Forex Options Margin Requirements

Saxo Bank has implemented a new way of calculating margin requirements for Forex Options positions. This method factors in both changes in volatility as well as changes in the spot price of the underlying asset. It also takes into consideration open positions that effectively reduce the risk associated with your Options positions.

Margin Calculation

The margin required for an option consists of its Delta and its Vega margin, which describes the option's exposure to changes in the spot market and to changes in the volatility of the underlying asset. The fact that the margin calculation recognises these individual exposures permits the investor to hedge positions through, for example, trading in the spot, thereby lowering the margin requirements for the options positions.