nzfox: Initial Margin Rates

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Margins

Initial Margin Rates

This page outlines the initial margins and SPAN* parameters for the FoX15 futures and NZFOX share options contracts, with worked examples describing how SPAN margining works for NZFOX share options.

Initial margins and SPAN parameters

Contract Name	PriceScan Range per lot	Inter month Spread Charge	Volatility Scan Range(%)	Short Option Minimum
NZSX 15 Index Futures Contract (FoX15)	$770	$200
NZFOX Contact Energy Share Options	$200	$100	1.5%	$10
NZFOX Fletcher Building Share Options	$180	$90	1.5%	$10
NZFOX Telecom Corporation of New Zealand Share Options	$160	$80	1.5%	$10
NZFOX The Warehouse Group Share Options	$220	$110	1.5%	$10

SPAN inter-commodity concessions

Contracts	Delta Spread Ratio	Credit per Leg of Spread
FoX15: NZFOX CEN Share Options	1 : 9	50%
FoX15: NZFOX FBU Share Options	1 : 10	50%
FoX15: NZFOX TEL Share Options	1 : 9	50%
FoX15: NZFOX WHS Share Options	1 : 10	50%

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