Margin

Canadian Stock and Index Options Margin Requirements

FINRA and the NYSE have imposed rules to limit small investor day trading. Customers that these organizations classify as Pattern Day Traders are subject to Day Trading Restrictions for US Securities. Note that we use option margin optimization software to try to create the minimum margin requirement. However, due to the system requirements required to determine the optimal solution, we cannot always guarantee the optimal combination in all cases.

Note:

These formulas make use of the functions Maximum (x, y, ..), Minimum (x, y, ..) and If (x, y, z). The Maximum function returns the greatest value of all parameters separated by commas within the paranthesis. As an example, Maximum (500, 2000, 1500) would return the value 2000. The Minimum function returns the least value of all parameters separated by commas within the paranthesis. As an example, Minimum (500, 2000, 1500) would return the value of 500. The If function checks a condition and if true uses formula y and if false formula z. As an example If (20 < 0, 30, 60) would return the value 60.

Combination Type

The following table shows option margin requirements for each type of margin combination. Click a link below to learn more:

Long Call or Put
Short Naked Call
Short Naked Put
Covered Calls and Puts

Call Spread
Put Spread
Protective Put
Protective Call

Collar
Conversion
Reverse Conversion
Long Butterfly

Long Call or Put

Reg T Margin
Initial Margin	None. Long option cost is subtracted from cash.
Maintenance Margin	None.
Cash or IRA-Cash	None. Long option cost is subtracted from cash.

Short Naked Call

Reg T Margin
Initial Margin	Stock Options¹ Call Price + Maximum (((30% * Underlying Price) - Out of the Money Amount), 10% * Underlying Price) Index Options¹ Call Price + Maximum (((15% * Underlying Price) - Out of the Money Amount), 10% * Underlying Price)
Maintenance Margin	Same as Initial.
Cash or IRA-Cash	N/A

Short Naked Put

Reg T Margin
Initial Margin	Stock Options¹ Put Price + Maximum (((30% * (Underlying Price) - Out of the Money Amount), 10% * Strike Price) Index Options¹ Put Price + Maximum (((15% * (Underlying Price) - Out of the Money Amount), 10% * Strike Price)
Maintenance Margin	Same as Initial.
Cash or IRA-Cash	Aggregate Put Strike Price.

Covered Calls and Puts

Short an option with an equity position held to cover full exercise upon assignment of the option contract.

Reg T Margin
Initial Margin	Stock Initial Margin Requirement + In the Money Amount
Maintenance Margin	Same as Initial.
Cash or IRA-Cash	Covered Calls Stock paid in full Covered Puts N/A

Call Spread

A long and short position of equal number of calls on the same underlying (and same multiplier) if the long position expires on or after the short position.

Reg T Margin
Initial Margin	Maximum ((Strike Long Call - Strike Short Call), 0)
Maintenance Margin	Same as Initial.
Cash or IRA-Cash	Same as Initial if both options are European-style cash-settled Otherwise, N/A.

Put Spread

A long and short position of equal number of puts on the same underlying (and same multiplier) if the long position expires on or after the short position.

Reg T Margin
Initial Margin	Maximum (Short Put Strike - Long Put Strike, 0))
Maintenance Margin	Same as Initial.
Cash or IRA-Cash	Same as Margin Account Both options must be European style cash settled.

Protective Put

Long Put and Long Underlying.

Reg T Margin
Initial Margin	Initial Stock Margin Requirement
Maintenance Margin	Minimum (((10% * Put Strike Price) + Put Out of the Money Amount), Long Stock Maintenance Requirement)
Cash or IRA-Cash	N/A

Protective Call

Long Call and Short Underlying.

Reg T Margin
Initial Margin	If Trading Currency is CAD Minimum(Strike Long Call, Initial Stock Margin Requirement) If Trading Currency is not CAD Call Price + (30% * Underlying Price) + Minimum (Out of the Money Amount, (30% * Underlying Price))
Maintenance Margin	If Trading Currency is CAD Minimum(Strike Long Call, Maintenance Stock Margin Requirement) If Trading Currency is not CAD Call Price + (30% * Underlying Price) + Minimum (Out of the Money Amount, (30% * Underlying Price))
Cash or IRA-Cash	N/A

Collar

Long put and long underlying with short call. Put and call must have same expiration date, same underlying (and same multiplier), and put exercise price must be lower than call exercise price.

Reg T Margin
Initial Margin	Initial Stock Margin Requirement + In the Money Call Amount
Maintenance Margin	In the Money Call Amount + Minimum (((10% * Put Strike Price) + Out of the Money Put Amount), (30% * Strike Call))
Cash or IRA-Cash	N/A

Conversion

Long put and long underlying with short call. Put and call must have the same expiration date, underlying (multiplier), and exercise price.

Reg T Margin
Initial Margin	Initial Stock Margin Requirement + In the Money Call Amount
Maintenance Margin	In the Money Call Amount + (10% * Strike Price)
Cash or IRA-Cash	N/A

Reverse Conversion

Long call and short underlying with short put. Put and call must have same expiration date, underlying (multiplier), and exercise price.

Reg T Margin
Initial Margin	In the Money Put Amount + Initial Stock Margin Requirement
Maintenance Margin	In the Money Put Amount + (10% * Strike Price)
Cash or IRA-Cash	N/A

Long Butterfly

Two short options of the same series (class, multiplier, strike price, expiration) offset by one long option of the same type (put or call) with a higher strike price and one long option of the same type with a lower strike price. All component options must have the same expiration, same underlying, and intervals between exercise prices must be equal.

Reg T Margin
Initial Margin	None.
Maintenance Margin	Same as Initial.
Cash or IRA-Cash	None Both options must be European-style cash-settled.