Margins

ASX Clear

Before you begin

This booklet explains how ASX Clear calculates margins for options traded on ASX’s
option market. You should note that brokers’ margins may be different from ASX
Clear. This is explained further on page 3. Simply stated, margins serve to protect
the integrity of ASX’s options market. As not all options transactions involve margin
payments this booklet explains when they are required, how they are calculated and
what collateral ASX Clear will accept to cover margin obligations.

This booklet assumes that you have a basic

understanding of the workings of ASX’s options market.
What are margins?
You may also find Understanding Options Trading and the Definition: a margin is the amount calculated by ASX
LEPO Explanatory Booklet helpful. Copies can be obtained Clear as necessary to cover the risk of financial loss
free from our website at www.asx.com.au/resources/ on an options contract due to an adverse market
publications/booklets.htm or by contacting ASX or movement. Simply put, the minimum level of cover
your broker. The terminology associated with margins required to cover margin obligations is the liquidation
is explained in the Glossary of Terms on page 21. value of your option contracts.
Throughout this booklet examples are used to explain how
the margining system works. All examples assume an
option contract size of 100 shares and, for simplicity of
explanation, ignore exchange fees or commissions that
may also be payable. Examples are provided for illustrative
purposes only and may not reflect current market levels

1
When are margins If the market rises, your written call option could be
exercised. If this happens you would have to sell 100

paid? BLD shares to the taker at $4.00 each. If you did not
already own these shares you would have to buy them at
the current market price but deliver them to the taker for
$4.00, possibly incurring a loss.
If you only buy options, then
The primary objective of requiring margin cover is to
margins are not payable. It is ensure that options positions can be liquidated (closed
when you write options that out) and the obligation removed. On the other hand, if you
are the taker of a BLD $4.00 call option you would not be
margins may be payable. required to meet any margins. This is because you have
no obligation to buy the BLD shares. In buying the option
Margins are paid to cover your obligations to your broker you would have already paid a premium to the writer for
(Clearing Participant). Brokers in turn pay these margins the right to buy the BLD shares. This premium represents
to ASX Clear. ASX Clear recalculates margins intraday your total outlay unless you decide to exercise your option,
and at the end of each day to ensure an adequate level in which case you would be required to buy the 100 BLD
of margin cover is maintained. ASX Clear then debits shares at the exercise price of $4.00. Normally you
or credits your account with your broker according would only want to do so if the market price was above
to whether your margin obligation has increased or $4.00 at the time you decide to exercise.
decreased. Where there is a shortfall in your account
you will usually be required by your broker to pay margins Put options
within 24 hours. When an obligation to the market no
Like the writer of a call option, the writer of a put option
longer exists, all margin amounts are credited back to
has a potential obligation if the taker of the put decides to
your account with your broker.
exercise their right to sell the underlying securities. For
For example, the writer of a call option would be required example, say you are the writer of a Woolworths (WOW)
to add to their margin cover if the share price moved up October $12.00 put option. You have the obligation to buy
from its current level. This is because the writer has a 100 WOW shares at $12.00 if the taker exercises their
larger potential obligation under the option contract and right to sell.
may need to buy shares in order to deliver them at the
In return for taking on the obligation to buy 100 WOW
exercise price. If the share price falls, the writer’s margin
shares at $12.00, you will receive the option premium.
obligations would be reduced. Potential obligations arise
In our example, the option premium is $0.35 per share
from:
or $35 (35 cents x 100 shares) per WOW contract. To
• written call option contracts; ensure you can meet your potential obligations you will
be required to lodge margin cover. On the other hand, if
• written put option contracts; and
you are the taker of a WOW October $12.00 put option
• both taken and written LEPO positions. you will have to pay the premium of $35 to the writer.
• ASX Equity OTC Clear products. As the taker you have the right to sell the WOW shares
• all other ASX Clear derivatives products. at $12.00. In summary, writers of call and put options
are required to lodge margin cover because of their
obligations which arise from writing options.
Please note that margin obligations apply to these
situations in isolation. If you establish certain types of
LEPOs
option strategies, the margin obligations may be reduced
because some positions may offset other positions. When you buy an ordinary exchange traded option you
are required to pay the entire option premium up front.
However, when you buy a LEPO, the initial amount you pay
Written calls and puts
is only a small fraction of the full premium. Therefore ASX
Option writers have a potential obligation to the market
Clear requires the taker as well as the writer of a LEPO
because the taker of the option may decide to exercise
to lodge margin cover. Takers of LEPOs are margined
their position.
because they have an outstanding obligation to pay the
balance of the premium to the writer. Writers of LEPOs,
Call options like writers of ordinary exchange traded call options, may
For example, say you are the writer of a Boral Ltd (BLD) suffer losses if the underlying security rises in value, and
November $4.00 call option and the BLD share price therefore writers of both LEPOs and ordinary exchange
is $4.10. In writing the position you receive the option traded call options are required to lodge margin cover. A
premium and have an obligation to sell 100 BLD shares full explanation of the margining process for LEPOs can be
at $4.00 per share if the taker of the option exercises found on page 10.
their right.
2
How can margins be How are margins
met? calculated?
Margin obligations are calculated at the end of trading Standard Portfolio Analysis of Risk (SPAN) v4.0 arrives at
each day and ASX Clear notifies each broker of the a margin by calculating two margin components for each
margin obligations for each of that broker’s accounts early position: the premium margin and the SPAN requirement
the next trading day. As the broker is responsible for the (also called initial margin). The sum of these is the Total
margin obligations to ASX Clear, it is the broker who has requirement.
the legal obligation to settle with ASX Clear. Each broker’s
total margin obligations must be lodged with ASX Clear The SPAN requirement contains further charges and
by 11.00 am the same day and intraday margins must concessions which make up the following formula:
be met within 2 hours of the call. To enable the broker
SPAN requirement = Max(Scan Risk + Intra-
to settle their daily margin obligations with ASX Clear
commodity Spread Charge + Delivery Risk – Inter-
the broker will generally ensure that their clients have
commodity Spread Credit, Short Option Minimum).
deposited cash or collateral, such as securities or bank
guarantees. These components will be explained in detail further on in
this document.
Margins from your broker may be different
By using a set of pre-determined parameters set by ASX,
to asx Clear
SPAN assesses what the maximum potential loss will be
ASX Clear’s margining method calculate the margins for a portfolio of derivative and physical instruments over
required from your broker (Clearing Participant). Your typically a one-day period. The gains and losses that the
broker’s margin requirements for your account may portfolio would incur under different market conditions are
be different to those of ASX Clear if your broker uses computed.
a different margining standard to ASX Clear. The
explanations throughout this booklet apply where your In its simplest form, SPAN can be considered as a risk
broker adopts the same margining as ASX Clear. based portfolio approach system for calculating initial
margin requirements. SPAN uses risk arrays, which
Cash is a set of numeric values that specify if a particular
A broker may require you to provide cash to enable the contract will gain or lose value under different conditions
broker to meet their margin obligations to ASX Clear. (risk scenarios). The value for every risk scenario
symbolises the gain or loss for that contract for a certain
combination of volatility change, price (or underlying price)
Collateral
change, and decrease in time to expiration.
In addition to, or as an alternative to cash, you may wish,
(subject to your broker and/or ASX Clear agreeing), to The minimum level of cover required to cover margin
provide certain types of collateral. obligations is equivalent to the liquidation value of your
option contracts.
ASX Clear accepts your collateral as a third party, as
you are providing it to ASX Clear as security for your For example, if the market value of an option contract
broker’s margin obligations to ASX Clear. Your broker may is $0.38, the writer would be required to lodge at least
allow you to provide collateral which is different to what $38 ($0.38 x 100 shares per contract) as margin
ASX Clear will accept. You should check what collateral cover. However, this does not take into consideration the
your broker will accept. In addition, in the event that possibility of inter-day price movements.
your broker’s margin obligation is less than the value
of collateral which ASX Clear requires at any particular Generally only one margin call is made each day. However,
time, your broker may (subject to your instructions) hold if the market moves strongly up or down, ASX Clear may
on to that surplus or return it to you. You should check call for extra margin cover to be lodged during the day
what your broker’s practices are, as different brokers use (i.e. an intra-day margin call) to cover changes in value of
different practices. the underlying securities.

