How does IB Calculate margin for Portfolio Margin

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ET180

I read that they determine margin by stress testing and simulate 30% moves. But for derivatives, how much does the calculation depend on the implied volatility of the derivatives?

Edit: Mods, feel free to move this to the IB subsection of the Broker forum. I would delete and repost, but I don't see a delete option.
 
ET180 said:
I read that they determine margin by stress testing and simulate 30% moves. But for derivatives, how much does the calculation depend on the implied volatility of the derivatives?

Edit: Mods, feel free to move this to the IB subsection of the Broker forum. I would delete and repost, but I don't see a delete option.
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they also shock the vol up
 
HobbyTrading said:
There is a detailed overview on this page: https://ibkr.info/node/3114
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One additional comment to how IB does this Exposure Fee calculation. They do NOT simply look at your portfolio and "wiggle" each of the positions one-by-one. As they describe, they use a correlation matrix and run Monte Carlo simulations. The results of this can be that you will get an exposure fee claim based on instruments which you do NOT hold.
This happened to me: I was charged an exposure fee as I had a large exposure to "United Kingdom Equity". The funny part of this? I don't trade any UK Equity products in my portfolio. And I don't trade any products which quote in GBP. Nevertheless, my portfolio of about 25 open positions, spread over multiple asset classes and spread out globally, was determined to have excessive exposure to the FTSE 100 index. For a while this cost me a few USD per day, until it somehow magically disappeared, without any specific action on my side. I consider this one of those costs you pay for doing business with IB.
 
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