383655dd_s_Relating_to_Security_Futures__Description_of_Offset
[0] 15 Individual stock or narrow-based security index [Initial Margin Requirement] 20% of the current market value of the short security future, plus pay for the call in full. The lower of: (1) 10% of the aggregate exercise price of the call, plus the aggregate call out-of-the-money amount, if any; or (2) 20% of the current market value of the short security future. [Description of Offset] 
Short security future (or basket of security futures representing each component of a narrow-based securities index) and long call option or warrant on the same underlying security (or index)
Final Rule: Customer Margin Rules Relating to Security Futures