傳統選擇權保證金與SPAN制度之比較──SPAN真的收較少的保證金？

Comparison of the Traditional Option Margining System and SPAN: Does SPAN Really Charge Less Margin Requirements?

臺灣期貨交易所（TAIFEX）在客戶委託選擇權交易時採用傳統AB值保證金方式凍結保證金，但允許客戶對成交後持倉部位選擇組合式的SPAN保證金系統。是否應選擇SPAN做保證金計算或繼續採用傳統保證金是選擇權的交易者的重大課題。期貨界一般的意見是SPAN能讓客戶有最佳的資金使用效率，問題是成交後持倉保證金採用SPAN計算是否真的一定會比傳統保證金需求低？本文從理論上找出SPAN保證金比傳統保證金節約的兩個條件，發現其中一個條件不見得成立，本文發現對於習慣做單一部位的投資者來說，改採SPAN保證金的計收方式不見得一定對交易人有利，在特定情況下，交易人不採行整戶風險保證金SPAN計收方式，保證金計收仍依現行傳統的AB值計算保證金可能更為有利。本文舉出實例並分析其原因。

Taiwan Futures Exchange (TAIFEX) freezes a trader’s fund based on traditional A B margin system when a trader place orders. Once orders are executed, the trader can stick to the old margin system or choose the portfolio-based margin system SPAN to calculate margin requirements. Conventional wisdom suggests that SPAN should be adopted as SPAN will charge less margin requirements than the traditional margin system and maximizes margin efficiency. This paper shows that two conditions must hold for SPAN to charge less margin requirements than the traditional margin system. We demonstrate that under certain situations SPAN may ask for more margin requirements than the traditional margin system when shorting vanilla options. Although SPAN may prove more accurately in calculating the risk for a portfolio that includes options, SPAN may not always charge less margin requirements than the traditional margin system. For small traders who trade one-side option market, sticking to the tradition margin system might still be a better policy sometimes.