Margin & Fees

The formulas Rails uses to size margin and fees for an options order. For a conceptual overview, see the Margin & Liquidation guide. The formulas below produce the per-order margin and fee figures.

Notation

Symbol	Meaning
`Index`	Index price of the underlying
`Mark`	Mark price of the contract
`K`	Strike price
`qty`	Order quantity

Constants

Constant	Value	Used for
Long order buffer	`1.165`	Long initial margin at order placement
Long holding buffer	`0.165`	Long position/maintenance margin (premium already deducted)
IM rate	`0.15` (15% of `Index`)	Short initial margin
IM floor	`0.10` (10% of `Mark`)	Short initial margin floor (deep OTM)
MM rate	`0.05` (5% of `Index`)	Short maintenance margin
MM floor	`0.05` (5% of `Mark`)	Short maintenance margin floor

The long buffer of 0.165 breaks down as 12.5% trading fee + 1% insurance + 3% slippage.

Margin

OTM discount (per contract):

Option type	`OTM`
Call	`MAX(0, K − Index)`
Put	`MAX(0, Index − K)`

Long (buying) — the premium is paid up front; margin covers the buffer:

Margin	Formula
Initial (order)	`Mark · 1.165 · qty`
Holding / Maintenance	`Mark · 0.165 · qty`

Short (selling) — per-contract margin is MAX(rate · Index − OTM, floor · Mark) + Mark:

Margin	Formula
`IM′` per contract	`MAX(0.15 · Index − OTM, 0.10 · Mark) + Mark`
`MM′` per contract	`MAX(0.05 · Index − OTM, 0.05 · Mark) + Mark`
Initial margin	`MAX(IM′, MM′) · qty`
Maintenance margin	`MM′ · qty`

Short initial margin is floored at the maintenance level (MAX(IM′, MM′)) so it is never weaker than the maintenance requirement.

Fees

Fee	Formula
Taker fee	`MIN(0.0003 · Index, 0.125 · Mark) · qty`
Maker fee	Same as taker; Rails-designated makers are exempt (`0`)

The delivery fee charged at settlement is covered in Settlement.

Guides

Formulas

WS Reference

API Reference

Notation

Constants

Margin

Fees

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Notation

Constants

Margin

Fees