383655dd_s_Relating_to_Security_Futures__Description_of_Offset
[0] 8 Narrow-based security index [Initial Margin Requirement] 20% of the current market value of the long basket of narrow-based security futures, plus pay for the long put in full. The lower of: (1) 10% of the aggregate exercise price of the put, plus the aggregate put out-of-the-money amount, if any; or (2) 20% of the current market value of the long basket of security futures. [Description of Offset] 
Long a basket of narrow-based security futures that together tracks a broad-based security index and long a broad-based security index put option contract on the same index
Final Rule: Customer Margin Rules Relating to Security Futures