User Help System
Calculating / Setting Option Limits
Risk controls allow setting long / short option limits, an optional setting. If limits are not set, trading may occur up to the specified futures long / short product limit and/or available credit.
Options are converted into futures equivalents by multiplying options quantity * delta.
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Example |
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Account: ABC Credit Limit: $5,000,000 Product: SOFR Futures Max Long Quantity Limit: 10,000 Max Short Quantity Limit: 10,000 |
Product: SOFR Options Max Long Quantity Limit: 20,000 Max Short Quantity Limit: 20,000 Avg. Maintenance Margin Rate: $600 |
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The order is entered as: Buy 10,000 SR3J3 94.95 Calls (1.55Δ) SR3J3 96.50 Puts (1.55Δ) Note: The example assumes there are no existing fills or orders for the account. |
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Futures |
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Max Qty Short Usage = Buy Puts (10,000*1.55) = 15,500 |
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Options |
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Max Qty Long Usage = Buy Call (10,000) + Buy Put (10,000) = 20,000 Max Qty Short Usage = 0 Margin Usage = 5,100 * $600 ($3,060,000) |
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| ClearPort Options | |
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Max Long Exposure Limit = Options bought (Call / Put) – Options Sold Max Short Exposure Limit = Options sold – Options bought |
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Account Credit Control Models
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Venue |
Account Credit Limit |
Futures Maximum Qty Long / Short |
Options Maximum Qty Long / Short |
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CME Globex - Inline Credit Controls (ICC) |
n/a |
Product Level in Contract Terms - Futures Position Limit See Example (below) |
Product Level in Contract Terms - Options (Delta Equivalent) Position Limit See Example (below) |
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CME Globex - CME Direct |
SPAN-Like Margin Calculation Model Futures and Options |
Product Level in Contract Terms - including Futures and Options (Delta Equivalent) Position Limit See Example (below) |
Product Level in Contact Terms - Options Position Limit See Example (below) |
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CME ClearPort |
SPAN (True) Margin Calculation Model Futures and Options |
Product Level in Contract Terms - including Futures and Options (Delta Equivalent) Position Limit See Example (below) |
Product Level in Contract Terms - Options Position Limit See Example (below) |
Product Position Limit Checking
ClearPort product position limit checking is an optional risk check, offered in addition to the mandatory credit limit check, that may be set for clearing and trading accounts. Product position limit checks operate on a current trading day basis with all account positions starting with a zero (flat) position each new trading day.
Separate Long / Short Position Limits may be set at the Future and Option Product Levels
A risk administrator can set position limits for Future (e.g. CL) and Option (e.g., LO) products with separate long and short position limits for each.
Example: A risk admin may set a long limit of 100 and a short limit of 120 for CL Futures, and the admin may set a long limit of 500 and a short limit of 525 for LO Options.
Both sets of limits may be set for a particular ClearPort clearing account or for a trading account (sub-account).
Futures Products
Position Limits on the Future Product Controls Delta Position that Result from both Futures and Options Trading
When calculating the future product’s position utilization or trading in futures and options for the future contribute to position utilization.
Example: A buy for 200 LO call options (CL is underlying future) with a .50 delta will contribute 100 to the CL long future position. If the same account sells 50 CL futures, the net position in CL futures will be long 50.
Futures General Equations
Where both Traded Long and Traded Short are represented in positive numbers
- Total Long Position Utilization in Future Product = ( Traded Long in Future + Traded Long (futures equivalent) in option on that future) - (Traded Short in Future + Traded Short (futures equivalent) in option on that future)
- Total Short Position Utilization in Future Product = (Traded Short in Future + Traded Short (futures equivalent) in option on that future) - ( Traded Long in Future + Traded Long (futures equivalent) in option on that future)
Futures Example
Consider the following trades in a ClearPort account:
- Trade: Trade: Bought 25 CLF25
- Trade: Bought 30 CLZ26
- Trade: Sold 15 CLZ25
- Trade: Sold 25 LOG24 75.00 Puts w/.50 delta (Futures Equivalent = Long 12.5 CL)
- Trade: Bought 350 LOF24 35.00 Puts w/.1 delta (Futures Equivalent = Short 35 CL)
- Trade: Sold 100 LOG24 70.00 Calls w/.75 delta (Futures Equivalent = Short 75 CL)
Total Long Utilization in CL Future = (25 + 30 +12.5) - (15 + 35 + 75) = -57.5 (short position)
Total Short Utilization in CL Future= (15 + 35 + 75) - (25 +30 + 12.5) = 57.5
*Will display as a 0 (zero) long position utilization on risk management user interface
Option Products
Position Limits on the Option Product Controls Net Options Bought or Sold (no delta or market direction is considered).
Options General Equations:
- Total Long Option Utilization = Total Options Bought (calls and puts) - Total Options Sold (calls and puts)
- Total Short Option Utilization = Total Options Sold (calls and puts) - Total Options Bought (calls and puts)
Options Example
Consider the following trades in a ClearPort account:
- Trade: Sold 25 LOG24 75.00 Puts w/.50 delta (Futures Equivalent = Long 12.5 CL)
- Trade: Bought 350 LOF24 35.00 Puts w/.1 delta (Futures Equivalent = Short 35 CL)
- Trade: Sold 100 LOG24 70.00 Calls w/.75 delta (Futures Equivalent = Short 75 CL)
Total Long Utilization in LO Option = 350 - (25 + 100) = 225
Total Short Utilization in LO Option = (25 + 100) - (350) = -225 (long position)
Will display as a 0 (zero) short position utilization on risk management user interface
