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The formulas Rails uses to size margin and fees for an options order. For a conceptual overview, see the Margin & Liquidation guide. Authoritative figures for a specific order come from the Get Contract Pricing and Get Margin endpoints.

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Notation

SymbolMeaning
IndexIndex price of the underlying
MarkMark price of the contract
KStrike price
qtyOrder quantity

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Constants

ConstantValueUsed for
Long order buffer1.165Long initial margin at order placement
Long holding buffer0.165Long position/maintenance margin (premium already deducted)
IM rate0.15 (15% of Index)Short initial margin
IM floor0.10 (10% of Mark)Short initial margin floor (deep OTM)
MM rate0.05 (5% of Index)Short maintenance margin
MM floor0.05 (5% of Mark)Short maintenance margin floor
The long buffer of 0.165 breaks down as 12.5% trading fee + 1% insurance + 3% slippage.

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Margin

OTM discount (per contract):
Option typeOTM
CallMAX(0, K − Index)
PutMAX(0, Index − K)
Long (buying) — the premium is paid up front; margin covers the buffer:
MarginFormula
Initial (order)Mark · 1.165 · qty
Holding / MaintenanceMark · 0.165 · qty
Short (selling) — per-contract margin is MAX(rate · Index − OTM, floor · Mark) + Mark:
MarginFormula
IM′ per contractMAX(0.15 · Index − OTM, 0.10 · Mark) + Mark
MM′ per contractMAX(0.05 · Index − OTM, 0.05 · Mark) + Mark
Initial marginMAX(IM′, MM′) · qty
Maintenance marginMM′ · qty
Short initial margin is floored at the maintenance level (MAX(IM′, MM′)) so it is never weaker than the maintenance requirement.

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Fees

FeeFormula
Taker feeMIN(0.0003 · Index, 0.125 · Mark) · qty
Maker feeSame as taker; Rails-designated makers are exempt (0)
The delivery fee charged at settlement is covered in Settlement.