Details of eligible collateral are published on the ASX Software is available for purchase from CME that
website at www.asx.com.au/products/options/trading_ offers margin calculation, the ability to load daily SPAN
information/eligible_collateral.htm risk parameters and define portfolios. The software is
available at the following link:

http://usd.swreg.org/com/storefront/47151/
product/471511

3
Calculating the premium margin SPAN requirements are offset between Series
CME SPAN calculates the SPAN requirement for each
position by adding the risk arrays that SPAN produces.
The premium margin (also referred to as available net The risk arrays are then applied to the portfolio of
option value) is the market value of the particular position positions, with profits and losses being aggregated by
at the close of business each day. For example, if an scenario. The largest loss (represented by a positive
option is valued at $0.35 at the close of business on day value) across the 16 scenarios becomes the scan risk
1, the premium margin component of the total margin for that portfolio. A further explanation of this process is
requirement the following day would be $35 per contract. provided further on in this document.
At the end of day 2, if the option is valued at $0.45
the premium margin component of the total margin The below table illustrates the risk arrays for the portfolio
requirement the following day would be $45 per contract. of positions listed above.
At the end of day 3, if the option is valued at $0.40,
the premium margin component of the total margin
requirement the following day would be $40 per contract. 1 Written 1 Taken 2 Written 1 Taken
Scenario Scenario BHP Aug BHP Aug BHP Sep BHP Oct Scenario
This is summarised in the table below: Type $31.50 Call $32 Put $31 Put $31 Call Total

Underlying
Day 1 2 3 4 equity price
down 3/3
Option market value $0.35 $0.45 $0.40 $0.36 range;
Volatility up;
Market value per contract $35 $45 $40 $36 time reduced
Premium margin $35 $45 $40 $36 13 by 2 days $-79.82 $-130.89 $215.06 $95.19 $99.54

PREMIUM MARGIN+ SPAN REQUIREMENT = TOTAL

The SPAN requirement for this portfolio would therefore be
REQUIREMENT
$99.54.

Premium margin calculations for single security

For a call option writer, the worst
portfolios
case scenario would arise if the As mentioned earlier the premium margin is based
on the current market value of the position. Where a
market rose...for the put option portfolio has both long and short positions over the same
writer, the worst case scenario underlying security the premium margin is calculated by
subtracting the market value of the long positions from the
would arise if the market fell. market value of the short positions. In other words, the
net premium margin is obtained by subtracting the taken
A Single Security Portfolio positions from the written positions. For example, using the
above portfolio, there are two written BHP options and two
Below is an example of a single security portfolio and the
taken BHP options so the premium margin from the taken
margin that would be applied.
positions will serve to reduce the premium margin on the
written positions and vice versa.
IN THE ACCOUNT ARE CURRENT
THE FOLLOWING POSITION MARKET VALUE POSITION CURRENT PREMIUM
PRICE MARGIN
1 Written BHP August 12 $31.50 Call $1.07
1 Written BHP Aug 12 $31.50 Call $1.07 -$107 dr
1 Taken BHP August 12 $32 Put $0.91
1 Taken BHP Aug 12 $32 Put $0.91 $91 cr
2 Written BHP September 12 $31 Put $1.015
2 Written BHP Sep 12 $31 Put $1.015 -$203 dr
1 Taken BHP October 12 $31 Call $1.83
1 Taken BHP Oct 12 $31 Call $1.83 $183 cr

TOTAL $36 dr
SPAN Requirement calculations for single security
portfolios
Firstly, SPAN uses the price scan range to calculate the
maximum probable interday rise and fall in the underlying
security. That is, if the price scan range for BHP is 6%,
then CME SPAN calculates the risk arrays based on the
movement in BHP shares.
4
In this example the total premium margin would be $36 SPAN combined commodity evaluations
dr. Note that while a net written position (i.e. where
SPAN assesses what the maximum potential loss will be
the end result is unfavourable) is margined, a net taken
for a given combined commodity which is a portfolio of
position (i.e. where the end result is favourable) is not
instruments over the same underlying instrument. For
margined.
each combined commodity, SPAN evaluates:
This is because the value of your bought option contracts
• T
 he scan risk – the basic evaluation of risk replicating
is enough to offset the obligations arising from any sold
how positions will gain or lose value under particular
option contracts.
combinations of price and volatility movement

Total margin payable for single security portfolios • T

 he intracommodity spread charge – risk levels related
Following on with the BHP portfolio example to particular patterns of calendar spreading

the total requirement will be: • D

 elivery risk – risk related to positions in physically-
deliverable products as they approach or enter their
SPAN requirement $99.54
delivery period
Premium margin $36
• T
 he intercommodity spread credit – reductions to
Total requirement $135.54
risk associated with risk offsets between associated
products
Please note the example used ignores other SPAN
• S
 hort option minimum - an evaluation of the irreducible
parameters including volatility risk. A further explanation
minimum risk related to portfolios of deep out-of-the-
of the impacts other parameters have on margins is
money short option positions
discussed further on in this document.
• F
 or each combined commodity in the portfolio, SPAN

