383655dd_s_Relating_to_Security_Futures__Description_of_Offset
[0] 9 Narrow-based security index [Initial Margin Requirement] 20% of the current market value of the short basket of narrow-based security futures, plus pay for the long 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 basket of security futures. [Description of Offset] 
Short a basket of narrow-based security futures that together tracks a broad-based security index and long a broad-based security index call option contract on the same index
Final Rule: Customer Margin Rules Relating to Security Futures