Risk containment for index options: portfolio based margining, scenario based worst case loss and cash settled premiums with limits. A portfolio based margining regime requires Initial Margin calibrated to a one day Value at Risk and computed at the individual client level, with grossing at trading/clearing member level. Worst Scenario Loss is calculated by valuing portfolios under prescribed price and volatility scenarios using standard option pricing models and forms the primary margin requirement, supplemented by Calendar Spread Margin and a Short Option Minimum Margin on notional short exposures. Premiums are cash settled on T+1, unpaid premiums reduce liquid net worth in real time, futures mark to market remains cash settled, and position limits apply on a notional basis.
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Provisions expressly mentioned in the judgment/order text.
Risk containment for index options: portfolio based margining, scenario based worst case loss and cash settled premiums with limits.
A portfolio based margining regime requires Initial Margin calibrated to a one day Value at Risk and computed at the individual client level, with grossing at trading/clearing member level. Worst Scenario Loss is calculated by valuing portfolios under prescribed price and volatility scenarios using standard option pricing models and forms the primary margin requirement, supplemented by Calendar Spread Margin and a Short Option Minimum Margin on notional short exposures. Premiums are cash settled on T+1, unpaid premiums reduce liquid net worth in real time, futures mark to market remains cash settled, and position limits apply on a notional basis.
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