The following margin estimator may be used to calculate the theoretical fair value for options and estimate margins required by ASX Clear for short option positions:
ASX Clear uses CME-SPAN margining methodology to calculate margins. For details regarding the calculations involved in SPAN margining, please refer to ASX Clear Margining.
To calculate theoretical option prices select the stock and option using the tool - don't enter a quantity - press calculate and theoretical price ($) will update. Underlying price, dividend amounts, and volatility can all be changed to update theoretical price.
To calculate margins either select stocks and options manually using the tool or load a csv file populated with ASX option codes and number of contracts held. For short options please add a minus sign in front of the number. Please review the sample csv file for format required.
The calculations provided by the margin estimator are estimations only. The margin indicated by the margin estimator can be expected to differ from margin determined by ASX Clear on option positions, including having regard to differences in end of day settlement pricing used to determine margin requirements. In addition your broker may require higher margins than the minimum required by ASX Clear. It is recommended that you speak with your broker regarding their margin policy.
Any questions regarding this tool should be directed to firstname.lastname@example.org or call 131 ASX (279)