383655dd_s_Relating_to_Security_Futures__Description_of_Offset
[0] 7 Narrow-based security index [Initial Margin Requirement] 20% of the current market value of the short basket of narrow-based security futures, plus the aggregate put in-the-money amount, if any. Proceeds from the put sale may be applied. 20% of the current market value of the short basket of narrow-based security futures, plus the aggregate put in-the-money amount, if any. [Description of Offset] 
Short a basket of narrow-based security futures that together tracks a broad-based security index and short a broad-based security index put option contract on the same index
Final Rule: Customer Margin Rules Relating to Security Futures