Recent content by jef

Polyhedra IMDB is what you are looking for.

Hi iceman1, The margin is not the risk of your portfolio. Margin is : what will cost to close all you position tomorrow Of course more you sell option more the cost is higher because it means buy more and more option to close it.

Hi, the margin of an short option is not the one of the underlying. It is in the span file and it is computed with the BS formula. A bad approximation (but make you understand how it works) is : margin of the underlying * delta of the option + option value

Why didn't you read my answer? read more write less. you think IM = worse loss it is false. If you sell a put they have to buy it. otherwise the next day the loss can continue.

Hi eurex uses RBM but it is like span. IM=risk + net option value = additional margin + premium margin What is the cost to liquidate your position? buy your put. It is the premium margin. But the prices will change of new price less settlement price it is the additional margin and it...