True. It looks like the minimum requirement for the customer's account value was $5 million prior to 2006. Then the minimum was lowered to 100,000. Attached is info from CBOE on the change.
The requirement at most Prime Brokers is still $5mm. To allow PM under $5mm, the broker needs to meet certain requirement that most larger firms don't want to take the time and effort to monitor, because by dollar amount,they are smaller accounts. PM accounts over $5mm are easier, less costly and more profitable to maintain.
TOS's pm calculation is pretty much TIMS except TOS uses a [+10%, -12%] shock range on broad-based options like spx. TIMS uses [+6%, -8%] IB's PM is a mystery. it's loosely based on TIMS but more restrictive. you have less leverage initially but the margin doesn't change as dramatically when the underlying moves.
You are right, it's completely opaque! I have not been able to reverse engineer it. For most of the brokers/clearers I've dealt with, even if I can't match exactly, I can get arbitrarily close. Not with IB, buying power can disappear when you least expect it to, and reappear in equally mysterious ways.
Unfortunatly - after joinning TD I can't see this section in their web site. I would ask a representative on line about it .
After speaking with TOS , this is their answer : we use to have the requirements on the thinkorswim.com website, but it looks like we need to incorporate that information on the tdameritrade.com website as it is no longer on the TOS website. here is the information that you will need though: Send an email to Dave Doolenâ¦. ddoolen@thinkorswim.com Give your account number Tell them you want to apply for portfolio margin Qualifications to request portfolio margin: Your account must have 125,000 It must be a current margin account The account must have full option approval The account holder must have 3 years of option experience After the customer sends the email, Dave Doolen will send an email with 3 attachments. The application for PM The test (customer must score 80% or higher) The Risk Disclosure Form The customer must fill out all relevant forms and scan back or fax back the application. Full instructions will be sent by Dave Doolen with the original email. This information used to be on the thinkorswim website, TD never had this on their website - it may apear their in a while ..
As others have noted, PM is extremely complex to calculate. Additionally it will be different for highly concentrated positions (i.e. all SPX), and will look at 15-30 different risk arrays simultaneously (vol up 10%, underlying down 30% etc...) and choose the riskiest array at any point in time. Also, it depends somewhat on the Volatility curve delivered by OCC overnight, the broker can and does add additional risk requirements, and movement along the risk curve can accelerate parabolically. Finally, it can also lag a big vol move so that if the broad mkt fell 5% 2 days in a row, and returned to more normal conditions on day 3, PM could require higher margins on day 3, after things had calmed down. As always, manage your risk prudently and only trade with a broker that offers real-time margin calculations.
Unfortunately as far as I can see the majority of brokers do not use real-time margining that extends to futures option positions. Does TT X-Trader?, CQG?