Daily Account Margin Recalculations – Futures

R

risknav

I’ve done some researching; both here and from previously released IB account margin webinar notes and can’t find anything related to what I’m going to ask/discuss. Any attempt to reach out to IB directly and ask about this is a non-starter, this is probably the best place so here we go…

I’ve noticed that over the years, changes in margin to my account that holds long/short futures in tandem with FOPs (in this case exclusive to CME products) happen around 2PM EST and again after a certain reset (most probably the margin system) sometime after 12:00AM, but not past 12:30AM EST.

As my account equity has risen over these years, also with the size and complexity of those positions these changes have become seemingly exponentially larger. So much that I pay extra attention to my margin around 2PM (and have been flipped into margin deficiency more so recently) and stay up to monitor any change at midnight, especially if my excess liquidity is a number I’ve seen go negative in the past with these instant changes.

I previously assumed this was IB loading updated exchange SPAN files into the system and “re-assessing” all positions in an account for an updated margin calculation (I will also say I’ve had my excess liquidity rise significantly a few times – something I would obviously NEVER complain about).

Anyone else see this type of behavior? Or better yet, can you tell me exactly what is going on if you’re privy to such knowledge.

Thanks in advance.
 
risknav-when you trade options on futures, what does that typically look like? Long options are not part of the span margin file. They are fully paid for at the time of the trade. I believe debit spreads are the same. Credit spreads and naked shorts likely have a margin requirement that can change with the SPAN files. Most FCMs only do this math at the end of the trading session but your broker can do whatever they want before the end of the session. At that point, they can ask for more equity but not less than the exchange requirement.
 
Robert Morse said:
risknav-when you trade options on futures, what does that typically look like? Long options are not part of the span margin file. They are fully paid for at the time of the trade. I believe debit spreads are the same. Credit spreads and naked shorts likely have a margin requirement that can change with the SPAN files. Most FCMs only do this math at the end of the trading session but your broker can do whatever they want before the end of the session. At that point, they can ask for more equity but not less than the exchange requirement.
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Hey Robert,

My positions are largely credit spreads and a very low number of naked shorts. I find myself purchasing low cost (in actual dollar terms) short term (1-week or less) puts and calls to manage the margin swings if I’m close too, or go instantly negative excess liquidity. This is even more frequent at the midnight margin “re-assessment” when larger or more complex positon changes are not possible or poorly quoted.

I’m also aware this is probably (or certainly) a sign I’ve got too much on, but for example the ES constantly going one direction for months was not ideal.

Thanks.
 
Having watched this for some years myself, I think you have it.

I'm not sure precisely what happens at IB, but you are correct that the margins seem to be adjusted at 2pm and during the overnight break. It seems obvious, but it's generally following the change in the VIX since the last adjustment - in terms of whether the adjustment will be favorable to your margin required or not.
 
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