VIX derivatives margining at IB

[Marco]

for everyone who trades options on VIX (I know SO does) via IB. I got below message. I'm on portfolio margin - not sure if they ramp Reg-T margin as well. 

I find that IB has tightened their margin parameters a lot over the last 12m finding more and more ways and reasons to have higher requirements for all sorts of situations - some make sense some less so. For example they have margined me more than the premium of a debit spread calendar for the possible risk that the front month (my short) might be assigned.  The option was an out of the money call with plenty of time value (was over earnings)  and the probability of that being exercised was zero and if it would have been exercised it would have made me a fortune...

Anyway long story short they provide a lot less leverage then they used to and for a long time I didn't even look at my equity in the account exceeded margin requirement  by far - now I occasionally find myself very close to being margin called.

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NOTIFICATION - TRADING IN VIX

You are receiving this notification as Interactive Brokers has detected recent derivative activity in the underlying VIX for account ****

IB wishes to alert customers holding derivative positions in VIX to the possibility of increased exchange margin requirements when the derivative held becomes the front month contract. Depending on the SPAN margin information, when a contract moves to being the front month contract, margin may potentially increase by up to 60%. Customers holding a spread position should take particular note of such a possibility.

Traders should monitor their accounts as each expiration approaches to ensure their account remains margin compliant.

[SBatch]

19 minutes ago, Marco said:

for everyone who trades options on VIX (I know SO does) via IB. I got below message. I'm on portfolio margin - not sure if they ramp Reg-T margin as well. 

I find that IB has tightened their margin parameters a lot over the last 12m finding more and more ways and reasons to have higher requirements for all sorts of situations - some make sense some less so. For example they have margined me more than the premium of a debit spread calendar for the possible risk that the front month (my short) might be assigned.  The option was an out of the money call with plenty of time value (was over earnings)  and the probability of that being exercised was zero and if it would have been exercised it would have made me a fortune...

Anyway long story short they provide a lot less leverage then they used to and for a long time I didn't even look at my equity in the account exceeded margin requirement  by far - now I occasionally find myself very close to being margin called.

-- -- -- 

NOTIFICATION - TRADING IN VIX

You are receiving this notification as Interactive Brokers has detected recent derivative activity in the underlying VIX for account ****

IB wishes to alert customers holding derivative positions in VIX to the possibility of increased exchange margin requirements when the derivative held becomes the front month contract. Depending on the SPAN margin information, when a contract moves to being the front month contract, margin may potentially increase by up to 60%. Customers holding a spread position should take particular note of such a possibility.

Traders should monitor their accounts as each expiration approaches to ensure their account remains margin compliant.

Reminder - IB does not margin call, but rather automatically liquidates with a liquidation algorithm.

[Marco]

15 hours ago, SBatch said:

Reminder - IB does not margin call, but rather automatically liquidates with a liquidation algorithm.

indeed, when I said 'margin call' i was talking about their warning that you get when you are getting close to being liquidated. Only managed to get liquidated once when i closed out a spread leg by leg and stupidly closed the long leg first. Thankfully they decided the best liquidation was the short leg of that spread but clearly went into lift the offer so not exactly a great fill but could have been worse.