I have been experimenting with the OCC Portfolio Margin calculator, but I would like to check scenarios based on historical market prices. Does anyone know of a way to check PM using historical market data? I am willing to purchase software if necessary.
The OCC calculator does not offer that. It would be tough to does this manually on more than a few position if the are option positions. For equities options, you need to simulate that days options skew in order to then simulate a shock of +/- 15% on each position by symbol. I don't know of any software off the shelf than can do this easily. If your option positions are OTM, the simulation gets even harder because the OCC uses a modified skew to smooth volatilities and prices so there are no arb possibilities. You can't use the screen vols from the mid-point from that day for OTM options. Also, they calculate puts and calls separately so their is no put call parity. There are other oddities that make this very difficult. (I was the beta tester for our technology group. We built the only broker neutral real time OCC PM tool that estimated accurately PM margin for EOD, but during the day live. It was built into a risk platform that was closed down last December) If you need to do this with an equity only position, you only need closing prices so it is very easy. Keep in mind that the OCC PM haircut is the max leverage you can get. No one really offers that in practice.