In recognition of the special risk of sudden, significant increases in market volatility inherent in products such as these, IBKR will be modifying our margin requirements based on potential extreme mark-price movement.
Extreme Price Change Scenarios
To protect against the effect that significant, sudden shifts in expected volatility could have on prices of VIX derivatives, IBKR is expanding the set of stress-test scenarios it considers to include one based on the theoretical mark price for the VIX derivative assuming volatility increases by 300% from its then-current level. We will then set the margin requirement to the greater of (i) 35% of the loss from this stress test and (ii) the highest requirement from IBKR’s existing stress-testing calculations.
The new margin requirement will be effective for trade dateSeptember 26, 2022. Changes will be put into effect sometime after the New York regular trading hours close onSeptember 23, 2022.
As the margin impact is portfolio-dependent, we recommend that you review the full effect on your account before and during implementation. In addition, please take the necessary steps to remain margin-compliant and avoid becoming subject to forced liquidations. To evaluate the full impact of this proposed change on your margin requirements, please seeKB Article 2957: Risk Navigator: Alternative Margin Calculatorand utilize the margin mode setting in Risk Navigator, select "Margin20220926."
Consistent with our stated policy, accounts that are unable to carry a position under this new margin requirement are subject to liquidations to bring the account into margin compliance.
Extreme Price Change Scenarios
To protect against the effect that significant, sudden shifts in expected volatility could have on prices of VIX derivatives, IBKR is expanding the set of stress-test scenarios it considers to include one based on the theoretical mark price for the VIX derivative assuming volatility increases by 300% from its then-current level. We will then set the margin requirement to the greater of (i) 35% of the loss from this stress test and (ii) the highest requirement from IBKR’s existing stress-testing calculations.
The new margin requirement will be effective for trade dateSeptember 26, 2022. Changes will be put into effect sometime after the New York regular trading hours close onSeptember 23, 2022.
As the margin impact is portfolio-dependent, we recommend that you review the full effect on your account before and during implementation. In addition, please take the necessary steps to remain margin-compliant and avoid becoming subject to forced liquidations. To evaluate the full impact of this proposed change on your margin requirements, please seeKB Article 2957: Risk Navigator: Alternative Margin Calculatorand utilize the margin mode setting in Risk Navigator, select "Margin20220926."
Consistent with our stated policy, accounts that are unable to carry a position under this new margin requirement are subject to liquidations to bring the account into margin compliance.
