Chicago Board Options Exchange-Margin Manual

This manual has been developed by CBOE to assist the margin personnel of member firms as well as to serve as
a guide to all users of options. The requirements explained here are based on publication date rules and
regulations, and therefore, subject to change. This manual should be used as a reference document and is not
intended to be an all-encompassing restatement of Federal Reserve Board and Exchange margin rules. Persons
using this manual should be familiar with margin computational methods and procedures as well as the margin
requirements for all types of securities. Users contemplating margin account transactions are reminded that a
$2,000 minimum margin account equity is required to effect new securities transactions and commitments
[CBOE Rule 12.3(i)]. Further, broker-dealers require a minimum margin account equity well in excess of
$2,000 for uncovered, short option transactions. It should be emphasized that substitutions involving loan value
and non-loan value securities be given consideration with regard to the relative changes in an account’s maximum
loan value and debit balance rather than only to the proceeds of a sale.

INTRODUCTION .............................................................................. 3
INITIAL AND MAINTENANCE MARGIN REQUIREMENTS
Long Put or Long Call (9 months or less until expiration) ..................... 4
Long Put or Long Call (more than 9 months until expiration) ............... 4
Short Put or Short Call ..................................................................... 5-6
Short Put and Short Call ..................................................................... 6
Put Spread or Call Spread .................................................................... 7
Put Spread or Call Spread (cash account) .............................................. 8
Long Butterfly Spread ......................................................................... 8
Short Butterfly Spread ......................................................................... 9
Long Box Spread .............................................................................. 10
Short Box Spread .............................................................................. 10
Short Put and Short Underlying ........................................................ 11
Short Call and Long Underlying ................................................... 11-12
Short Call and Long Marginable Convertibles .................................... 12
Short Call and Long Marginable Stock Warrants ................................ 12
Long Put and Long Underlying ......................................................... 13
Long Call and Short Underlying ........................................................ 13
Conversion ....................................................................................... 14
Reverse Conversion ........................................................................... 14
Collar ............................................................................................... 14
FLEX OPTIONS
Put Spread or Call Spread ............................................................. 15-16
Short Put and Short Call ................................................................... 16
SAMPLE CALCULATIONS FOR OPTIONS
Equity Options ............................................................................ 17-20
Index Options ............................................................................. 21-23
Reduced-value Index Options ....................................................... 24-26
CAPS Options ............................................................................. 27-28
Interest Rate Options ................................................................... 29-31
Box Spreads and Butterfly Spreads ................................................ 32-36
Maintenance Margin for Hedged Underlying Positions .................. 37-40

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