Option Margin Optimizer System Overview

The Option Margin Optimizer (OMO) developed by LDB Consulting, Inc. calculates customer margin charges according to NYSE Rule 431, as revised in January 2000 and December 2006.

The system will calculate charges for:

Common stock
Single Stock Futures
Convertible stock and bonds
Exchange traded options on equities, broad based/narrow based indices and currencies
OTC options on equities and broad based/narrow based indices.

The user interface system is used to import user-supplied data, format data for and retrieve data from the Option Optimizer, allow viewing of pertinent data files and create various reports with the computed information.

The Optimizer works on each holding individually. A holding is a unique combination of account, account type (cash or margin) and class. A class such as IBM would include all stock and options (leaps, splits, flexes, etc.) for IBM. Within the unique holding, the Optimizer identifies all potential spreads and removes each successive spread that would generate the greatest margin savings in the position.

The Optimizer can identify each of the following strategies or hook ups:

Long and short butterflies
Long and short box spreads
Long condors, iron butterflies and iron condors
Long time condors, time iron butterflies, time iron condors and time butterflies
Debit and credit spreads
Covered calls and covered puts (combined with either common stock, single stock future or convertibles)
Hedged calls and hedged puts involving stock or single stock futures
Collars involving stock or single stock futures
Conversions and reverse conversions involving stock or single stock futures
Single stock future vs. single stock future, where each is identical or different.
Straddles
Binary options straddles and spreads
Naked options
Naked stock
Short against the box
Concentration charges for naked/covered stock and/or single stock future.

The system will:

Run in either Batch or Interactive mode, retaining separate results for each mode of operation
Calculate loan value on naked long leaps and long European boxes
Calculate the altered valuation for common stock used in strategies such as covers, conversions and reversals
Export to a text file all calculated margin, value and loan amounts
Permit the user to define tiered stock margin rates by account and underlying symbol, charging rates based on quantity
Allow the user to alter or add positions and run a simulated margin calculation
Utilize the OCC Equity Special Settlement file to properly margin options on packages and options involving cash in lieu of stock
Support the separately priced, add-on module (OMO-PLUS) to calculate day trader margins on stocks and/or options