Calculating the SPAN takes the sum of the scan risk, intracommodity spread
charge and delivery risk, deducts the intercommodity

requirement spread credit, and takes the greater of this result and
the short option minimum. The resulting value is the
SPAN requirement (also known as initial margin).
SPAN parameters
ASX has determined the following SPAN parameters, SPAN margin example (ASX equity options)
which mirrors ASX’s, preferred degree of risk coverage:
An example of the SPAN calculation is provided in the
• P
 rice scan ranges – the maximum price movement following sections. The example is based on a hypothetical
realistically likely to take place, for each instrument or, portfolio of equity options and set of margin rate
for options, their underlying instrument assumptions (Appendix I). The example illustrates in detail
each of the major SPAN calculations applicable to equity
• V
 olatility scan ranges – the maximum change options, including the scan risk, intercommodity spread
realistically likely to take place for the volatility of each credit and short option minimum.
option’s underlying price
SPAN evaluates the basis risk between contract periods
• Intracommodity spreading parameters – rates and with different expirations within the same product.
rules for evaluating risk among portfolios of closely Given the nature of a portfolio consisting solely of equity
related products option contracts as outlined in the sample portfolio in
Appendix I, intra-commodity spread charges do not
• Intercommodity spreading parameters – rates and
apply. This is because the intracommodity spread
rules for evaluating risk offsets between related
charge is based on equivalent units in the underlying
products
equity, where the equity does not have an expiration
• D
 elivery (spot) risk parameters – for evaluating the date. It should be noted however that if a portfolio were
increased risk of positions in physically-deliverable to consist of a combination of low exercise price options
products as they approach or enter their delivery (LEPO) and ordinary options on the same equity, that an
period intracommodity spread charge may apply. This is because
the LEPO is treated like a futures contract in SPAN,
• S
 hort option minimum parameters – rates and rules to so that a series of LEPOs on the same equity will have
provide coverage for the special situations associated different expirations and potentially varying levels of risk
with portfolios of deep out-of-the-money short option for each expiry.
positions

5
The delivery risk charge is used to account for risk Combined Volatility Upside Downside Worst
associated with positions in physically-deliverable products Commodity Risk Price Price Case
as they approach or enter their delivery period. Given Risk Risk
the nature of a portfolio consisting solely of equity option
BHP $0.58 cr $283.23 dr $76.42 cr $283.23 dr
contracts, as outlined by the sample portfolio in Appendix
(scenario 11)
I, delivery risk does not apply. This is because delivery
risk is based on equivalent units in the underlying equity, RIO $1.08 dr $313.07 dr $95.29 cr $313.07 dr
(scenario 11)
where the equity does not have an expiration date.
CBA $2 dr $107.61 cr $306.65 dr $306.65 dr
It should be noted that the example does not demonstrate (scenario 13)
all SPAN functionality (e.g. the application of scanning
based intercommodity spread credits, etc.). However, the
example demonstrates the functionality appropriate for The largest loss for both BHP and RIO combined
margining ASX Clear equity options. commodities is based on the market scenario where the
underlying price increases by the full price scanning range
Note: the conventions relating to currency and rounding (BHP and RIO equity prices increase by 6%), the volatility
demonstrated in this example may differ to the increases by the full volatility scanning range (implied
conventions used by ASX in determining actual margin volatility of BHP and RIO options increase by 2%) and time
requirements. to expiry of the BHP and RIO options decrease by 2 days.

SPAN margin example - Scan risk The largest loss for CBA on the other hand is based
on the market simulation where the underlying price
SPAN risk arrays represent a contract’s hypothetical
decreases by the full price scanning range (CBA equity
gain/loss under a specific set of market conditions from
price decreases by 3%), the volatility decreases by the full
a set point in time to a specific point in time in the future.
volatility scanning range (implied volatility of CBA option
Risk arrays typically consist of 16 profit/loss scenarios
decreases by 2%) and time to expiry of the CBA option
for each contract. The standard SPAN risk array
decreases by 2 days.
structure, also used by ASX Clear, is outlined in Appendix
II.
Combined Commodity Scan risk
Each risk array scenario is comprised of a different
BHP $283.23 dr
market simulation, moving the underlying price up or
down and/or moving volatility up or down. The risk array RIO $313.07 dr
representing the maximum likely loss becomes the scan CBA $306.65 dr
risk for the portfolio.

A sample set of margin rates, and a portfolio, are The above scan risk estimates represent the maximum
provided in Appendix I. These are used here to illustrate likely loss over 2 days for each combined commodity.
the calculation of scan risk. The scan risk at this stage does not account for any
possible offsets between these combined commodities
The results from applying the 16 profit and loss scenarios and, if appropriate, will be reflected by a concession in the
are summarised below and also provided in detail in calculation of the intercommodity spread credit.
Appendix II.

6
SPAN margin example - Intercommodity Spread Priority 2
spread credit The second priority indicates a concession of 47% is
SPAN evaluates whether a credit is applicable for available for spreads between BHP and CBA. As the net
positions in related instruments. The calculation of the delta for BHP is net short -1.2363 and the net delta for
delta based1 intercommodity spread credit considers the CBA is net long 1.9919, there are on a 1 to 1 basis,
weighted futures price risk (WFPR), delta per spread ratio 1.2363 spreads available for a concession.
(DPSR), number of spreads formed and the concession
Priority 2 BHP Concession = $230.88 x 1.2363 x 1 x
rate.
47% = $134.16
An example, based on the portfolio and margin rates
Priority 2 CBA Concession = $153.96 x 1.2363 x 1 x
provided in Appendix I, is outlined below. A summary of
47% = $89.47
the net delta and weighted futures price risk is provided
here, with further detail of these calculations provided in Spread Priority 3
Appendices IV and V respectively.
The final concession available is between CBA and RIO and
offers a credit of 33%. The portfolio is net long 1.9919
Combined Net WFPR
CBA, however given 1.2363 net delta has already been
commodity Delta used for the BHP and CBA spread, only 0.7556 is
BHP -1.23630 $230.88 available for the CBA and RIO spread. As such, 0.7556
spreads are available for a concession, on 1 to 1 basis.
RIO -0.8668 $360.14

