my trade journal
- Thread starter weij
- Start date
Y2D +3.97%
Margin Ratio prev EOD 108.02%
Margin Ratio Open 107.99%
Delta 0.05%
Theta 0.9%
Vega 2.3%
Stess Test PnL 299.3% 159.9% 46.9% 34.8% 146.8% 307.2%
VAR -7.3%
No margin overnight explosion for consecutive two days since Monday!
big loss would kick in if the underlying drop more than 5% but IB doesn't allow me to sell stock or buy put. Didn't figure out the workaround until market close.
Margin Ratio prev EOD 108.02%
Margin Ratio Open 107.99%
Delta 0.05%
Theta 0.9%
Vega 2.3%
Stess Test PnL 299.3% 159.9% 46.9% 34.8% 146.8% 307.2%
VAR -7.3%
No margin overnight explosion for consecutive two days since Monday!
big loss would kick in if the underlying drop more than 5% but IB doesn't allow me to sell stock or buy put. Didn't figure out the workaround until market close.
Last edited:
Yes, and I ask IB
In the stress test report I saw my pnl are all positive in all the scenarios. However my margin is still very huge (108% of my NPV). I think it means some scenarios used in margin scan caused it. Can we include the scenarios used in margin scan in stress test?
Their reply:Thank you for contacting IBKR Client Services.
The Stress report shows the change in value of your positions under the assumption that the underlying price of each of your positions declines by 10%, 20%, and 30% and independently increases by 10%, 20%, 30%, 40% and 60%. These results are based on theoretical pricing models and do not take into account coincidental changes in volatility (except for Equity) or other variables that affect derivative prices.
However, the price scan ranges used for margin calculations are not made available to clients. IBKR computes charges dynamically based on the mark price of the underlying and scanning ranges defined in percent terms. Additionally, we apply the Equity concentration (Alternative Small Cap Concentration Margin Algorithm) to calculated the margin requirements for concentrated positions. These proprietary margin algorithms are not made available to clients. If there is a specific product or group of products for which you would like us to review margins, please let us know.
The Stress report shows the change in value of your positions under the assumption that the underlying price of each of your positions declines by 10%, 20%, and 30% and independently increases by 10%, 20%, 30%, 40% and 60%. These results are based on theoretical pricing models and do not take into account coincidental changes in volatility (except for Equity) or other variables that affect derivative prices.
However, the price scan ranges used for margin calculations are not made available to clients. IBKR computes charges dynamically based on the mark price of the underlying and scanning ranges defined in percent terms. Additionally, we apply the Equity concentration (Alternative Small Cap Concentration Margin Algorithm) to calculated the margin requirements for concentrated positions. These proprietary margin algorithms are not made available to clients. If there is a specific product or group of products for which you would like us to review margins, please let us know.
Y2D +9.56%
Margin Ratio prev EOD 104.79%
Margin Ratio Open 114.9%
Delta -0.07%
Theta 0.21%
Vega 2.16%
Stess Test PnL 543.6% 309.0% 112.2% 29.0% 152.0% 317.5%
VAR-0.7%
Margin jumped overnight again.
There must be something wrong with their margin calculation. My Var is reduced to almost zero
the previous potential big loss when underlying price drop was fixed.
Margin Ratio prev EOD 104.79%
Margin Ratio Open 114.9%
Delta -0.07%
Theta 0.21%
Vega 2.16%
Stess Test PnL 543.6% 309.0% 112.2% 29.0% 152.0% 317.5%
VAR-0.7%
Margin jumped overnight again.
There must be something wrong with their margin calculation. My Var is reduced to almost zero
the previous potential big loss when underlying price drop was fixed.
Last edited:
Y2D +9.12%
Margin Ratio prev EOD 75.45%
Margin Ratio Open 107.34% (after expiry)
Delta 0.04%
Theta 0.44%
Vega 0.96%
Stess Test PnL (prev) 255.1% 115.8% 22.7% 39.4% 139.0% 257.1%
VAR -0.7%
(I just realized the most recent available stress test report is for the previous day. )
Today I got margin call again due to post expiry margin deficit. I failed to fix it (although I reduced it by 70%) until margin call liquidation started. Then I realize IB wanted to me to bet one stock up while the other stock down. And it rejected my attempts to revert them to delta neutral. Now although my overall delta is still small, but actually I'm vulnerable to big market move. Really fucked up.
Margin Ratio prev EOD 75.45%
Margin Ratio Open 107.34% (after expiry)
Delta 0.04%
Theta 0.44%
Vega 0.96%
Stess Test PnL (prev) 255.1% 115.8% 22.7% 39.4% 139.0% 257.1%
VAR -0.7%
(I just realized the most recent available stress test report is for the previous day. )
Today I got margin call again due to post expiry margin deficit. I failed to fix it (although I reduced it by 70%) until margin call liquidation started. Then I realize IB wanted to me to bet one stock up while the other stock down. And it rejected my attempts to revert them to delta neutral. Now although my overall delta is still small, but actually I'm vulnerable to big market move. Really fucked up.