Option Strategy-based Margin Rules And Position Optimization

Margin rule is important in the financial derivatives market.Derivative trading bases on credit, while margin is the credit guarantee,is also the ef-fective tool of protecting healthy development of the market. There are many margin modes, such as traditional mode,Strategy margin mode, Delta mode, Span, TIMS, STANS and so on. What we care about is the Strategy margin rule, which based on traditional mode.At the beginning of the development of options, the traditional mode is widely accepted, which is based on a single contract. The main principle is to cover the biggest risk of next trading day. That’s also to cover the limit of rise and fall. Our country is using this mode. Strategy margin mode bases on position features and a series of options trading strategy to calculation margin level. Usually, exchange announces a series of commonly used options trading strategy in advance. And according to the listed options strategies gives the corresponding margin level. The risk between contracts can be cut to each other, which comply with these trading strategy options. Delta mode bases on the inherent contact between options and futures. Option contracts convert into corresponding futures contracts through delta, and calculate margin level. SPAN mode bases on the risk characteristics of the portfolio. It can estimates contract risk with holding futures, options at the same time. Most of exchanges use this mode. TIMS mode mainly for stocks and market index of derivatives, which used in the settlement institutions and based on the portfolio. STANS are improved versions of TIMS mode. It assesses risk at portfolio level. SPANS analysis the internal relationship between all of the assets portfolio.In the early development of our country’s options, traditional margin mode can ensure the steady development of options market security and op-tions. Margin level determined by this mode and the real risk level are not consistent. Some of investors’positions can be combined into different trad-ing strategies, and the risk of options in these strategies can be offset. The traditional mode bases on a single contract, overestimates the overall risk of option positions. With the development, traditional mode will be improved, and the strategies margin mode will be used.In this article, we analysis different margin modes first, and acknowledge the characters of these modes. In detail, this paper introduces several kinds of common margin design principle of various kinds of strategy. Taking an example of 50 ETF, we compare the single contract margin level and strategy margin level. Last but not least, optimize positions for take up the smallest margin.This paper is divided into four chapters to discuss.In chapter 1, introduce the research background, meaning and purpose of margin rule, and introduce the research condition of china and abroad.In chapter 2, analysis the design principles and characteristics of different margin modes. Discuss the rationality of using strategy margin rule at the present stage.In chapter 3, learning from the experience of CBOE and the Taiwan fu-tures exchange, introduce the margin rules of different strategies in detail.In chapter 4, optimize the portfolio positions using the strategy mar-gin rule and multivariate linear programming. Evidence-based analysis the amount of margin can be released.