The margin requirement for options and futures is an amount of collateral blocked on your buying power in order to cover the premium margin, equal to the premium to buy back the options and/or futures plus the additional margin to cover potential loss on the following trading day in a worst-case scenario.

To be more specific, we define 3 types of margin:

• Applied margin: It corresponds to the margin based on the worst combination of open orders with the current position of the portfolio.
• Current position margin: It corresponds to the margin of all the portfolio positions.
• Expected margin: It corresponds to the margin if all the open orders are executed (including positions).

Example

Portfolio is composed of this position:

	Product	Type	Side	Quantity
Position 1	ODAX 11600P SEP5	PUT	SELL	2

And those open orders:

	Product	Type	Side	Quantity
Order 1	ODAX 11800C JUN5	CALL	BUY	5
Order 2	ODAX 12000C JUN5	CALL	SELL	5

Settlement price of DAX on the 03.06.2015 = 11'420.5 EUR

The margin required for this portfolio will be the maximum margin for these several combinations:

• Position 1 = 12'144.00 EUR (current position margin)
• Position 1 + Order 1 = 11'945.20 EUR
• Position 1 + Order 2 = 12'636.10 EUR
• Position 1 + Order 1 + Order 2 = 12'057.20 EUR (expected margin)

In this case, the combination, which requires the most margin, is Position 1 + Order 2. Order 1 is excluded as it would reduce the margin requirement.

So the applied margin will be 12'636.10 EUR