The margin requirements for a short straddle/strangle is the greater of the two sides' short uncovered margin requirement plus the premium of the other leg.  

  

*The premium received from the sale of the strangle may be applied to the initial margin requirement.  

  

Example:

  

With the underlying at $45,  

  

Sell to open 1 Mar 47 call at $2.10  

  

Sell to open 1 Mar 43 puts at $1.20  

  

Call side margin  

  

[((.20 x 45) - 2) + 2.10] x 1 x 100 = $910

  

Or  

  

[(.10 x 45) + 2.10] x 1 x 100  = $660 

  

Put side margin  

  

[((.20 x 45) - 2) + 1.20] x 1 x 100  = $820

  

Or  

  

[(.10 x 43) + 1.20] x 1 x 100  = $550

  

$910 is highest margin requirement of either side. This makes the total margin requirement $1,030 since the premium from the put side ($910 + $120) must be added to the requirement.  

  

The maintenance requirement for a short straddle will be calculated using the same formula. 


To view the maintenance requirement for a short call click here. To view the maintenance requirement for a short put click here.