Margin calculator
Calculator supplied by STT
Commodity Derivatives offers both futures and options contracts and uses a "Portfolio Scanning" concept to calculate the amount of margin required for any portfolio containing derivative positions, i.e. futures and/or options on futures. Portfolio scanning is based on the concept that the entire participant's portfolio on the commodity derivatives market is valued in its entirety. For more information on how portfolio scanning is implemented , visit Margining Methodology
Calculators
Margin calculators user's guide
A simple user guide that can assist clients with the various margin calculators provided
Generic Options Initial Margin Calculator
This is a web-based application that will help to calculate the margin on a single future or options position.
Portfolio Options Initial Margin Calculator
The JSE uses a portfolio margining process to calculate initial margin requirements. This process reduces the initial margin required by recognizing that offsetting positions can provide a reduction in risk. Therefore portfolio margins are usually less than the sum of the individual margin requirements. This calculator includes margin offsets and will provide you with a reasonably accurate estimation of the required initial margin in a portfolio context.
Options calculator providing the “Greeks”
This web based application will provide users the opportunity to price options (determine the premium) and at the same time understand the gamma, theta, vega and delta of the option strike.
DISCLAIMER: The above calculators rely on accurate input factors to be able to correspond with the JSE's calculated margin requirement; Users are therefore cautioned to ensure their input data is correct should they wish to mirror a specific margining scenario.