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Post by thaterrormessage »

Dear Client,

The risk-based margin methodology calculates margin requirements by analyzing the potential worst-case loss a portfolio can suffer over a given period (typically one day). The methodology uses a series of hypothetical market scenarios that reflect changes to underlying price and, in the case of options, time decay and changes to implied volatility as well. Currently, the market scenarios are static and based upon the previous end-of-day data.

Effective May 10, 2022, in a series of daily steps, IBKR will begin to incorporate the following changes into our margin methodology calculations for OCC RBH Products (i.e. U.S. Stocks, ETFs, Options and Non U.S. stocks and options, which meet the SEC's ready market test) :
Risk Scenarios: The Risk Scenarios will be computed based upon IBKR's intraday mark price of the underlying stock, rather than the previous end-of-day data.
Price Scans: The scanning ranges for derivative products will reflect the same percentage move as the house margin requirement of the underlying stock. For example, if the underlying stock has a margin requirement of 40%, then the price scanning will also reflect change in price +/-40%.
Volatility Scanning Range: IBKR will introduce implied volatility scans (at all price levels within the above price scan range), increasing/decreasing the volatility by 15% for individual stocks, 75% for broad-based indexes, and 150% for all remaining classes. Additionally, IBKR will incorporate a coordinated change to the implied volatility of options under each price scenario.
The increase will be phased in over a series of daily increments beginning, after the New York close on May 10, 2022 and continuing through trade date May 24, 2022.

As the margin impact is portfolio-dependent, we recommend that you review the full impact to your account prior to, during and following full implementation. In addition, please take the necessary steps to remain margin-compliant to avoid becoming subject to forced liquidations. To evaluate the full impact of this proposed change on your margin requirements, please see KB Article 2957: Risk Navigator: Alternative Margin Calculator and utilize the margin mode setting in Risk Navigator, select "Margin 20220524".

Consistent with our stated policy, accounts that are unable to carry a position under this new margin requirement are subject to liquidations to bring the account into margin compliance.

Please contact your local Client Service center if you have any questions regarding this notice.
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