Příspěvek
od Myk » pát 20. pro 2019 20:36:37
Tak jsem dostal odpověď, že IB počítá margin s růstem VIXu na 37 ze současné úrovně 15 a že zadní měsíce mají vyšší bid/ask spready, tak jim dávají vyšší margin.
Takže jestli dobře počítám, tak by musel OCT vyletět na 37 a NOV by se nesměl pohnout ani o píď a musel by zůstat na 16. To si dovedu představit na V1/V2, který má ale margin 6K.
Dear Mr.,
IBKR implemented margin increases for all Volatility related products in response to a relatively low VIX index. IBKR's margin policy considers market outcome scenarios under which the VIX might rise to a price of approximately 37, and under which the other Volatility Products could rise to proportionately similar degrees.
When trading VIX related products (e.g. VXX, VIX, XIV, SVXY, etc.) IBKR was creating a scenario where the VIX Index was trading at approximately 37, from its current level of approximately 15, when deriving the margin requirement. To say it another way, for an account that is short volatility, we are assuming the VIX index instantaneously moves from 15 and is trading at approximately 37, and then IBKR is calculating the margin requirement based on the projected loss in the account.
Additionally, front-month futures contracts are generally the most liquid and possess the smallest spread between the futures price and the spot price of the underlying futures contract. Alternatively, back months are often less liquid than the front month, generally have wider bid/ask spreads, and don’t track price movements as accurately as front-month future contracts. As a result, exchanges that establish the minimum margin requirements for VIX futures have a higher minimum margin requirement for the front month vs the back-month future contracts.
Interactive Brokers is applying the same logic when generating the margin requirements for long VIX calendar spreads (e.g. short front month and long back month). We will still stress the VIX index up to approximately 37, and depending on how many days until expiration, will allow for only partial offsets from the front month vs the gains from the back month.
Most Sincerely, Jim
Trade Group
. Škoda, protože tohle vypadá jako opravdu misspricing, který by se měl s velkou pravděpodobností narovnat. No a co je taky blbý, tak jsem ti toho požadaku nevšiml, když jsem pozici otevíral, takže už nemůžu navýšit pozici. 