CBA 1.9919 $153.96 Priority 3 RIO Concession = $360.14 x 0.7556 x 1 x

33% = $89.80

The concessions are provided in priority order as defined Priority 3 CBA Concession = $153.96 x 0.7556 x 1 x
in Appendix I and once net delta has been used to form 33% = $38.39
spreads in a higher priority order concession, the net
The concessions for each priority are then aggregated for
delta is no longer available to form other spreads in lower
each combined commodity, to arrive at concession for the
priority order concessions. Note that the priority of
combined commodity.
spreads will typically be ordered so that spreads with the
largest concessions are given the highest priority. The
Combined commodity Concession
concession can be calculated as:
BHP $134.16
WFPR x Number of spreads formed x DPSR x
concession rate Priority 1 Concession $0.00

Priority 2 Concession $134.16

Spread Priority 1
Priority 3 Concession $0.00
Starting with the first priority concession in Appendix

I, spreads between BHP and RIO will receive a 55%
concession. The concession definition requires net delta RIO $89.80
of BHP and RIO to be on opposite sides (i.e. long BHP Priority 1 Concession $0.00
and short RIO or short BHP and long RIO). However given
Priority 2 Concession $0.00
that the net delta for BHP and RIO are both net short
(referring to the table above, BHP net delta is -1.23630 Priority 3 Concession $89.80
and RIO net delta is -0.8668) no spreads are formed for
this spread and therefore no concession is available.
CBA $127.86
Priority 1 BHP Concession = $230.88 x 0 x 1 x 55% = Priority 1 Concession $0.00
$0.00
Priority 2 Concession $89.47
Priority 1 RIO Concession = $360.14 x 0 x 1 x 55% = Priority 3 Concession $38.39
$0.00

1
SPAN provides two approaches in calculating intercommodity spread credits: 1) delta based and 2) scanning based
7
SPAN margin example - Short option The short option minimum is calculated, for each
minimum combined commodity, by charging each short option
the corresponding short option minimum charge. In the
Deep out-of-the-money short options may show zero or
case of options on equities, given that short calls and
minimal scan risk given the price and volatility moves in
short puts on the same underlying equity cannot be
the 16 market scenarios. However, in extreme events
simultaneously deep-out-of-the-money, the maximum of
these options may move closer to-the-money or in-the-
the number of short put option contracts and short call
money, thereby generating potentially large losses. To
option contracts is used in the calculation.
account for this potential exposure, short option minimum
can be set for each product. If the scan risk is lower than Using the portfolio and margin rates outlined in Appendix
the short option minimum then the short option minimum I, the number of short option contracts used in the
is charged. calculation of the short option minimum is provided below.

Combined Number Number Number Number

Commodity of Contracts of short calls of short puts of short
options for SOM

BHP 2 2 0 2

BHP Aug 12 $31.50 Call -1

BHP Oct 12 $30.50 Call -1

RIO 2 1 0 1

RIO Aug 12 $56.00 Put 1

RIO Aug 12 $58.00 Call -1

CBA 3 0 2 2

CBA Aug 12 $53.00 Call 1

CBA Nov 12 $54.00 Put -2

The number of short option contracts for each combined commodity is then charged the short option minimum
charge, to arrive at a short option minimum for each combined commodity.

Combined Number Short Option Short Option

Commodity of Short Options Minimum Charge Minimum

BHP 2 $0.50 $1.00

RIO 1 $0.50 $1.00*

CBA 2 $0.50 $1.00

*The short option minimum is rounded to the closest dollar in this example.

8
SPAN margin example - SPAN requirement The premium margin for each combined commodity in the
portfolio:
The SPAN requirement (also known as initial margin)
consists of the scan risk, intracommodity spread charge,
Combined Commodity Current Premium
delivery risk, intercommodity spread credit and short
Price Margin
option minimum. In particular the SPAN requirement is
determined for each combined commodity as BHP

Maximum (scan risk + intracommodity spread Written 1 Aug 12 $31.50 call $1.07 $107.00 dr
(on 100 BHP equities)
charge + delivery risk – intercommodity spread
credit, short option minimum) Written 1 Oct 12 $30.50 call $2.155 $215.50 dr
(on 100 BHP equities)
Using the sample portfolio and margin rates outlined in
Total $322.50 dr
Appendix I, the SPAN requirement for each combined
commodity is summarised below. The calculation of the
scan risk, intracommodity spread charge, delivery risk, RIO
inter-commodity concession and short option minimum
Taken 1 August 12 $56.00 put $1.42 $142.00 cr
are provided in previous sections of this document. (on 100 RIO equities)

Written 1 August 12 $58.00 call $1.275 $127.50 dr

BHP RIO CBA
(on 100 RIO equities)
SPAN Requirement $149.07 $223.27 $178.79 Total $14.50 cr
Scan Risk $283.23 $313.07 $306.65
Intracommodity n/a n/a n/a CBA
Spread Charge
Taken 1 August 12 $53.00 call $0.815 $81.50 cr
Delivery Risk n/a n/a n/a (on 100 CBA equities)
Intercommodity $134.16 $89.80 $127.86 Written 2 November 12 $54.00 put $3.12 $624.00 dr
Spread Credit (on 100 CBA equities)
Short Option $1.00 $1.00 $1.00 Total $542.50 dr
Minimum

SPAN margin example – Premium Margin The premium margin for this portfolio:
The premium margin is the market value of a “premium
Combined commodity Premium Margin
style” option position at the point in time of the margin
calculation. For example, if an option is valued at $0.35
BHP $322.50 dr
at the close of business, the premium margin component
of the total margin requirement the following day would RIO $14.50 cr
be $35 per option contract (i.e. $0.35 * 100 underlying CBA $542.50 dr
equities2).
Total $850.50 dr
Using the example portfolio in Appendix I, the premium
margin for each contract would be calculated as follows:

