383655dd_s_Relating_to_Security_Futures__Description_of_Offset
[0] 16 Individual stock or narrow-based security index [Initial Margin Requirement] 20% of the current market value of the short security future, plus the aggregate put in-the-money amount, if any, plus pay for the call in full. Proceeds from put sale may be applied. 10% of the aggregate exercise price, plus the aggregate put in-the-money amount, if any. [Description of Offset] 
Short security future, Short put option and long call option. The short security future, short put and long call must be on the same underlying security and the put and call must have the same exercise price. (Reverse Conversion)
Final Rule: Customer Margin Rules Relating to Security Futures