Margin Requirement Calculation - KT ZMICO

Margin Requirement Calculation

 Margin Requirement is equivalent to the Summary of Margin Requirement for each
underlying

Margin Requirement = Summary of Margin Requirement for Each Underlying

In case of there is only long options for each of the underlying asset in the portfolio. The
marginal requirement is no needed. Or else the calculation will be as shown below

 Initial Margin Requirement for each of the underlying can be calculated as the following
a) [Initial Margin Multiplier] * [Risk Margin] - [Net Option Premium]

b) [Initial Margin Multiplier for Futures Only] * [Risk Margin for Futures Only]

c) [Initial Margin Multiplier] * [Risk Margin without long Option] - [Net Options Premium
without long Option]

d) [Initial Margin Multiplier under TFEX rule] * [Risk Margin] - [Net Option Premium]

In case of
1. The figure in (a) is not greater than in (b) then (b) will be used
2. But if the figure in (a) is greater than in (b). The figure in (a) will be brought to

compare with the figure in (c) in order to find out further
i. If the figure in (a) is not greater than in (c). Then the figure in (a) will be used
ii. But if the figure in (a) is greater than in (c). The greater figure will be selected

to compare in the between (c) and (d)

Notice :
IMR = if ([a] <= [b]) use [b] else if [a] <= [c] use [a] else use max ([c], [d])

[a] [Initial Margin Multiplier] * [Risk Margin] - [Net Option Premium]
[b] [Initial Margin Multiplier for Futures Only] * [Risk Margin for Futures Only]
[c] [Initial Margin Multiplier] * [Risk Margin without long Option] - [Net Options Premium

Without long Option]
[d] [Initial Margin Multiplier under TFEX rule] * [Risk Margin] - [Net Option Premium]

 Maintenance Margin Requirement for each of the underlying asset is the comparison in the
between

MMR = Max ([Maintenance Margin Multiplier] * [Risk Margin] - [Net Option Premium],
[Maintenance Margin Multiplier for Futures Only] * [Risk Margin for Futures Only])

 Risk Margin

Risk Margin = Max (Risk Part Minimum Short Options Part
 Risk Margin with Futures Position only

Risk Margin with Futures Position Only = Risk Part with Futures Position Only
 Risk part

Risk Part = [Scanning Risk] + [Inter-month Spread Charge] + [Delivery Month Charge] – [Inter-
Commodity Spread Credit]

 Intra Force Close Margin Requirement

Intra Force Close Margin Requirement = Max (Intraday Force Close Margin Multiplier * Risk Margin
– Net Option Premium)

The Calculation of Scanning Risk

 Scanning Risk the probability of the maximum loss that could possibly occur with inn the
particular period of time under 16 scenarios

Case Description Case Description
1 Price no change Volatility up 9 Price Down 2/3 Range, Volatility up
2 Price no change Volatility down 10 Price Down 2/3 Range, Volatility down
3 Price up 1/3 Range, Volatility up 11 Price up 1 Range, Volatility up
4 Price up 1/3 Range, Volatility down 12 Price up 1 Range, Volatility down
5 Price down 1/3 Range, Volatility up 13 Price down 1 Range, Volatility up
6 Price down 1/3 Range, Volatility down 14 Price down 1 Range, Volatility down
7 Price up 2/3 Range, Volatility up 15 Price extreme up
8 Price up 2/3 Range, Volatility down 16 Price extreme down

Range which will take for an account come from Outright Margin divided by Multiplier of each of
the underlying asset

 Inter-month Spread Charge: the spread which consider from the less amount of marginal
requirement for Long and Short position in each of the underlying asset multiply with Spread
margin

 Delivery Month Charge: the amount of money required for each of the underlying asset of
physical deliver

 Inter-commodity Spread Credit: the discount for the marginal requirement for those holding
position related to several underlying assets in the portfolio

Margin Requirement of future contracts (Margin Rate) is in accordance with the clearing house
company (Thailand) Co Ltd.

Risk Multiplier Multiplier
Retail Institution
Margin 1.90 1.35
1.33 1.00
Initial Margin 0.57 N/A
Maintenance Margin
Force Close Margin