Number of contracts x Option Market Price x Number of

underlying equities

2
The number of underlying shares is typically 100, however may vary due to corporate actions.
9
SPAN margin example - Total requirement How are LEPO margins calculated?
The SPAN requirement and premium margin for each To understand the margining process for Low Exercise
combined commodity in an account are aggregated to Price Options (LEPOs) you should first read the LEPO
arrive at the total requirement. Explanatory Booklet which sets out the features and
benefits of LEPOs. This booklet can be downloaded from
Note ASX allows the premium paid up front on long option the ASX website, at www.asx.com.au/resources/
positions to be used to offset the SPAN requirement on publications/booklets.htm
both that long option position and any other position in the
same account. Unlike ordinary exchange traded options, where only the
writer is margined, with LEPOs both the taker and the
Using the portfolio and margin rates outlined in Appendix writer are margined. This is because the taker of a LEPO
I, the SPAN requirement and premium margin for each of does not pay the writer the full premium up front. As
the combined commodities in the portfolio are provided in such, the taker is margined as they have an obligation to
the table below. The detailed calculations used to arrive pay the premium.
at these figures are provided in previous sections of this
document.
Calculating the SPAN requirement
Combined Premium SPAN Just like ordinary options, the calculation of the SPAN
commodity Margin Requirement requirement for a LEPO is based on the price scan range
of the underlying security. Since the price of the LEPO
BHP $322.50 dr $149.07 dr moves in line with the price of the underlying security, the
RIO $14.50 cr $223.27 dr SPAN requirement for a LEPO is calculated by multiplying
the price scan range by the price of the LEPO and the
CBA $542.50 dr $178.79 dr
number of shares in the contract (usually 100). For
Total $850.50 dr $551.13 dr example, if the price of the LEPO is $20 and the price
scan range is 10% then the SPAN requirement will be
$200 [($20 x 100) x 10%]. As the value of the LEPO
The total requirement for the above portfolio at an
changes so too will the amount of SPAN requirement.
account level is:

Calculation the Premium Margin

Margin Requirement
The premium for an ordinary exchange traded option
Premium Margin $ 850.50 dr represents the market value of the option at the close
SPAN Requirement $ 551.13 dr of trading each day. For a LEPO, however, the premium
margin is the difference between the closing prices of the
Total Requirement $1,401.63 dr
LEPO from one day to the next. The margin is calculated
by marking the position to the LEPO’s current market
NOTE: In the case where the total requirement is a credit value. This is called the “mark-to-market” margin.
i.e. where positive premium margin for the account
This is further explained in the following example.
exceeds the SPAN requirement, the final requirement for
the account would be $0.00.
Assumptions
1. O
 ne BHP LEPO contract was traded at $31.885 on
How can LEPO margins be met?
day 1.
Low Exercise Price Options (LEPO) investors can lodge the
same types of collateral as investors in ordinary exchange 2. O
 n day 1 the closing September BHP LEPO price
traded options to cover their initial margin. However, remains unchanged at $31.885 (or $3188.5 per
mark-to-market margin obligations must be settled daily contract).
by the payment of cash. This is because for every investor
3. Price Scan Range for BHP is 6%
required to pay a mark-to-market margin there is another
investor entitled to receive an equivalent mark-to-market 4. O
 nly cash is applied to meet span requirement
margin payment in cash. This cash-in, cash-out process obligations
means mark-to-market margin obligations cannot be
settled by non-cash collateral. 5. Only cash is applied to meet margin obligations.

6. There are 100 shares per contract.

7. A cash payment by the investor is abbreviated as PAY.

8. A cash receipt by the investor is abbreviated as RCT.

10
On day 1 the two parties trade a BHP LEPO The writer
contract at $31.885. On day 2 BHP’s share price has fallen $0.885 to
$31.00, the SPAN requirement is now $186, (3,100
DATE AND WRITE a BHP TAKE A BHP x 6%) a reduction of $5.31. As the LEPO price has
SHARE PRICE SEPTEMBER LEPO sEPTEMBER LEPO changed since the close of day 1, the mark-to-market
Day 1 BHP = Write 1 BHP Sep LEPO Take 1 BHP LEPO margin is calculated as the difference between the two
$31.885 $31.885 $31.885 closing prices [$31.885 – $31.00] x 100 = $88.5.
Accordingly, the writer of the LEPO is entitled to receive
SPAN Req. Span Req.
[@ 6% of $3,188.5] [@ 6% of $3,188.5] $93.81 ($5.31 + $88.5).
$191.31 PAY $191.31 PAY
The taker
Mark to Market Mark to Market
0 0 As for the writer, the SPAN requirement for the taker
has fallen to $186 (31.00 x 6%), a reduction of $5.31.
Daily cash flow PAY Daily cash flow PAY
$191.31 $191.31 However as the LEPO price has moved against the taker,
falling by $0.885 to $31.00, ASX Clear calculates a
mark-to-market margin of $88.5. Accordingly, the taker
The writer must pay $83.19 ($88.5 – $5.31).

To ensure the writer can meet their potential obligations By the close of trading on day 3 the BHP LEPO price
in the event of an adverse market movement in the price has continued its fall to $30.00.
of BHP shares, the writer is required to lodge margin
cover. The SPAN requirement is equal to the closing DATE AND WRITE a BHP TAKE A BHP
price for BHP LEPO multiplied by the price scan range, SHARE PRICE SEPTEMBER LEPO sEPTEMBER LEPO
$3,188.5 x 6% = $191.31. As the price of the LEPO has
not moved from the time of trading to the close of trading Day 3 BHP = Write 1 BHP Sep LEPO Take 1 BHP LEPO
$30 $30 $30
on day 1 there is no mark-to-market margin payable for
day 1. SPAN requirement Span requirement
[@ 6% of $3,000] [@ 6% of $3,000]
$180 (6 RCT) $180 (6 RCT)
The taker
To ensure the taker can meet their obligations to pay the Mark to Market Mark to Market
$100 RCT $100 PAY
variation margin, the taker is required to lodge margin
cover of $191.31 on day 1. This amount represents the Daily cash flow Daily cash flow
closing price for BHP LEPO multiplied by the price scan (6+100) $106 RCT (100-6) $94 PAY
range, $3,188.5 x 6% = $191.31. As the price of the
LEPO has not moved from the time of trading to the close
of trading on day 1 there is no mark-to-market margin The writer
payable for day 1. As BHP has fallen further on day 3 to $30.00 the SPAN
requirement is now $180 (a reduction of $6), down
On day 2 the BHP LEPO price has fallen to from $186 on day 2. The LEPO price fall also results in
$31.00. another mark-to-market margin adjustment. The mark-
to-market margin on day 3 is $100 [($31.00 - $30.00)
DATE AND WRITE a BHP TAKE A BHP x 100]. Accordingly, the writer of the LEPO is entitled to
SHARE PRICE SEPTEMBER LEPO sEPTEMBER LEPO receive $106 ($6 + $100).
Day 2 BHP = Write 1 BHP Sep LEPO Take 1 BHP LEPO
$31 $31 $31
The taker
SPAN Req. Span Req.
The SPAN requirement for the LEPO taker is also reduced
[@ 6% of $3,100] [@ 6% of $3,100]
$186 (5.31 RCT) $186 (5.31 RCT) by $6. The further decline in the LEPO price will mean the
taker making another mark-to-market margin payment.
Mark to Market Mark to Market
Accordingly, the taker must make a payment of $94
$88.50 RCT $88.50 PAY
($100 – $6).
Daily cash flow Daily cash flow
(5.31+88.5) $93.81 RCT (88.5-5.31) $83.19 PAY

