P&L Offsets

The Portfolio Margin methodology for determining the margin requirement allows for gains from one Class Group to offset the losses to a different Class Group, provided that both Class Groups are part of the same Product Group. These P&L offsets are applied after stressing the underlyings by a market move associated with the type of underlying. 
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Class Group: This is the most granular level of position grouping. The Class Group consists of options on the same underlying and the underlying itself. For example, look at the Russell 3000 Index Basket in the table below. This Class Group consists of all the ETF's (IWV, UWC, TWQ) and the options traded on those ETFs or against that index. Within the Class Group, the 100% of the gains to one position offset the losses to other positions.   

Product Group: This is the second level of position grouping. Class Groups that are similar are organized into Product Groups. Product Groups are identified with a grey block header at the beginning of each table below. Within a Product Group, a percent of the gains to one Class Group offsets the losses to other Class Groups. This is known as the Offset. The offset percent is shown to the right of the table in the yellow block. 

Portfolio Group: This is the final level of position grouping. Product Groups that are similar are organized into Portfolio Groups. Within a Portfolio Group, a percent of the gains to one Portfolio Group offsets the losses to other Portfolio Groups. The offset percent is shown to the right of the table in the blue block. There is currently only one Portfolio Group which consists of Broad Based Indexes, NASD Market, and Small Cap Indexes.
Broad Based Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset
Portfolio Group Offset
ISE 250 Index basket IXZ
100% Offset
90% Offset
50% Offset
S&P 100 Index basket OEX OEF 100% Offset

Russell 3000 Index Basket RUA IWV,UWC,TWQ 100% Offset

Dow Jones Industrials Index DJX DIA, DOG, DDM, DXD, SDOW, UDOW 100% Offset

Russell 1000 Index basket RUI IWB, BGU, BGZ 100% Offset

S&P 500 Index basket SPX SPY, SPXU, SSO, UPRO, VOO 100% Offset

MSCI US Broad Market Index MUN VTI 100% Offset

Rydex S&P Equal Weight ETF RSP RSP 100% Offset

PowerShares FTSE RAFI US 1000 Portfolio PRF PRF 100% Offset

iShares DJ US Total Market Index ETF IYY IYY 100% Offset

iShares S&P 1500 Index ETF ISI ISI 100% Offset








NASD Market


Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset
First Trust NASDAQ-100 Equal Weighted Index Fund QQEW QQEW 100% Offset
75% Offset
NASDAQ 100 Index basket NDX PSQ, QID, QLD, QQQQ, SQQQ, TQQQ 100% Offset








Small Cap Indexes


Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset
S&P MidCap 400 MID MDY, IJH, MVV, MZZ, SMDD, UMDD 100% Offset
75% Offset
Russell 2000 RUT IWM, RWM, SRTY, TNA, TWM, TZA, UWM 100% Offset

