FA-61627 / Options payoff and settlement / Member archive

Uncovered short option margin requirement: the OTM reduction is subtracted after the minimum test · case 02

Far out-of-the-money options fall below the minimum requirement.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs kind, underlying price, strike, premium, contracts and multiplier. Out-of-the-money amount is max(K-S,0) for calls and max(S-K,0) for puts. Per-unit requirement = premium + max(20% of underlying - OTM amount, 10% of floor base) where the floor base is the underlying for calls and the strike for puts. Return requirement*multiplier*contracts rounded to cents.

Why this case matters

Option expiry, exercise and settlement engines move cash and shares; a wrong branch misstates obligations.

One recorded failure

Sample boundary fixture

This sample comes from the broken implementation of a controlled reproducer.

Boundary fixture	Actual	Expected	Outcome
regression otm reduction placement 1	`142.0`	`190.0`	Failed

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