Please note

As of 10 December 2012 the Theoretical Option Price Calculator located on this webpage will no longer provide a fully accurate representation of theoretical option prices as they relate to ASXCL margining methodology.

Details

In line with the changes being undertaken by ASX to transfer margining calculations onto the CME-SPAN margining methodology, the Theoretical Option Price Calculator, which is based on the ADMS (TIMS) methodology, will no longer provide an accurate calculation for users.

Until a replacement has been implemented, the current Theoretical Option Price Calculator will remain available for use. However, it is intended for indicative purposes only.

From the 10-Dec-2012 onwards, the calculations produced via this Theoretical Option Price Calculator will no longer align exactly with the current ASXCL margining methodology.

Further information

For more information regarding the ASX's transformation of margining methodology from ADMS (TIMS) to CME-SPAN, please refer to the following project website: http://www.asx.com.au/clearing/cme-span-v4-0.htm.

For details regarding the calculations involved in SPAN margining, please refer to: http://www.asx.com.au/clearing/span-margining.htm.

The SPAN methodology considers how the value of an entire portfolio of options and futures will respond to changes in futures (or underlying) prices and volatilities. As such, the previous ADMS (TIMS) calculations will no longer provide a calculation which is aligned with the new methodology.

Any questions or concerns regarding this change should be forwarded to: info@asx.com.au.

Margin Estimator

Read below for information about this page or make your selection from the drop down box below. You can only select one underlying security or index at this stage.

This tool will estimate any margins which may be payable on option positions.

If you only buy options, then margins are not payable. It is when you write (sell to open a position) options that margins may be payable.

Please take note:

  1. This is an estimate of Australian Clearing House (ACH) margins. Please confirm with your broker the exact margin payable. Your broker may charge you a different amount, which is a matter for discussion between you and your broker.
  2. This is only an estimator and will not calculate exactly.
  3. Data used by the estimator is updated on a weekly basis.

First you need to select an underlying security or index by highlighting it and pressing the "Go" button. The calculator will store the security you have selected and then ask you to select one or more option series.

You can only select one underlying security/index at this point. If you return to this page at another time you can select another security.

This calculator uses calculation software provided by Financial Engineering Associates, Inc. (FEA) logo

Comprehensive help is available for this estimator, it will open a new browser window.