Pricing interest rate futures options with futures-style margining pdf
Futures-Style Options. A futures-style option is a futures contract on the option payoff. Note that to trade either spot or futures options, traders should pay (receive) cash up front. In contrast, traders who trade a futures-style option post margin in the same way that they do on a regular futures contract ICE – Option Margin Overview – v1.0 – March 26, 2007 Page 3 Equity Style and Futures Style Option Margining Summary Overview This document gives a brief summary of the differences between the margining of equity style (premium paid up front) and futures style (premium paid on expiry/exercise) option contracts