IB - Portfolio Margin have higher requirement than Reg-T!!!

Discussion in 'Options' started by ofinance, Jul 30, 2012.

  1. 1245

    1245

    Yes. http://apps.theocc.com/pmc/pmc.do
     
    #31     Aug 1, 2012
  2. hajimow

    hajimow

    I always check the margin impact of any trade that I do by entering the order (before transmitting) and then right clicking and selecting margin requirements. For existing orders, you can try to put a fake order to close the poition and then see the margin impact of it. Sometimes adding a position actually improves your margin instead of reducing your margin. For example, if you have a naked ITM call, buying the underlying improves your margin.
     
    #32     Aug 1, 2012
  3. ofinance

    ofinance

    Sure! because SPY can move down to $80 on a PMargin but not on Reg-t!
    Seriously, the type of the account doesn't affect the stock/option price, if you sell a strangle at 6.00 and it is trading now at 10.00, you are going to lose $400 per position closed no matter what account type you have.
     
    #33     Aug 1, 2012
  4. d08

    d08

    Just because they are tech stocks doesn't mean they are all highly correlated (and they aren't).
    If you think about it then it makes a lot of sense, any corporate scandal can move the stock 50% in a day - it has happened before. The likelihood of 2 extremely significant corporate scandals happening exactly at the same time is however very unlikely, more so 3.
     
    #34     Aug 1, 2012
  5. Options12

    Options12 Guest

    This is not the case.

    IB explained why in another thread about Portfolio Margin:

    http://www.elitetrader.com/vb/showthread.php?s=&postid=3374153#post3374153
     
    #35     Aug 1, 2012
  6. Options12

    Options12 Guest

    Jason, using your methodology, what would the total margin requirement look like if the three strangles in this example were stressed to 30% moves on the underlying?

    Thanks in advance.
     
    #36     Aug 1, 2012
  7. Jay_Ap

    Jay_Ap

    At a 30% move, the average delta of the position is likely to end up closer to let's say 0.85 on average (bigger move means one of the options is more in the money). So, taking this into account, you end up with margin requirements as follows:

    Percent_Move * Share_Price * Quantity * Delta = Margin_Req.

    1. GOOG: 0.3 * 632 * 100 * 0.85 = $16,116
    2. AAPL: 0.3 * 610 * 100 * 0.85 = $15,555
    3. SPY: 0.3 * 138 * 100 * 0.85 = $3,519

    If you sum these numbers you get a total margin req of: $35,190
     
    #37     Aug 1, 2012
  8. Options12

    Options12 Guest

    Maybe that explains it. The calculation contemplates moves up to 30% due to the limited number of underlying positions.
     
    #38     Aug 1, 2012
  9. Jay_Ap

    Jay_Ap

    You could be right and it would be a prudent decision on IB's part. If I was writing the specs for IBs Portfolio Margin system, I would certainly impose a substantial position concentration penalty. 30% seems well within the realm of reason.

    -Jason
     
    #39     Aug 1, 2012
  10. ofinance

    ofinance

    I want to ask you this, if you had more than $100,000 equity, would you apply for Pmargin or stay with Reg-T?
     
    #40     Aug 1, 2012