|
|
 |
 |
| Outright Margins |
|
|
| |
Clearing Member/ Maintenance |
Member & Hedge Customer |
Non-Member Customer |
| 100% |
100% |
135% |
| All Months |
$2,200 |
$2,200 |
$2,970 |
|
| Intra-Commodity / Inter-Month Spreads |
|
|
| |
Clearing Member/ Maintenance |
Member & Hedge Customer |
Non-Member Customer |
| 100% |
100% |
135% |
| All Months |
$80 |
$80 |
$108 |
|
| Inter-Commodity Spreads |
|
|
| Spread |
Ratio |
Combined Full Margin |
Clearing Member/ Member/ Hedge Spread Credit |
Non-Member Spread Credit |
Percentage Credit of Total Outright |
| LK/HG |
11:5 |
$49,000 |
$4,920 |
$6,642 |
90% |
|
| Inter-Commodity Spreads |
|
|
| Spread |
Ratio |
Combined Full Margin |
Clearing Member/ Member/ Hedge Spread Credit |
Non-Member Spread Credit |
Percentage Credit of Total Outright |
| LK/LA |
2:1 |
$5,800 |
$1,160 |
$1,566 |
80% |
|
| Inter-Commodity Spreads |
|
|
| Spread |
Ratio |
Combined Full Margin |
Clearing Member/ Member/ Hedge Spread Credit |
Non-Member Spread Credit |
Percentage Credit of Total Outright |
| LK/LZ |
2:1 |
$7,400 |
$6,660 |
$8,991 |
10% |
|
| SPAN Parameters |
|
|
| Volatility Scan Range |
Extreme Move Value |
Extreme Move Coverage |
Short Option Minimum |
| 2.5% |
3 |
33% |
$10 |
|
|
|