11
On day 4 the closing BHP LEPO price remains at The writer
$30.00. While the position is closed out on day 5 the opening
written LEPO is firstly marked-to-market just as for
DATE AND WRITE a BHP TAKE A BHP previous days. As the LEPO price has fallen yet again it
SHARE PRICE SEPTEMBER LEPO sEPTEMBER LEPO results in a further mark-to-market margin adjustment.
Day 4 BHP = Write 1 BHP Sep LEPO Take 1 BHP LEPO This is calculated as the difference between the closing
$30 $30 $30 price of the LEPO on day 4 and the price at which the
SPAN requirement Span requirement LEPO was closed out, in this case [$31.00 – $29.50]
[@ 6% of $3,000] [@ 6% of $3,000] x 100 = $50. Next, the SPAN requirement of $180 is
$180 (NO CHANGE) $180 (NO CHANGE) reversed.
Mark to Market Mark to Market Accordingly, the writer is entitled to receive $230 ($50
NIL NIL + $180). The writer of the LEPO now has no further
Daily cash flow Daily cash flow obligations.
(6+100) NIL NIL

The taker
Closing out for the taker results in the opening taken
Hence there is no change in the margin obligations on day
position firstly being marked-to-market to reflect the
4 for either the taker or the writer.
change in the LEPO price from the close of trading on day
On day 5 the LEPO price has fallen to $29.50 and both 4 to the close out price of the LEPO on day 5, in this case
the taker and the writer elect to close out their BHP LEPO a payment of $50 [($31.00 – $29.50) x 100]. However,
contract. as the position is closed out, the SPAN requirement of
$180 is reversed. Accordingly, the taker is entitled to
receive $130 ($180 - $50). The taker of the LEPO now
DATE AND WRITE a BHP TAKE A BHP
has no further obligations.
SHARE PRICE SEPTEMBER LEPO sEPTEMBER LEPO

Day 5 BHP = Write 1 BHP Sep LEPO Take 1 BHP LEPO

The table below summarises the sequential cash flows for
$29.5 $29.5 $29.5
this particular example:
SPAN Req. Returned Span Req. Returned

$180 RCT $180 RCT

Mark to Market Mark to Market THE WRITER THE TAKER

$50 RCT $50 PAY TOTAL PROFIT/LOSS = TOTAL PROFIT/LOSS =
SUM OF MARK-TO-MARKET SUM OF MARK-TO-MARKET
Daily cash flow Daily cash flow MARGIN PAYMENTS MARGIN PAYMENTS
(180+50) $230 RCT (180-50) $130 RCT
LESS COSTS: LESS COSTS:

Closing out involves the writer buying the same LEPO Day 1 0 Day 1 0
series they initially sold and the buyer selling the same Day 2 $88.50 RCT Day 2 $88.50 PAY
LEPO series they initially bought. Once the closing out
Day 3 $100 RCT Day 3 $100 PAY
transaction is registered ASX Clear makes the following
margin adjustments: Day 4 Nil Day 4 Nil

Day 5 $50 RCT Day 5 $50 PAY

Trading Profit $238.50 RCT Trading Loss $238.50 PAY

12
Appendix I – Portfolio and Margin Rate Details
Hypothetical portfolio and margin rate assumptions used in the SPAN calculation example.

Portfolio
BHP RIO CBA

Contract Aug 12 Oct 12 Aug 12 Aug 12 Aug 12 Nov 12

Call 31.50 Call 30.50 Put 56.00 Call 58.00 Call 53.00 Put 54.00
AMER AMER AMER AMER AMER AMER

Underlying Equity Price $31.80 $31.80 $57.42 $57.42 $53.32 $53.32

Time to Expiry (in years) 0.084932 0.238356 0.084932 0.084932 0.084932 0.334247

Risk Free Interest Rate 3.58% 3.5617% 3.58% 3.58% 3.58% 3.5467%

Volatility 23.1331% 25.77% 27.5069% 25.481% 12.0535% 15.2749%

Number of Underlying Equities 100 100 100 100 100 100

Number of contracts -1 -1 1 -1 1 -2

Option Market Price $1.07 $2.155 $1.42 $1.275 $0.815 $3.12

Option Market Value $107 $215.5 $142 $127.5 $81.5 $312

Margin Rates
Margin rate BHP RIO CBA

Price Scanning Range 6% 6% 3%

Volatility Scanning Range 2% 2% 2%

Short Option Minimum Charge $0.50 $0.50 $0.50

Charge
Concession Combined Combined
Priority Commodity A DPSR A Commodity B DPSR B Concession

1 BHP 1 RIO 1 55%

2 BHP 1 CBA 1 47%

3 CBA 1 RIO 1 33%

13
Appendix II – Risk Arrays
The standard 16 SPAN scenarios

1. Underlying equity price unchanged; Volatility up; time reduced by 2 days

2. Underlying equity price unchanged; Volatility down; time reduced by 2 days

3. Underlying equity price up 1/3 range; Volatility up; time reduced by 2 days

4. Underlying equity price up 1/3 range; Volatility down; time reduced by 2 days

5. Underlying equity price down 1/3 range; Volatility up; time reduced by 2 days

6. Underlying equity price down 1/3 range; Volatility down; time reduced by 2 days

7. Underlying equity price up 2/3 range; Volatility up; time reduced by 2 days

8. Underlying equity price up 2/3 range; Volatility down; time reduced by 2 days

9. Underlying equity price down 2/3 range; Volatility up; time reduced by 2 days

10. Underlying equity price down 2/3 range; Volatility down; time reduced by 2 days

11. Underlying equity price up 3/3 range; Volatility up; time reduced by 2 days

12. Underlying equity price up 3/3 range; Volatility down; time reduced by 2 days

13. Underlying equity price down 3/3 range; Volatility up; time reduced by 2 days

14. Underlying equity price down 3/3 range; Volatility down; time reduced by 2 days

15. Underlying equity price up extreme move (cover 35% of loss) ; time reduced by 2 days

16. Underlying equity price down extreme move (cover 35% of loss) ; time reduced by 2 days

Using the sample portfolio and margin rates in Appendix I, the risk arrays for the combined commodities are provided
below for determination of scan risk and the intercommodity spread credit.

