383655dd_s_Relating_to_Security_Futures__Description_of_Offset
[0] 11 Individual stock or narrow-based security index [Initial Margin Requirement] 20% of the current market value of the long security future, plus the aggregate call in-the-money amount, if any, plus pay for the put in full. Proceeds from the call sale may be applied. 10% of the aggregate exercise price, plus the aggregate call in-the-money amount, if any. [Description of Offset] 
Long security future, long put option and short call option. The long security future, long put and short call must be on the same underlying security and the put and call must have the same exercise price. (Conversion)
Final Rule: Customer Margin Rules Relating to Security Futures