I don't currently have a risk-based haircut, but obviously it's to facilitate market making. An upstairs trader/market maker joins a Joint Back Office to receive risk-haircut. Reduced, the haircut required is VaR at x%; or possibly loss of x% at two sigma up/down, whichever is greater. It usually requires an S7 unless your backer is large enough to offer endogenous leverage [retail req] simply on the basis of being very well capitalized. Risk-haircut on unhedged shares is 15% vs. 50% for RegT retail. There are a ton of JBOs in Chicago; Block through 1st Ops[GS/SLK], etc... "Back in the day" the minimum capital req. w/o joining a firm was $250k. Maverick74 would be the guy to talk to as he deals with a haircut every trading day... I've been out of the loop for a long time and never gave it too much consideration.
Hey , Sle... Yes , in general , but isn't very dangerous in the last week of exp ? Even with a small trend , the tree structure will overwrite the loss of theta , no ? The ATM SPX's straddle was selling just for 1.2% of the nominal this morning , what will happen if market goes down again tomorrow?
Riskarb is your man for this question... I have to know the bet's conditions to calculated the diff between 6 and 7 branches tree for "odds to hit".