Call credit spread assignment procedure

portfolio margin is different in that a long dated call is treated differently than a short dated one.

a spread is a spread until it’s not. Then the margin changes.

 

This is new to me.

 

When they shock a 1y call isn’t the margin lower than when they shock a 1 month call?

 

The OCC treats them the same, it is just that with the a shock for that product class, a short term option is more apt to be worth $0 than one with two years to go.

 

that’s what I meant. Same shock but different values because of gamma unlike reg t where margin is based on moneyness.