Quote from Attacking Mid:
I experienced similar problems when legging into vertical spreads on VIX options. For whatever reasons, switching to VXX options eliminated my problem. I was thinking perhaps it was a futures vs. ETF issue, but you seem to be having the issue with ETF options if you're using SPY options.
I recently lost a chunk of money when I legged into a large vertical spread on VIX options just before the close. I should have had very little margin usage as I was able to offset my opening long position with a short of the next strike for almost the same price. Unfortunately, IB's calculation put me over my margin limit by a few cents causing an auto-liquidation into an after-hours market moving significantly and with large spreads. What should have been a nice, essentially locked-in profit, resulted in a significant loss.
AM.
