
(0.32) |
(7.39) |
(753.69) |
(13,453.62) |
(73,480.51) |
(361,068.93) |
||
C FEB 5000 |
120S |
1000 |
230,400.00 |
- |
- |
63,713.16 |
663,684.00 |
1,263,684.00 |
1,863,684.00 |
3,055,284.00 |
||
C MAR 6000 |
30S |
1000 |
21,300.00 |
- |
349.14 |
1,373.97 |
16,826.16 |
76,469.88 |
189,363.21 |
476,774.88 |
||
P MAR 6500 |
50L |
1000 |
(368,500.00) |
(1,446,500.00) |
(850,000.00) |
(750,000.00) |
(500,000.00) |
(250,000.00) |
(861.45) |
- |
||
P JUN 6500 |
50S |
1000 |
273,000.00 |
1,446,500.00 |
850,000.00 |
750,000.00 |
500,000.00 |
250,000.00 |
1,051.75 |
- |
||
| (F) TOTALS | 93,250.00 |
- |
350.22 |
64,507.81 |
483,365.98 |
501,858.37 |
649,668.16 |
941,681.46 |
||||
| (E) VARIATION | -99.8 |
390,115.98 |
(93,250.00) |
(92,899.78) |
(28,742.19) |
390,115.98 |
408,608.37 |
556,418.16 |
848,431.46 |
|||
| Liquidating downside MAX= | 390,115.98 |
Liquidating upside MAX= | 848,431.46 |
|||||||||
HKB |
241 |
197.62 |
220 |
230 |
240 |
250 |
260 |
284.38 |
||
C JAN 22000 |
7L |
400 |
(30,576.00) |
- |
(3,243.76) |
(31,224.24) |
(59,224.24) | (87,224,.24) |
(115,224.24) |
(183,488.24) |
C JAN 23000 |
88S |
400 |
242,176.00 |
- |
- |
42,632.20 |
394,375.70 | 746,375.70 |
1,098,375.70 |
1,956,551.70 |
C FEB 22000 |
20S |
400 |
100,480.00 |
- |
18,689.19 |
98,680.64 |
178,680.64 | 258,680.64 |
338,680.64 |
533,720.64 |
C FEB 24000 |
20L |
400 |
(44,640.00) |
- |
(468.02) |
(7,342.14) |
(39,678.81) | (103,089.43) |
(180,541.75) |
(375,418.88) |
| P MAR 25000 | 30S |
400 |
102,480.00 |
628,560.00 |
360,000.00 |
240,000.00 |
120,000.00 | 795.17 |
- |
- |
P MAR 26000 |
20S |
400 |
96,640.00 |
499,040.00 |
320,000.00 |
240,000.00 |
160,000.00 | 80,000.00 |
551.32 |
- |
P JUN 22000 |
150S |
400 |
177,000.00 |
1,380,830.34 |
534,687.60 |
316,139.34 |
175,198.44 | 91,094.10 |
45,116.40 |
6,522.54 |
P JUN 26000 |
60L |
400 |
(310,320.00) |
(1,497,120.00) |
(960,000.00) |
(720,000.00) |
(480,000.00) |
(240,000.00) |
(1,760.52) |
- |
| (F) TOTALS | 333,240.00 |
1,011,310.34 |
269,665.01 |
178,885.80 |
449,351.73 | 746,631.94 |
1,185,197.55 |
1,937,887.76 |
||
| (E) VARIATION | 678070 |
678,070.34 |
(63,574.99) |
(154,354.20) |
116,111.73 | 413,391.94 |
851,957.55 |
1,604,647.76 |
||
| Liquidating downside MAX= | 678,070.34 |
Liquidating upside MAX= | 1,604,647.76 |
|||||||
Remark:-
Liquidating Values(upside/downside)=Long/Short x Theoretical Value x Trade Unit Value
Liquidating Values MAX=(upside/downside) MAX Strike – Current Price
Additional=Liquidating Values(upside/downside) MAX
Margin Requirement=Additional + Mark-to-Market Margin
(E)=(F) – (D); Additional孖展是基於收市價,估計在下一交易日之可能波幅而引至之損失,所以是用最大值,減收市值
D) Total Margin Requirement
OPTIONS MARK-TO-MKT MARGIN UPSIDE DOWNSIDE ADDITIONAL MARGIN REQUIREMENT
option mark-to-market upside down-side additional margin requriement
CHK 93, 250.00 848,431 390,115 848,431.46 941,681.46
HKB 333,240.00 1,604,647 678,070 1,604,647.76 1,937,887.76
TOTAL 426,490.00 & 2,453,079.22 2,879,569.22
OPTION MARGIN REQUIREMENT= 2,879,569.22
Pending 將exercise及assigned之position,列為pending position 計.
