Polyhedra IMDB is what you are looking for.
The margin is not the risk of your portfolio.
Margin is : what will cost to close all you position tomorrow
Of course more you...
the margin of an short option is not the one of the underlying.
It is in the span file and it is computed with the BS formula.
Why didn't you read my answer?
read more write less.
you think IM = worse loss
it is false.
If you sell a put they have to buy it....
eurex uses RBM but it is like span.
IM=risk + net option value = additional margin + premium margin
What is the cost to liquidate your...
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