Eurex risk-based margining

For uncovered short positions, collateral (known as margin) must be deposited with Eurex to ensure fulfillment of the writer's payment obligations to its counterparty. Eurex offsets the opposite risks that arise with combination positions, so that a margin requirement does not automatically arise with every strategy that includes a short position.

Eurex proceeds as follows when calculating margin:

It defines a maximum interval of price movements that can be expected within a day. To be on the safe side, this margin interval is generously calculated and adjusted daily to current market conditions.

With the help of an option price simulation model, Eurex then calculates the worst-case closing costs on the next day if the base price moves within the margin interval. Put simply, these closing costs must be deposited as margin.