A)Marginable Positions. The objective is to identify what is to be margined.
SERIES |
L |
S |
E |
A |
PR CURR/font> |
SERIES |
L |
S |
E |
A |
PR CURRT |
CHK |
HKB |
||||||||||
C DEC 5000 |
40 |
0 |
0 |
0 |
1.61 |
C JAN 22000 |
7 |
0 |
3 |
0 |
10.92 |
C DEC 5500 |
100 |
0 |
0 |
0 |
0.05 |
C JAN 23000 |
0 |
88 |
0 |
0 |
6.88 |
C JAN 6000 |
0 |
50 |
0 |
98 |
0.15 |
C FEB 22000 |
0 |
20 |
0 |
0 |
12.56 |
C JAN 6500 |
35 |
0 |
15 |
0 |
0.03 |
C FEB 24000 |
20 |
0 |
25 |
0 |
5.58 |
C FEB 5000 |
0 |
120 |
0 |
0 |
1.92 |
P MAR 25000 |
0 |
30 |
0 |
15 |
8.54 |
C MAR 6000 |
0 |
30 |
0 |
30 |
0.71 |
P MAR 26000 |
0 |
20 |
0 |
110 |
12.08 |
P MAR 6500 |
50 |
0 |
50 |
0 |
7.37 |
P JUN 22000 |
0 |
150 |
0 |
0 |
2.95 |
P JUN 6500 |
0 |
50 |
0 |
0 |
5.46 |
P JUN 26000 |
60 |
0 |
0 |
0 |
12.93 |
B)Mark-to-Market Margin. This calculates liquidation value at current market levels.(B use underlying Stock Market Price)
(A) |
(B) |
(C) |
(D) |
(A) |
(B) |
(C) |
(D) |
||||||||
SERIES |
UN CL PR |
E |
A |
SET PR |
TR UN VAL |
MK TO MKT |
SERIES |
UN CL PR |
E |
A |
SET PR |
TR UN VAL |
MK TO MKT |
||
CHK |
HKB |
||||||||||||||
C JAN 6000 |
55.5 |
0 |
98 |
4.5 |
1000 |
(441,000.00) |
C JAN 22000 |
241 |
3 |
0 |
21 |
400 |
(25,200.00) |
||
C JAN 6500 |
55.5 |
15 |
0 |
9.5 |
1000 |
142,500.00 |
C FEB 24000 |
241 |
25 |
0 |
1 |
400 |
(10,000.00) |
||
C MAR 6000 |
55.5 |
0 |
30 |
4.5 |
1000 |
(135,000.00) |
P MAR 25000 |
241 |
0 |
15 |
9 |
400 |
54,000.00 |
||
P MAR 6500 |
55.5 |
50 |
0 |
9.5 |
1000 |
(475,000.00) |
P MAR 26000 |
241 |
0 |
110 |
19 |
400 |
836,000.00 |
||
TOTAL= |
(908,500.00) |
TOTAL= |
854,800.00 |
||||||||||||
SUB TOTAL= |
(53,700.00) |
||||||||||||||
Remark:-
Mark-to-Market=Exercise/Assign x Stock Market Price x Trade Unit Value 計算是以正股的收市價及合約之行使價比較
(D)=(A)x(B)x(C)
C)Additional Margin. This identifies the risk in the event of the “worst-case” market movement.