CBOE S&P Small Cap 600 Index basket SML IJR, SBB, SAA, SDD 100% Offset

Vanguard Small-Cap Index VB VB 100% Offset

Russell Midcap Index RMC IWR, MWN, MWJ 100% Offset

Russell 2000 Growth Index RUO IWO, SKK, UKK, VTWG 100% Offset

Russell 2000 Value Index basket RUJ IWN, SJH, UVT 100% Offset

Russell Midcap Index RMC IWR, MWN, MWJ 100% Offset

Russell Midcap Value Index basket RMV IWS, SJL, UVU 100% Offset

iShares Russell Microcap Index ETF IWC IWC 100% Offset









European Indexes



Index Name Index Symbol ETF Symbols Class Group Offset



AMEX Eurotop 100 Index basket EUR
100% Offset











Growth Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

MSCI USA Growth Index MRG
100% Offset
80% Offset

iShares Russell 3000 Growth Index ETF IWZ IWZ 100% Offset


Russell 1000 Growth Index basket RLG IWF, SFK, UKF, VONG 100% Offset


S&P 500/Citigroup Growth Index SGX IVW, SPYG 100% Offset










Value Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

MSCI USA Value Index MCU
100% Offset
90% Offset

S&P 500/Citigroup Value Index SVX IVE, SPYV 100% Offset


Russell 1000 Value Index basket RLV IWD, SJF, UVG 100% Offset


Russell 3000 Value Index basket RAV IWW 100% Offset










Japan Indexes



Index Name Index Symbol ETF Symbols Class Group Offset



Nikkei 225 Index basket NKY
100% Offset











FTSE 100



Index Name Index Symbol ETF Symbols Class Group Offset



ISE Mini FTSE 100 Index basket UKX
100% Offset











S&P 500 Buy Write Index



Index Name Index Symbol ETF Symbols Class Group Offset



S&P 500 Buy Write Index BXM
100% Offset











China Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

FTSE/Xinhua China 25 Index ETF FXI FXI, FXP, XPP 100% Offset
90% Offset

CBOE China Index basket CYX
100% Offset


SPDR S&P China ETF GXC GXC 100% Offset


NASDAQ OMX China Index CNZ
100% Offset










MSCI EAFE Index



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

MSCI EAFE Index EFA DPK, DZK, EFA, EFO, EFU, EF 100% Offset
90% Offset

Vanguard Europe Pacific Index ETF VEA VEA 100% Offset


MSCI EAFE Net Total Return Index MFU
100% Offset










Gold and Silver Mining Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

PHLX Gold & Silver Index basket XAU
100% Offset
90% Offset

AMEX Gold Miners Index GDM DUST, GDX, NUGT 100% Offset










Oil and Natural Gas



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

NYSE Arca Oil Index BZJ
100% Offset
80% Offset

PHLX Oil Service Index basket OSX
100% Offset


AMEX Natural Gas Index XNG
100% Offset


ISE-Revere Natural Gas Index FUM FCG, GASL, GASX 100% Offset


iShares Dow Jones US Oil Equip & Services Index Fund IEZ IEZ 100% Offset


ISE Integrated Oil & Gas Index PMP
100% Offset


iShares Dow Jones US Oil & Gas E&P Index Fund IEO
100% Offset


Direxion Daily Energy 3x Share ERX ERX, ERY 100% Offset


PowerShares Dynamic Oil & Gas Services Portfolio PXJ PXJ 100% Offset


SPDR Oil & Gas Equipment & Services ETF XES XES 100% Offset


SPDR Oil & Gas Exploration & Production ETF XOP XOP 100% Offset


Dow Jones U.S. Oil & Gas Index IYE DDG, DIG, DUG, IYE 100% Offset


Vanguard Energy Index VDE VDE 100% Offset


ISE Oil and Gas Services Index OOG
100% Offset


SIG Oil Exploration & Producers Index basket EPX
100% Offset


Oil Service HOLDRs Trust OIH OIH 100% Offset


Select Sector SPDR - Energy XLE XLE 100% Offset










Home Builder Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

iShares Dow Jones U.S. Home Construction Index Fund ITB ITB 100% Offset
85% Offset

