Does anyone have a rough idea of how the calculation works? I am trying to follow their page on PM and using delta, gamma and vega to estimate it but I can't even get close. https://www.interactivebrokers.co.u...ex=us&rgt=1&rsk=0&pm=1&rst=101004010808080801
https://www.theocc.com/Risk-Management/Portfolio-Margin-Calculator A firm's requirement may be higher. Is this a hypothetical question, because Canadian accounts are currently not eligible and it's entirely possible the calculator may not function from your IP.
They will run a bunch of scenario scans with price change and vol change and find the worst case to require you can still survive in that case. It is like stress test but not that extreme, say, maximum vol change would be +/- 15% instead of 30%. and as write in that web page: "Because of the complexity of Portfolio Margin calculations it would be extremely difficult to calculate margin requirements manually". basically they can get any result they want. a good start point is the risk navigator tool.