【To Investors】JSCC will Set Floor for Option Scenario Profit/Loss in VaR Margin Calculation
2025/01/27
Effective from the Margin calculation on Monday, February 10, 2025, JSCC will set the floor, represented as the product of the smallest tick size and the contract unit, for Option scenario profit/loss* in Margin calculation method (VaR method) for Futures and Option Contracts.
* In VaR method, a portfolio level profit/loss is obtained based on the scenario profit/loss for each instrument, and the value that covers 99% of such profit/loss is adopted as Margin requirement. For Option scenario profit/loss, the value equivalent to the expected option value when applying the scenario is recorded in VaR Margin Calculation Parameter File (BPF), and the floor applies only when such value is zero.
(Reference 1) Floor for Scenario Profit/Loss
| Product | Smallest Tick Size |
Contract Unit | Floor for Scenario Profit/Loss |
|---|---|---|---|
| Nikkei 225 Options | 1 | 1,000 | JPY 1,000 |
| Nikkei 225 mini Options | 1 | 100 | JPY 100 |
| TOPIX Options | 0.1 | 10,000 | JPY 1,000 |
| JPX-Nikkei 400 Options | 1 | 1,000 | JPY 1,000 |
| TOPIX Banks Index Options | 0.0001 | 10,000 | JPY 1 |
| TSE REIT Index Options | 0.0001 | 1,000 | JPY 1 (Fraction less than whole yen number is rounded up) |
| Options on 10Y JGB Futures | 0.01 | 1,000,000 | JPY 10,000 |
| Securities Options (When Contract Unit is 100) |
0.1 | 100 | JPY 10 |
| Securities Options (When Contract Unit is 1) |
1 | 1 | JPY 1 |
| Options on Gold Futures | 1 | 100 | JPY 100 |
- The smallest tick size for Securities Options is JPY 1 when the underlying contract size is odd, and otherwise JPY 0.1.
| (Reference 2) Simulation result of Margin per contract when setting the floor (as of January 6, 2025) |
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