383655dd_s_Relating_to_Security_Futures__Description_of_Offset
[0] 2 Individual stock or narrow-based security index [Initial Margin Requirement] 20% of the current market value of the long security future, plus pay for the long put in full. The lower of: (1) 10% of the aggregate exercise price3 of the put plus the aggregate put out-of-the-money4 amount, if any; or (2) 20% of the current market value of the long security future. [Description of Offset] 
Long security future (or basket of security futures representing each component of a narrow-based securities index1) and long put option2 on the same underlying security (or index)
Final Rule: Customer Margin Rules Relating to Security Futures