ES Margin Requirements

[jvalue]

I've been backtesting a simple short strangle strategy on ES options. Margin requirements w/ ToS are ~$4,000 for one lot (both sides). I have an algorithm that buys (or sells) the underlying when it hits my tips to hedge downside. My question is - in the event of a violent ES move, will brokerages factor in my hedge before making a margin call on the naked call/put?

 

[MattZ]

Your question is logical, but it also depends on the risk engine ability to calculate in real time the right margin, and on top the risk dept requirements on naked positions (assuming one will stay naked) during what you described "violent".

 

[tommcginnis]

Risk that was once borne by the market as "IV" is now borne by you and I as a scarily market-responsive margin structure, that may change by the week, not by the season or year or more. And with margin being a few keystrokes to change/modify/*raise*, it should be no surprise that margin is now longer as fixed as we remember. (So, this is just the beginning....)

 

[ali javahery]

On tos under the analyze tab you can
find out the future margin requirement should the underlyine moves. You can edit with % +/- and see the subsequent margin. Hope that helps.

I've been backtesting a simple short strangle strategy on ES options. Margin requirements w/ ToS are ~$4,000 for one lot (both sides). I have an algorithm that buys (or sells) the underlying when it hits my tips to hedge downside. My question is - in the event of a violent ES move, will brokerages factor in my hedge before making a margin call on the naked call/put?