New margin requirements April 2, 2007

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Subject Author Date
New margin requirements April 2, 2007 Gregory Bloom 02-19-2007
Posted by Gregory Bloom on February 19, 2007, 11:47 am
The SEC has approved new margin requirements that will go into effect
on April 2nd. The new margin calculations determine required margin
by stressing an entire portfolio by +/- 15% to see how much real risk
there is. It allows inclusion of single-stock futures, options and
stocks in the same risk/margin calculation.

So the question I have is whether a collar that consists of a long
SSF, long ATM put and short OTM call will have *zero* margin
requirement provided the long put is at or above the strike of the
SSF. Anybody know?


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