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SPAN is a portfolio margining method that uses grid simulation. It calculates the likely loss in a set of derivative positions (also called a portfolio), and sets this value as the initial margin payable by the firm holding the portfolio. In this manner, SPAN provides for offsets between correlated positions and enhances margining efficiency.
For example, suppose a put option with a strike price of $100 for ABC stock is sold at $1.00 and a put option for ABC with a strike price of $90 is purchased for $0.50, and at the option's expiration the price of the stock or index is greater than the short put strike price of $100, then the return generated for this position is:
Portfolio margin is a risk-based margin policy available to qualifying US investors. The goal of portfolio margin is to align margin requirements with the overall risk of the portfolio. Portfolio margin usually results in significantly lower margin requirements on hedged positions than under traditional rules.
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For example, the delta of an option is the value an option changes due to a $1 move in the underlying commodity or equity/stock. See Risk factor (finance) § Financial risks for the market . To calculate 'impact of prices' the formula is: Impact of prices = option delta × price move; so if the price moves $100 and the option's delta is 0.05% ...
The trader will then receive the net credit of entering the trade when the options all expire worthless. [2] A short iron butterfly option strategy consists of the following options: Long one out-of-the-money put: strike price of X − a; Short one at-the-money put: strike price of X; Short one at-the-money call: strike price of X
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In finance, the expiration date of an option contract (represented by Greek letter tau, τ) is the last date on which the holder of the option may exercise it according to its terms. [1] In the case of options with "automatic exercise", the net value of the option is credited to the long and debited to the short position holders.
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