Risk Arrays: BHP Combined Commodity

BHP Aug 12 BHP Oct 12
Scenario call 31.50 amer call 30.50 amer Scenario Total

1 -1.46 0.88 -0.58

2 -4.69 -4.5 -9.19

3 37.87 44.46 82.33

4 35.02 39.09 74.11

5 -34.88 -41.54 -76.42

6 -38.11 -47.36 -85.47

7 86.8 90.96 177.76

8 84.19 86.45 170.64

9 -62.2 -74.32 -136.52

10 -64.85 -80.15 -145.00

11 139.09 144.14 283.23 (Active)

12 137.35 140.52 277.87(Paired)

13 -79.82 -105.27 -185.09

14 -82.49 -111.1 -193.59

15 110.62 109.53 220.15

16 -36.53 -60.91 -97.44

14
Risk Arrays: RIO Combined Commodity
RIO Aug 12 rio aug 12
Scenario put 56.00 amer call 58.00 amer Scenario Total

1 1.97 -1.36 0.61

2 8.8 -7.72 1.08

3 46 54.96 100.96

4 52.83 48.61 101.44

5 -50.38 -46.29 -96.67

6 -43.56 -51.73 -95.29

7 75.02 130.44 205.46

8 80.62 124.72 205.34

9 -114.77 -80.68 -195.45

10 -108.01 -85.45 -193.46

11 100.76 212.31 313.07 (Active)

12 104.54 208.44 312.98 (Paired)

13 -192.88 -99.75 -292.63

14 -187.32 -103.41 -290.73

15 46.56 181.65 228.21

16 -167.47 -43.78 -211.25

Risk Arrays: CBA Combined Commodity

cba Aug 12 BHP nov 12
Scenario call 53.00 amer put 54.00 amer Scenario Total

1 -2.35 4.35 2

2 -0.09 -7.54 -7.63

3 -37.33 -70.28 -107.61

4 -35.69 -83.41 -119.1

5 27.15 80.95 108.1

6 29.47 69.31 98.78

7 -80.68 -131.29 -211.97

8 -79.06 -145.81 -224.87

9 50.1 159.69 209.79

10 52.43 149.19 201.62

11 -127.42 -189.31 -316.73

12 -126.54 -204.05 -330.59

13 63.57 243.08 306.65 (Active)

14 65.36 235.74 301.1 (Paired)

15 -98.47 -121.72 -220.19

16 28.12 182.63 210.75

15
Appendix III – Composite delta

Composite delta is derived as the weighted average of the deltas, where the weights are associated with each
underlying price scan point. In effect, the composite delta is a forward looking estimate of the option delta. The
standard SPAN seven delta points are:

Underlying price
change as % of Probability
Scenario price scan range Weight

1 Unchanged 0.270

3 Up 33% 0.217

5 Down 33% 0.217

7 Up 67% 0.110

9 Down 67% 0.110

11 Up 100% 0.037

13 Down 100% 0.037

Using the sample portfolio and margin rates in Appendix I, the delta points for the combined commodities are provided
below for determination of the intercommodity spread credit.

Composite delta – BHP combined commodity

BHP Aug 12 Call BHP Oct 12 Call
Scenario 31.50 AMER 30.50 AMER BHP

1 0.158411 0.178472 0.336883

3 0.100853 0.128142 0.228996

5 0.152639 0.158698 0.311337

7 0.037725 0.057334 0.095059

9 0.088234 0.087838 0.176072

11 0.008537 0.016213 0.024750

13 0.032125 0.031064 0.063189

Composite Delta 1.236286

Composite delta – RIO combined commodity

rio Aug 12 put rio Oct 12 Call
Scenario 56.00 AMER 58.00 AMER rio

1 -0.110621 0.120149 0.009528

3 -0.111699 0.070695 -0.041003

5 -0.067251 0.124440 0.057189

7 -0.069202 0.023692 -0.045510

9 -0.025377 0.076681 0.051304

11 -0.026715 0.005089 -0.021625

13 -0.005760 0.029464 0.023703

Composite Delta 0.033585

16
Composite delta – CBA combined commodity
cba Aug 12 Call cba nov 12 put
Scenario 53.00 AMER 54.00 AMER cba

1 0.166915 -0.187351 -0.020436

3 0.103190 -0.160826 -0.057636

5 0.162982 -0.140531 0.022451

7 0.036321 -0.087801 -0.051480

9 0.094253 -0.065808 0.028445

11 0.007711 -0.030963 -0.023253

13 0.033936 -0.020011 0.013925

Composite Delta -0.087983

17
Appendix IV – Net Delta
In determining the intracommodity spread charge, intercommodity spread credit and delivery risk for a combined
commodity, SPAN requires spreads to be formed/spot positions to be based on equivalent units in the underlying.
Combined commodities may consist of many product types (e.g. equities, option on equities and equity low exercise
price options) and as such requires units in these products to be converted into equivalent units of the underlying for
SPAN to process its calculations indicated above at the combined commodity level.

In the case of the equity option portfolio in Appendix I, the number of equity option contracts is converted
into equivalent units of the underlying equity. This is done by multiplying the number of option contracts by the
corresponding delta for that option. An example of the net delta calculation for the portfolio in outlined in Appendix I is
provided below. The net delta for this equity option portfolio is used particularly for the intercommodity spread credit,
as the intracommodity spread charge and delivery risk are not applicable for this portfolio. As the underlying equity
does not have an expiration date, the net delta is aggregated into a special period zero.

Combined Number of SPAN’s Composite Net

Commodity Contracts Delta* Delta

BHP

BHP Aug 12 $31.50 Call -1 0.57852 -0.57852

BHP Oct 12 $30.50 Call -1 0.65776 -0.65776

Net Delta -1.23630

RIO

RIO Aug 12 $56.00 Put 1 -0.41663 -0.41663

RIO Aug 12 $58.00 Call -1 0.45021 -0.45021

Net Delta -0.8668

CBA

CBA Aug 12 $53.00 Call 1 0.60531 0.60531

CBA Nov 12 $54.00 Put -2 -0.69329

Net Delta 1.9919

*Further detail on SPAN’s composite delta is provided in Appendix III.

18
Appendix V - Weighted Futures Price Risk (WFPR)

The Weighted Future Price Risk (WFPR) is used in the determination of the intercommodity spread credit. The WFPR
risk for each combined commodity is based on the price risk and net delta for the combined commodity.

PRICE RISK
In order to determine the WFPR, the price risk first needs to be extracted from the scan risk estimate. The scan risk,
particularly for options, factors in movements in both the underlying price (price risk) and volatility (volatility risk) and a
reduction in the time to maturity of the option (time risk). The extraction of price risk is to ensure consistency with the
concession rate that is based on movements in the underlying price.

Scan risk
The scan risk is derived from the risk arrays and is the worst case scenario for a combined commodity. This
associated scenario is called the active scenario.

