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Portfolio margin

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Sofia, Bulgaria
Trading Experience: Advanced
Platform: IB,TOS
Broker/Data: IB
Favorite Futures: Options,ES,6E,ZB,SPX,RUT,CL
Posts: 47 since Jul 2010
Thanks: 6 given, 42 received

Portfolio margin

Hi all,
Is there anyone who is familiar with Portfolio Margin? My specific question is: what is logic / math that force initial margin to change over time. For example: when opening a position (Short Call) with DTE33 and 10 delta, initial margin is about $ 5500 but with approaching expiration it changes and it can reach $ 9,100 or more. This example is with equal (no change) other parameters, i.e. I only change DTE and I use so-called sticky delta method to find margin change.

Thanks in advance,

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