As you can see, the change in the underlying contract will now create a ripple effect using several scenarios and bond interplay requirements.
CME Group: updated performance bond requirements
The CME Group has issued its performance bond requirements, which will be effective after close of business today. In this advisory, the CME says there are changes to the Short Option Minimum and/or Volatility Scan Range.
The Short Option Minimum (SOM) is a charge that is applied only to portfolios concentrated in short options that do not generate a minimum margin requirement level when margins are calculated using the normal 16 SPAN scenarios.
The SOM charge per short calls or short puts is a percentage of the outright margin on one underlying futures contract. The volatility scan range is the change in implied volatility that is used in each of SPAN’s 16 scenarios. The following products below have changes to the splitting methodology applied, as specified within this Advisory:GX - European Low Sulphur Gasoil Financial Futures GZ and European Low Sulphur Gasoil Brent Crack Spread Futures.
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