Volatility Risk
The volatility risk is estimated from the risk arrays by using the combination of scenarios where price movement is the
same but the opposite definition of volatility movement.

Time Risk
The time risk is estimated from the risk arrays by using the combination of scenarios where there are no price
movements and opposite volatility changes (Scenario 1 and Scenario 2).

Price Risk
The price risk is estimated using estimates of scan risk, volatility and time risk.

WEIGHTED FUTURES PRICE RISK

The price risk and net delta can then be used to determine the WFPR for the combined commodity as follows

The net delta is explained in Appendix IV.

19
Using the portfolio in Appendix I, the WFPR calculation is outlined below. The risk array values in the table are provided
in Appendix II.

BHP RIO CBA

Scan Risk $283.23 $313.07 $306.65

Risk Array Value (Active Scenario) $283.23 $313.07 $306.65

Volatility Risk $2.68 $0.05 $2.78

Risk Array Value (Active Scenario) $283.23 $313.07 $306.65

Risk Array Value (Paired Point*) $277.87 $312.98 $301.10

Time Risk $-4.89 $0.85 $-2.82

Risk Array Value (Scenario 1) $-0.58 $0.61 $2.00

Risk Array Value (Scenario 2) $-9.19 $1.08 $-7.63

Price Risk $285.44 $312.17 $306.69

Scan Risk $283.23 $313.07 $306.65

Volatility Risk $2.68 $0.05 $2.78

Time Risk $-4.89 $0.85 $-2.82

Weighted Futures Price Risk (WFPR) $230.88 $360.14 $153.96

Price Risk $285.44 $312.17 $306.69

Net Delta $-1.23630 $-0.8668 $1.9919

*Paired point – Risk Array value with the same definition for price movement as the active scenario, but the opposite
definition of volatility movement.

20
Appendix VI - Glossary of terms

ASX Clear Class of options

The clearing and settlement facility for all exchange traded Option contracts covering the same underlying security.
options, LEPOs and futures traded on ASX Trade.

Clearing Participant
Adjustment to options contracts Participant of ASX Clear whom margins are ultimately
Adjustments are made when certain events occur that drawn by ASX Clear from. Note the your clearing
may affect the value of the underlying securities. Examples participant maybe be different from your broker.
of adjustments include changing the number of shares
per contract and/or the exercise price of options in the
event of a new issue or reconstruction of the underlying
Closing out
security. Adjustments are specific to the event affecting
the underlying securities. A transaction which involves taking the opposite side to
the original position i.e. if the opening position is taken
(written) closing out would involve writing (taking) an
option in the same series.
American
An option that is exercisable at any time prior to expiry.

Collateral
Assets provided to cover margin obligations.
Assignment
The random allocation of an exercise obligation to a
writer.
European
An option that is only exercisable at expiry.

At-the-money
When the price of the underlying security equals the
Exercise
exercise price of the option.
The written notification by the taker of their decision to
buy or sell the underlying security pertaining to an option
contract.
Broker
Market Participant of ASX you use to execute your
options orders.
Haircut
A reduction in the value of securities lodged to cover
margins.
Brokerage
A fee or commission payable to a sharebroker for buying
or selling on your behalf.
Inter-day
From one business day to the next business day, or from
one business day to the next business day plus one day.
CHESS
Acronym for Clearing House Electronic Sub-register
System. It is the settlement facility for ASX’s equities and
In-the-money
warrant markets.
An option with intrinsic value.

21
Intra-day Premium margin
Within a particular day. Also referred to as available net option value. A
component of the total margin that represents the
current value of the option.

LEPO
An acronym for Low Exercise Price Option as traded on
ASX’s options market. Random selection
The method by which an exercise of an option is allocated
to a writer.

Margin
An amount calculated by ASX Clear to cover the
obligations arising from options and LEPO contracts. Series of options
All contracts of the same class and type having the same
expiry day and the same exercise price.

Margin cover
Cash or collateral lodged to meet margin requirements.
SPAN Requirement
Also referred to as initial margin. The SPAN requirement
is a component of total margin.
Margin interval
A measure of the daily volatility of the underlying security
expressed as a percentage. It represents the largest
most likely inter-day movement in the price of the Taker
underlying security. The buyer of an option contract.

Margin offset Theoretical option price

The reduction in margin obligations as a result of other The fair value of an option as calculated by an option
option positions in your portfolio. pricing model.

Mark-to-market margin Total margin

The process whereby a LEPO position is revalued to its The sum of the Premium margin and the SPAN
current market value resulting in either a payment to you requirement (also known as Initial margin).
(if the revaluation is favourable) or a payment by you (if
the revaluation is unfavourable).

Volatility
A measure of the size and frequency of price fluctuations
Out-of-the-money in the underlying security.
An option with no intrinsic value. A call option is out-of-
the-money if the market price of the underlying shares
is below the exercise price of the option; a put option
Writer
is outof-the-money if the market price of the underlying
sharesis above the exercise price of the options. The seller of an option contract.

Premium
The current market price for an option.

22
Appendix VII - Further Information

Further information
For ASX explanatory booklets on options, please phone
131 279, or download the booklets from the ASX website
www.asx.com.au/options

Online Classes
Online options classes include interactive exercises that
will aid your learning and a quiz at the end of each section
to show your progress.

Contact Information
Website
www.asx.com.au/options

Email
[email protected]

Phone
131 279

Post
ASX
20 Bridge Street,
Sydney NSW 2000

“SPAN” is a registered trademark of Chicago Mercantile Exchange, Inc., used herein under license. Chicago Mercantile
Exchange Inc. assumes no liability in connection with the use of SPAN by any person or entity”.

Information provided is for educational purposes and does not constitute financial product advice. You should obtain
independent advice from an Australian financial services licensee before making any financial decisions.

Although ASX Limited ABN 98 008 624 691 and its related bodies corporate (“ASX”) has made every effort to ensure
the accuracy of the information as at the date of publication, ASX does not give any warranty or representation as to the
accuracy, reliability or completeness of the information. To the extent permitted by law, ASX and its employees, officers
and contractors shall not be liable for any loss or damage arising in any way (including by way of negligence) from or
in connection with any information provided or omitted or from any one acting or refraining to act in reliance on this
information. This document is not a substitute for the Operating Rules of the relevant ASX entity and in the case of any
inconsistency, the Operating Rules prevail.

© Copyright 2012 ASX Limited ABN 98 008 624 691. All rights reserved 2012.
08-11
For this product, the market is operated by ASX Limited ABN 98 008 624 691