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Yes, and I ask IB In the stress test report I saw my pnl are all positive in all the scenarios. However my margin is still very huge (108% of my NPV). I think it means some scenarios used in margin scan caused it. Can we include the scenarios used in margin scan in stress test? Their reply...

Y2D +3.97% Margin Ratio prev EOD 108.02% Margin Ratio Open 107.99% Delta 0.05% Theta 0.9% Vega 2.3% Stess Test PnL 299.3% 159.9% 46.9% 34.8% 146.8% 307.2% VAR -7.3% No margin overnight explosion for consecutive two days since Monday! big loss would kick in if the underlying drop more than 5%...

Yes, portfolio account. Sorry I didn't clarify it in the beginning.

Now I realized many replyers in this thread are using RegT instead of portfolio account that I'm with. Sorry I didn't clarify it in the beginning. I took it for granted because the latter usually has significantly less margin than the former for well hedged portfolio. Positive theta means if...

i said my over all theta is positive. do you understand what it means? no offense, just want to make sure we are in same page.

Y2D -3.99% Margin Ratio prev EOD 106.94% Margin Ratio Open ??% Delta 0.06% Theta 2.3% Vega 1.4% Stess Test PnL 129% 58% 6% 35% 125% 267% VAR -18.31% near term vol up caused the loss. should be gone when weekly expire

I got following from IB. Some generic info that might be helpful to someone here: Customer Portfolio Margin System ("CPM") was developed by The Options Clearing Corporation ("The OCC") to support portfolio-based margining of customer accounts. Based on the TIMS margin methodology, CPM takes an...

Any theory backs up / justifies your claim? In what situation an option would cause more potential loss over night? If so, can such change be predicted in the previous day before the market close?

Again, what do you mean by "overnight margins" here? Is it a term used by IB or just the same behavior as I described in my OP? Is there any way I can see the actual number, or at least something close, of such "overnight margins" before the market close?

If stock sells off, his short put would make him buy stock at the low price, which is what he expected ("put to you at 235"). Basically his original thought is fine, only missed that his loss can be higher than that, as I pointed out in my previous reply

someone also mentioned "Overnight margins". What do you actually mean? There is "projected look ahead margin" and they are with exactly same value as the current margin. And when the latter jumps overnight, the former does so, too.

The actual portfolio is pretty messy, with more than 100 options of different strikes and expires. And they varies from time to time. For instance, if the short term option is relatively expensive, it would be like short ATM of the near term and long OTM of the far term, which makes the PnL...

Are you trying to say the time decay of a long option? Yes, the OTM options would usually expired with no value. As I mentioned in an other post in this thread, the over all theta is positive. So they are some cost I'd like to take for the protection, and also hopefully to lower the margin. The...

when price drops near 235, you loss is more than "the stock is put to you at 235". especially if the drop is heavy, the vol would jump up and so would the put premium.

Y2D -2.65% Margin Ratio prev EOD 93.5% Margin Ratio Open 115.3% Delta 0.12% Theta 3.44% Vega 1.08% Stess Test PnL 127.14% 56.95% 5.95% 34.39% 123.60% 263.18% VAR -18.04%

Thanks to a troll in my other thread I found this board, which seems a good place to record / share my status and thoughts. Any comments is welcome and would be appreciated.

There is "post expiry margin" that work as what you described. Last friday it was >500% in the morning. Around 3pm I managed to reduce it to around 130%. I couldn't reduce further because the attempting orders were rejected and IB determine they would cause initial margin deficit. And then the...

bingo. something like that except I also buy far OTM options to survive with the extreme market move.

what is overnight margin and how to see it? I saw there are "projected look ahead initial/maintenance margin". They are equal to the non-projected ones.

Yes I made it delta neutral with positive or small negative theta. Also the pnls would be positive under extreme market move