SPDR S&P Homebuilders ETF XHB XHB 100% Offset


PHLX Housing Sector Index HGX
100% Offset


ISE Homebuilders Index basket RUF
100% Offset










Biotech Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

NYSE Arca Biotechnology Index BJE FBT 100% Offset
80% Offset

NASDAQ Biotechnology Index basket NBI IBB 100% Offset


SPDR S&P Biotech ETF XBI XBI 100% Offset


PowerShares Dynamic Biotech & Genome Portfolio PBE PBE 100% Offset










Pharmaceutical Index



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

NYSE Arca Pharmaceutical Index KBK
100% Offset
90% Offset

PHLX Drug Index basket RXS
100% Offset


Pharmaceutical HOLDRs Trust PPH PPH 100% Offset










Utility Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

Dow Jones Utility Average DUX
100% Offset
80% Offset

PHLX Utility Index basket UTY
100% Offset


Utilities HOLDRs Trust UTH UTH 100% Offset


Dow Jones U.S. Utilities Index IDU IDU, UPW, SDP 100% Offset


Vanguard Utilities VIPERs VPU VPU 100% Offset


Select Sector SPDR - Utilities XLU XLU 100% Offset










Real Estate Investment Trusts



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

Dow Jones U.S. Real Estate Index IYR IYR, URE, SRS 100% Offset
85% Offset

MSCI US REIT Index RMZ DRN, DRV 100% Offset


SPDR DJ Wilshire REIT ETF RWR RWR 100% Offset


iShares Cohen & Steers Realty Majors ICF ICF 100% Offset


Vanguard REIT VIPERS VNQ VNQ 100% Offset










Technology Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

Morgan Stanley High Tech Index basket MSH MTK 100% Offset
80% Offset

Dow Jones US Technology Index IYW IYW, ROM, REW 100% Offset


Russell 1000 Technology Index TYH TYH, TYP 100% Offset


Select Sector SPDR - Technology XLK XLK 100% Offset










Retail



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

SPDR S&P Retail ETF XRT XRT 100% Offset
80% Offset

CBOE Morgan Stanley Retail Index basket MVR
100% Offset


Retail HOLDRs Trust RTH RTH 100% Offset










Transportation Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

CBOE Dow Jones Transportation Index basket DTX
100% Offset
90% Offset

iShares Dow Jones Transportation Average Index Fund IYT IYT 100% Offset










Internet Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

NASDAQ Internet Index QNET
100% Offset
75% Offset

CBOE Internet Index baske INX
100% Offset


Internet HOLDRs Trust HHH HHH 100% Offset










US Banking & Financial Sector



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

PHLX KBW Bank Index basket BKX KBE 100% Offset
90% Offset

Dow Jones U.S. Financial Services Index IYG IYG 100% Offset


Direxion Daily Financial 3x Shares FAS FAS, FAZ 100% Offset


S&P 500 Financials XLF XLF 100% Offset


Dow Jones U.S. Financials Index IYF IYF, UYG, SKF, SEF 100% Offset


Regional Bank HOLDRs Trust RKH RKH 100% Offset










Semiconductor Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

PHLX Semiconductor Index SOX SOXL, SOXS 100% Offset
85% Offset

ProShares Ultra Semiconductor USD USD 100% Offset


ProShares UltraShort Semiconductor SSG SSG 100% Offset


Semiconductor HOLDRs Trust SMH SMH 100% Offset










Crude Oil



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

United States Oil ETF USO USO 100% Offset
80% Offset


DXO
100% Offset


ProShares Ultra DJ-AIG Crude Oil UCO UCO 100% Offset


iPath S&P GSCI Crude Oil TR Index ETN OIL OIL 100% Offset


PowerShares DB Oil Fund DBO DBO 100% Offset










Silver



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset


SI
100% Offset
95% Offset

iSHares Silver Trust SLV SLV 100% Offset


PowerShares DB Silver Fund DBS DBS 100% Offset


ETFS Physical Silver Shares Trust SIVR SIVR 100% Offset



SILV SILV 100% Offset










Gold Bullion



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

PowerShares DB Gold Fund DGL DGL 100% Offset
95% Offset

SPDR Gold Trust GLD GLD 100% Offset


ETFS Physical Swiss Gold Shares SGOL SGOL 100% Offset


iShares Gold Trust IAU IAU 100% Offset



TGOLD
100% Offset



GC
100% Offset










CBOE Volatility Indexes



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset


VXD
100% Offset
80% Offset

VOLATILITY S&P 500 VIX
100% Offset










MSCI Emerging Markets Index



Index Name Index Symbol ETF Symbols Class Group Offset
Product Group Offset

MSCI Emerging Markets Index EEM EEM, EDC, EDZ, EET, EEV, EUM 100% Offset
90% Offset

Vanguard Emerging Markets Stock Index ETF VWO VWO 100% Offset


WisdomTree Emerging Markets High Yielding Equity Fund DEM DEM 100% Offset



References: 
  1. "Risk Based Haircuts and Portfolio Margin". The Options Clearing Corporation
  2. "Customer Portfolio Treatment for Indexes". The Options Clearing Corporation