Margins

Current margin rates

Last updated: 2010-05-21

Future contracts

• WIG20
  8,00 %
  
  
• mWIG40
  10,00 %
  
  
• PKO
  15,00 %
  
  
• PKN
  15,00 %
  
  
• TPS
  15,00 %
  
  
• PZU
  15,00 %
  
  
• PGE
  15,00 %
  
  
• PGNIG
  15,00 %
  
  
• ASSECOPOL
  15,00 %
  
  
• KGH
  25,00 %
  
  
• PEO
  25,00 %
  
  
• AGO
  25,00 %
  
  

Option contracts:

• EUR
  6,00 %
  
  
• USD
  7,00 %
  
  
• CHF
  7,00 %
  
  
• GBP
  6,00 %
  
  
• WIG20
  15,00 %
  
  

The formula to calculate the required margin

Future contract

Required margin = margin rate × quantity × last daily settlement price × multiplier + margin of hedged positions

The margin of hedged positions appears only in the week of a contract expiration (hedged position = long position in one contract series and short position in an other series of the same contract). It increases day by day until reaching the level to cover the remaining contract series.

PUT Option contract

Required margin = quantity × ((2 × strike price - last closing price of underlying) × margin rate × 1.5 + last closing price of the contract) × multiplier

CALL Option contract

Required margin = quantity × ((2 × last closing price of underlying - strike price) × margin rate × 1.5 + last closing price of the contract) × multiplier

Where multiplier = number of underlying items per contract