RSS Feeds
Product LoginThursday, October 18, 2012
Options Regulatory Alert #2012 - 9
Quarterly Margin Levels Remain Unchanged for Select Foreign Currency Options
Markets Impacted:Contact Information:
|
What you need to know:
|
|---|
What has been announced?
Margin levels will remain unchanged for foreign currency options, also known as PHLX Foreign Currency Options, effective immediately. The percentages are listed in the table below.
Margins applicable to foreign currency options are set quarterly by PHLX.
How are margin levels calculated?
Per Rule 721-Margin Accounts, PHLX calculates a separate margin requirement for each foreign currency individually across the various currencies.
PHLX determines the applicable margin percentage by reviewing, on a quarterly basis, five-day price changes comparing the base currency against the underlying currency over the preceding three-year period for each foreign currency pair underlying options traded on PHLX.
The minimum margin requirement will be set at a level that would have covered price movements over the review period at least 97.5% of the time (confidence level).
If the results of subsequent reviews show that the confidence level for any currency pair has fallen below 97%, PHLX will increase the margin requirement for that currency up to a 98% confidence level, and increase the monitoring of such currency pair.
PHLX will also review each currency pair for large price movements outside the margin level (extreme outlier test). In instances where there is a percentage price movement - positive or negative - that exceeds two times the current margin level, the margin requirement for that currency will be set at a level that would cover 99% of all price movements.
What are the margin levels?
| Currency | Percentage |
|---|---|
| Australian Dollar | 5.0% |
| British Pound | 3.0% |
| Canadian Dollar | 3.5% |
| Euro | 3.5% |
| Japanese Yen | 3.0% |
| New Zealand Dollar | 4.5% |
| Swiss Franc | 5.5% |
Where can I find additional information?
- Contact PHLX Listing Administration at +1 215 496 1266.
- Contact Transaction Services U.S. Market Sales at +1 800 846 0477.
Subscribe to Email Alerts:
NASDAQ OMX is offering customers the ability to self select news delivery across various NASDAQ OMX markets. Create and maintain a profile for updating alert preferences and contact information. Visit the enrollment form on the NASDAQ Trader website and sign up today! Please note that if you choose to unsubscribe from an email list, you may no longer receive potentially critical emails from the NASDAQ Stock Market regarding NASDAQ's trading and data products, regulatory issues or marketplace initiatives.
Please follow NASDAQ OMX on 
Facebook 
RSS and
Twitter.
About the NASDAQ OMX Group: The NASDAQ OMX Group, Inc. is the world's largest exchange company. It delivers trading, exchange technology and public company services across six continents, with more than 3,600 listed companies. NASDAQ OMX offers multiple capital raising solutions to companies around the globe, including its U.S. listings market, NASDAQ OMX Nordic, NASDAQ OMX Baltic, NASDAQ OMX First North, and the U.S. 144A sector. The company offers trading across multiple asset classes including equities, derivatives, debt, commodities, structured products and exchange-traded funds. NASDAQ OMX technology supports the operations of over 70 exchanges, clearing organizations and central securities depositories in more than 50 countries. NASDAQ OMX Nordic and NASDAQ OMX Baltic are not legal entities but describe the common offering from NASDAQ OMX exchanges in Helsinki, Copenhagen, Stockholm, Iceland, Tallinn, Riga, and Vilnius. For more information about NASDAQ OMX, visit www.nasdaqomx.com.
