|
|
 |
 |
| Outright Margins |
|
|
| |
Clearing Member/ Maintenance |
Member & Hedge Customer |
Non-Member Customer |
| 100% |
100% |
135% |
| All Months |
$3,250 |
$3,250 |
$4,300 |
|
| Spread Credit for iShares COMEX Gold Trust |
|
|
| |
Clearing Member/ Maintenance |
Member & Hedge Customer |
Non-Member Customer |
| 100% |
100% |
135% |
| Net Margin after 90% Credit |
$150 |
$165 |
$203 |
|
| Intra-Commodity / Inter-Month Spreads |
|
|
| |
Clearing Member/ Maintenance |
Member & Hedge Customer |
Non-Member Customer |
| 90% |
100% |
135% |
| All Months |
$50 |
$50 |
$68 |
|
| Inter-Commodity Spreads |
|
|
| Spread |
Ratio |
Combined Full Margin |
Clearing Member/ Member/ Hedge Spread Credit |
Non-Member Spread Credit |
Percentage Credit of Total Outright |
| Gold/Silver |
2:3 |
$21,500 |
$10,750 |
$14,513 |
50% |
|
| Inter-Exchange Spreads |
|
|
| Spread |
Ratio |
Combined Full Margin |
Clearing Member/ Member/ Hedge
Spread Charge |
Non-Member Spread Charge |
Spread Credit |
| Gold Leg |
Platinum Leg |
Combined |
| Gold/Platinum |
1:2 |
$15,250 |
$550 |
$743 |
$2,7000 |
$11,450 |
$14,150 |
|
| SPAN Parameters |
|
|
| Volatility Scan Range |
Extreme Move Value |
Extreme Move Coverage |
Short Option Minimum |
| 2.5% |
3 |
33% |
$10 |
|
|
|