Margin on options arb/conversion

Robert Morse said:
Portfolio Margin Accounts (PMA) are risk based and the OCC shocks the stock + options in each symbol to see the max loss over that shock. As an example, AAPL stock and all the AAPL options. What would you lose if the stock were to move 15% up or down. That loss is the OCC margin requirements, with some exceptions. One is there is a minimum requirement of $37.50/option even if there is no risk. Each Broker/Clearing firm has their own house rules creating a higher requirement to cover their risk. The OCC does not have a different requirement for volatile stocks vs more stable ones, but they require the member firms to be more restrictive for those that are more volatile.
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Robert Morse said:
That is not a factor in the margin required in a PMA.
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So wouldn't margin calcs for options then include the expected move data which is based on DTE? Therefore DTE is a consideration?
 
First a note. Your profile says "Canada" and your regulators do not allow Canadian brokers to offer PM. And, we are not a Canadian broker. Now, the answer is no. It is a daily shock to protect the OCC guarantee to member firms as the OCC is the counter party to options. This TIMS calculation is meant to be the minimum capital required to protect members from customer losses. Based on EOD data, if the stock is up or down 15%, what would your loss be. TIMS is terrible and even the OCC knows it, which is why they expect house rules to make up for that. Days to expiration is not a factor when you look at a price change in one moment in time. IMO, SPAN margin for futures is much better and changes often.

wxytrader said:
So wouldn't margin calcs for options then include the expected move data which is based on DTE? Therefore DTE is a consideration?
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