SERIES |
POS |
UN VAL |
CURR VAL |
MIN PR | STR PR |
STR PR |
STR PR |
||||||||
(D) |
|||||||||||||||
CHK |
55.5 |
36.07 |
48 |
50 |
55 |
60 |
65 |
74.93 |
|||||||
C JAN 6000 |
98A |
1000 |
(441,000.00) |
(2,345,140.00) |
(1,176,000.00) |
(980,000.00) |
(49,000.00) |
- |
490,000.00 |
1,463,140.00 |
|||||
C JAN 6500 |
15E |
1000 |
142,500.00 |
433,950.00 |
255,000.00 |
225,000.00 |
150,000.00 |
75,000.00 |
- |
(148,950.00) |
|||||
C MAR 6000 |
30A |
1000 |
(135,000.00) |
(717,900.00) |
(360,000.00) |
(300,000.00) |
(150,000.00) |
- |
150,000.00 |
447,900.00 |
|||||
P MAR 6500 |
50E |
1000 |
(475,000.00) |
(146,500.00) |
(850,000.00) |
(750,000.00) |
(500,000.00) |
(250,000.00) |
- |
496,500.00 |
|||||
| (F) Totals | (908,500.00) |
(4,075,590.00) |
(2,131,000.00) |
(1,805,000.00) |
(990,000.00) |
(175,000.00) |
640,000.00 |
2,258,590.00 |
|||||||
| (E) VARIATION | (3,167,090.00) |
(1,222,500.00) (896,500.00) |
(81,500.00) |
733,500.00 1,548,500.00 |
3,167,090.00 |
||||||||||
| Liquidating downside MAX= | (81,500.00) | Liquidating upside MAX= | 3,167,090.00 | ||||||||||||
HKB |
241 |
197.62 |
220 |
230 |
240 |
250 |
260 |
284.38 |
|||||||
C JAN 22000 |
3E |
400 |
(25,200.00) |
26,856.00 |
- |
(12,000.00) |
(24,000.00) |
(36,000.00) |
(480,00.00) |
(77,256.00) |
|||||
C FEB 24000 |
25E |
400 |
(10,000.00) |
423,800.00 |
20,000.00 |
100,000.00 |
- |
(100,000.00) |
(200,000.00) |
(443,800.00) |
|||||
P MAR 25000 |
15A |
400 |
54,000.00 |
314,280.00 |
180,000.00 |
120,000.00 |
60,000.00 |
- |
(600,00.00) |
(206,280.00) |
|||||
P MAR 26000 |
110A |
400 |
836,000.00 |
2,744,720.00 |
1,760,000.00 |
1,320,000.00 |
880,000.00 |
440,000.00 |
- |
(1,072,720.00) |
|||||
| (F) Totals | 854,800.00 |
3,509,656.00 |
2,140,000.00 |
1,528,000.00 |
916,000.00 |
304,000.00 |
(308,000.00) |
(1,800,056.00) |
|||||||
| (E) VARIATION | 2,654,856.00 |
1,285,200.00 |
673,200.00 |
61,200.00 |
(550,800.00) |
(1,162,800.00) |
(2,654,856.00) |
||||||||
| Liquidating downside MAX= | 2,654,856.00 | Liquidating upside MAX= |
(550,800.00) |
||||||||||||
Remark:-
Liquidating Values(upside/downside)=Exercise/Assign x Theoretical Value x Trade Unit Value
Liquidating Values MAX=(upside/downside) MAX Strike – Current Price
Additional=Liquidating Values(upside/downside) MAX
Margin Requirement=Additional + Mark-to-Market Margin
(E) = (F) – (D) 即正股在下一天之波幅,與收市價時之比較
D) Total Margin Requirement
PENDING
MARK-TO-MKT MARGIN UPSIDE DOWNSIDE ADDITIONAL MARGIN REQUIREMENT
CHK -908,500.00 3,167,090 -84,500 3,167,090.00 2,258,590.00
HKB 854,800.00 -550,800 2,654,856 2,654,856.00 3,509,656.00
TOTAL -53,700.00 5,821,946.00 5,768,246.00
PENDING MARGIN REQUIREMENT= 5,768,246.00
A/C TOTAL
OPTIONPOSITION
MARK-TO-MARKET MARGIN ADDITIONAL MARGIN ADJUSTED MARGIN REQUIREMENT TOTAL MARGIN REQUIREMENTOPTIONS 426,490.00 2,453,079.22 2,879,569.22 2,879,569.22
PENDING 53,700.00 5,821,946.00 5,768,246.00 5,768,246.00
TOTAL=8,647,815.22