The Delta of an FX option position describes how the value of the option changes as a result of changes in the underlying FX spot rate.
The Delta of an FX option position multiplied by the notional amount gives the underlying spot exposure of the position (i.e., Delta Exposure = Notional Amount * Delta). The spot exposure represents the size of the spot position required to hedge the FX option.
The calculation for the Delta Margin requirement of a Forex Option position is:
Delta Margin = Delta Exposure * Forex Spot Margin Requirement
When calculating the Delta Margin requirement for a new FX option position, all of the portfolio’s current spot exposures at the client's account includes any sub accounts - both open FX spot positions and FX option spot exposures – are considered.