SPX Credit Spread Trader

[riskarb]

Quote from yip1997:

Mav,

Do you think we will get similar leverage with this new portfolio-based margin when compared to haircut?

The model IS OCC JBO haircut.

 

[momoneythansens]

Quote from riskarb:

The model IS OCC JBO haircut.

Right, using TIMS.

Should be interesting. It's all speculation though until it actually arrives.

 

[riskarb]

Quote from momoneythansens:

Right, using TIMS.

Should be interesting. It's all speculation though until it actually arrives.

I am sure this has been posted, but it's a good primer to keep handy:

http://www.sec.gov/rules/sro/occ/34-53322.pdf

 

[Maverick74]

Quote from riskarb:

I hear that the high water mark will be PDT. It was initially designed to rein-in and regulate prime brokerage activities; as well as repatriate some funds from EUR. They don't think it's possible to limit it to high-dollar accounts as Reg T affected most retail and inst. buy-side trading.

I am hearing 500k minimum. And retail firms will charge exorbitant finance charges for anyone that uses it. There will also be a very strict approval process as well similar to what they use to do in the old days when they had 3 levels of options trading access.

 

[momoneythansens]

Quote from riskarb:

I am sure this has been posted, but it's a good primer to keep handy:

http://www.sec.gov/rules/sro/occ/34-53322.pdf

Thanks for that!

It would seem to make sense that implementation of STANS (by end of year?) would be co-ordinated with this portfolio margin change but they appear to be separate initiatives. At least, the proposals and the Deloitte article discussed Portfolio margin only in the context of TIMS

"STANS generates a distribution of 10,000 potential profit/loss outcomes for the
entire portfolio rather than simply a range of potential price movements."

Monte Carlo+

 

[Maverick74]

Quote from riskarb:

The model IS OCC JBO haircut.

From what I've heard the onus is on protecting long stock positions by allowing investors to convert stock into syn calls (long stock/long puts). But keep in mind, this is not all going to happen at once. This will probably be the first stage. Then there will be modifications going forward. The retail brokers do not want to have be actively managing complex derivative positions. Right now, even TOS and Options Express has a hard time explaining how they margin iron condors. I swear these people are morons.

 

[riskarb]

Quote from Maverick74:

I am hearing 500k minimum. And retail firms will charge exorbitant finance charges for anyone that uses it. There will also be a very strict approval process as well similar to what they use to do in the old days when they had 3 levels of options trading access.

My source is an SEC middle-manager. I received a fwd of an email due to a connection with my in-laws. L3 was a joke.

The SEC is concerned that a high water mark will be untenable for many reasons -- hence it's targeted at anyone staying within PDT. They LOVE PDT.

 

[yip1997]

I have a question regarding TOS fill.

I have an order opened for some time to buy Rut Jan 900 call @0.6. The system shows it is working and submitted to cboe, but I don't see my order reflected in the bid and ask (the bid/ask is 0.55/0.65). Is TOS holding my order or what?

 

[El OchoCinco]

Mav:

When you get a chance look at the e-mail I sent you... (answer in private )

I now return you back to your regularly scheduled tangent..

 

[riskarb]

Quote from momoneythansens:

Thanks for that!

It would seem to make sense that implementation of STANS (by end of year?) would be co-ordinated with this portfolio margin change but they appear to be separate initiatives. At least, the proposals and the Deloitte article discussed Portfolio margin only in the context of TIMS

"STANS generates a distribution of 10,000 potential profit/loss outcomes for the
entire portfolio rather than simply a range of potential price movements."

Monte Carlo+

Right, an offspring of riskmetrics VaR. Ib has been offering a portfolio-VaR for some time. Not w/o bugs, however.