Rates & conditions

Forex Options Margin Requirements

Margin requirements for Forex Option positions take into account changes in:

• volatility
• spot price of the underlying asset
• open positions (that effectively reduce the risk associated with your Options positions).

The margins for Forex Options are also subject to a volatility factor that may increase the margin requirements. This factor will be more prominent the longer the expiry date for the Forex Option.

Margin Calculation Overview

The margin requirement for a Forex Option position consists of two components:

• Delta Margin which is related to the exposure to changes in the underlying Forex spot rate
• Vega Margin which is related to changes to the exposure in the volatility of the underlying Forex cross

The calculation for the margin requirement of a Forex Option position is:

MARGIN REQUIRED = DELTA MARGIN + VEGA MARGIN

Across all Forex products (including options), the margin rates for the first EUR 50,000 of investment collateral are 50% of the normal margin rates.

The calculation methodologies for the Delta Margin and Vega Margin components of the margin requirement for Forex Option positions are described in the appropriate tabbed sections above.

Sample calculations for a small portfolio of Forex Spot and Forex Option positions.