Naked Option Margin Calculator
Estimate margin required for selling naked options.
Definitions:
– Gross Maintenance Margin is your margin required
– Net Margin Required is your net cash required.
Broad based indexes use 15% vs 20% in the margin calculation
//
$optionProceeds = $optionPrice * 100.0 * $optionContracts;
$tenPercentOfUnderlying = 0.10 * $stockPrice * 100.0 * $optionContracts;
if ( $underlyingType == ‘i' ){
$twentyPercentOfUnderlying = 0.15 * $stockPrice * 100.0 * $optionContracts;
}
else {
$twentyPercentOfUnderlying = 0.20 * $stockPrice * 100.0 * $optionContracts;
}
$outOfMoneyAmount = 0.00;
if ( ($optiontype == ‘c' && $stockPrice < $optionStrike)
|| ($optiontype == ‘p' && $stockPrice > $optionStrike) ) {
$outOfMoneyAmount = 100.0 * abs($stockPrice) – $optionStrike * $optionContracts;
}
$case1 = $optionProceeds + $twentyPercentOfUnderlying – $outOfMoneyAmount;
$case2 = $optionProceeds + 10.0 * $optionContracts * $optionStrike;
if ( $case1 > $case2 )
$margin = $case1;
else
$margin = $case2;
$marginInitial = $margin – $optionPrice * 100.0 * $optionContracts;
/* debugging
echo ‘tenPercentOfUnderlying = ‘ . $tenPercentOfUnderlying . ‘
‘;
echo ‘outOfMoneyAmount = ‘ . $outOfMoneyAmount . ‘
‘;
echo ‘twentyPercentOfUnderlying = ‘ . $twentyPercentOfUnderlying . ‘
‘;
echo ‘margin = ‘ . $margin . ‘
‘;
echo ‘case1 = ‘ . $case1 . ‘
‘;
echo ‘case2 = ‘ . $case2 . ‘
‘;
*/
if ( $optiontype == ‘c' && $stockPrice > $optionStrike ) {
echo ‘
Call is in-the-money
‘;
}
else if ( $optiontype == ‘c' && $stockPrice < $optionStrike ) {
echo ‘
Call is out-of-the-money
‘;
}
else if ( $optiontype == ‘c' ) {
echo ‘
Call is at-the-money
‘;
}
else if ( $optiontype == ‘p' && $stockPrice < $optionStrike ) {
echo ‘
Put is in-the-money
‘;
}
else if ( $optiontype == ‘p' && $stockPrice > $optionStrike ) {
echo ‘
Put is out-of-the-money
‘;
}
else {
echo ‘
Put is at-the-money
‘;
}
echo ‘
Initial Margin
‘;
echo ‘
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echo ‘
| $' . number_format($margin, 2, ‘.', ‘,') . ‘ | Gross Maintenance Margin |
| -$' . number_format($optionPrice * 100.0 * $optionContracts, 2, ‘.', ‘,') . ‘ | Proceeds from sale of short options |
| $' . number_format($marginInitial, 2, ‘.', ‘,') . ‘ | Net Margin Required |
‘;
}
?>
