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Portfolio margin

  #15 (permalink)

London, UK
 
Trading Experience: Advanced
Platform: TT, CQG, esignal, TWS
Favorite Futures: Futures, spot FX, Energy Spreads Prop Firm
 
Posts: 61 since Jun 2011
Thanks: 16 given, 56 received


alchemist74 View Post
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,
Ivo

Hi. Portfolio margining by it's very nature is dynamic. Your brokers back office system will margin you in real time.

Good Luck.

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