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How Is Initial Margin Calculated for a Portfolio of Options Contracts?

Margin is typically calculated using a risk-based portfolio approach, such as the SPAN system. This system simulates various market scenarios, including changes in the underlying price and volatility.

The margin requirement is the largest loss the portfolio would incur under these defined stress scenarios. This accounts for offsets between long and short positions.

What Is the Formula for Calculating Initial Margin under a Standard Portfolio Margining Model?
How Is the ‘Portfolio Margin’ Requirement Calculated under Regulatory Frameworks?
How Do Different Futures Exchanges Calculate Their Initial Margin Requirements?
How Does the “Stress Test” Factor into Portfolio Margin Calculations?