Why does the Cash Report section of my Activity Statement reflect an internal transfer between securities and commodities?
For regulatory purposes IBKR is required to segregate the securities assets within your account from the commodities assets. Those commodities assets may include the market value of options on futures positions plus any cash required as margin as a result of commodities futures and options on futures positions. Periodically, the margin requirement on your commodities positions will be recomputed and should this requirement decline, cash in excess of that required as commodities margin will be transferred from the commodities side of your account to the securities side. Likewise, should the commodities margin requirement increase, IBKR will transfer any available cash from the securities side to the commodities side. As SIPC insurance is provided to assets on the securities side of your account but not the commodities, this periodic transfer is performed to ensure that your cash balance is afford the greatest protection possible. It should be noted that these cash movements represent journal entries within your account which serve to fully offset each other and therefore have no impact upon the aggregate cash balance within your account (see the Total column within the Cash Report section of the Activity Statement).
Can I take delivery on my futures contract?
概観:
With the exception of certain currency futures contracts carried in an account eligible to hold foreign currency cash balances, IB does not allow customers to make or receive delivery of the commodity underlying a futures contract.
Background:
IB does not have the facilities necessary to accommodate physical delivery. For futures contracts that are settled by actual physical delivery of the underlying commodity (physical delivery futures), account holders may not make or receive delivery of the underlying commodity.
It is the responsibility of the account holder to make themselves aware of the close-out deadline of each product. If an account holder has not closed out a position in a physical delivery futures contract by the close-out deadline, IB may, without additional prior notification, liquidate the account holder’s position in the expiring contract. Please note that liquidations will not otherwise impact working orders; account holders must ensure that open orders to close positions are adjusted for the actual real-time position.
To avoid deliveries in expiring futures contracts, account holders must roll forward or close out positions prior to the Close-Out Deadline indicated on www.interactivebrokers.com. From the home page, choose the Trading menu, and then select Delivery, Exercise & Actions. From the Delivery, Exercise and Corporate Actions page, read the information governing Futures and Future Options Physical Delivery Liquidation Rules. Also listed are the few futures in which delivery can be taken, such as currency futures.
Will open futures contracts roll over automatically at expiration?
Please note that futures contracts, by default, do not roll over at expiration. The TWS trading platform, however, does provide a feature to "Auto Roll Data for Expiring Futures Contracts". When specified in Global Configuration, the system automatically rolls soon-to-expire futures data lines to the next lead month. Approximately three days prior to expiration, the new lead month contract will be added to quote monitor. Approximately one day after the contract expires it will automatically be removed from the display.
Additionally, you can instruct TWS to cancel open orders on expiring contracts. If you have the auto-roll option selected, anytime there are open orders on expiring futures contracts you will receive a pop-up message asking if you want TWSto cancel the listed open orders in anticipation of expiration. Once the contracts expire the orders will be canceled automatically.
The following steps are to be performed in order to activate this feature:
1. Click the Configure wrench icon in the trading window
2. In the left pane of Global Configuration, select General;
3. In the right pane, check Auto Roll Date for Expiring Futures Contracts
Also note that with the exception of certain currency futures contracts, IBKR does not allow for the actual physical delivery of underlying commodities. Contracts which settle by physical delivery must be rolled over or closed out prior to a close-out deadline or face forced liquidation by IBKR. Please refer to the website under Delivery, Exercise & Corporate Actions for additional details as this deadline will vary by product.
Overview of the SPAN margining system
The Standard Portfolio Analysis of Risk (SPAN) is a methodology developed by the CME and used by many clearinghouses and exchanges around the world to calculate the Performance Bond (i.e., margin requirement) on futures and options on futures which the clearinghouse collects from the carrying FCM and the FCM, in turn, from the client.
SPAN establishes margin by determining what the potential worst-case loss a portfolio will sustain over a given time frame (typically set to one day), using a set of 16 hypothetical market scenarios which reflect changes to the underlying price of the future or option contract and, in the case of options, time decay and a change in implied volatility.
The first step in calculating the SPAN requirement is to organize all positions which share the same ultimate underlying into grouping referred to as a Combined Commodity group. Next, SPAN calculates and aggregates, by like scenario, the risk of each position within a Combined Commodity, with that scenario generating the maximum theoretical loss being the Scan Risk. The 16 scenarios are determined based upon that Combined Commodity’s Price Scan Range (the maximum underlying price movement likely to occur for the given timeframe) and Volatility Scan Range (the maximum implied volatility change likely to occur for options).
Assume a hypothetical portfolio having one long future and a one long put on stock index ABC having an underlying price of $1,000, a multiplier of 100 and a Price Scan Range of 6%. For this given portfolio, the Scan Risk would be $1,125 scenario 14.
|
# |
1 Long Future |
1 Long Put |
Sum |
Scenario Description |
|
1 |
$0 |
$20 |
$20 |
Price unchanged; Volatility up the Scan Range |
|
2 |
$0 |
($18) |
($18) |
Price unchanged; Volatility down the Scan Range |
|
3 |
$2,000 |
($1,290) |
$710 |
Price up 1/3 Price Scan Range; Volatility up the Scan Range |
|
4 |
$2,000 |
($1,155) |
$845 |
Price up 1/3 Price Scan Range; Volatility down the Scan Range |
|
5 |
($2,000) |
$1,600 |
($400) |
Price down 1/3 Price Scan Range; Volatility up the Scan Range |
|
6 |
($2,000) |
$1,375 |
($625) |
Price down 1/3 Price Scan Range; Volatility down the Scan Range |
|
7 |
$4,000 |
($2,100) |
$1,900 |
Price up 2/3 Price Scan Range; Volatility up the Scan Range |
|
8 |
$4,000 |
($2,330) |
$1,670 |
Price up 2/3 Price Scan Range; Volatility down the Scan Range |
|
9 |
($4,000) |
$3,350 |
($650) |
Price down 2/3 Price Scan Range; Volatility up the Scan Range |
|
10 |
($4,000) |
$3,100 |
($900) |
Price down 2/3 Price Scan Range; Volatility down the Scan Range |
|
11 |
$6,000 |
($3,100) |
$2,900 |
Price up 3/3 Price Scan Range; Volatility up the Scan Range |
|
12 |
$6,000 |
($3,375) |
$2,625 |
Price up 3/3 Price Scan Range; Volatility down the Scan Range |
|
13 |
($6,000) |
$5,150 |
($850) |
Price down 3/3 Price Scan Range; Volatility up the Scan Range |
|
14 |
($6,000) |
$4,875 |
($1,125) |
Price down 3/3 Price Scan Range; Volatility down the Scan Range |
|
15 |
$5,760 |
($3,680) |
$2,080 |
Price up extreme (3 times the Price Scan Range) * 32% |
|
16 |
($5,760) |
$5,400 |
($360) |
Price down extreme (3 times the Price Scan Range) * 32% |
The Scan Risk charge is then added to any Intra-Commodity Spread Charges (an amount that accounts for the basis risk of futures calendar spreads) and Spot Charges (A charge that covers the increased risk of positions in deliverable instruments near expiration) and is reduced by any offset from an Inter-Commodity Spread Credit (a margin credit for offsetting positions between correlated products). This sum is then compared to the Short Option Minimum Requirement (ensures that a minimum margin is collected for portfolios containing deep-out-of-the-money options) with the greater of the two being the risk of the Combined Commodity. These calculations are performed for all Combined Commodities with the Total Margin Requirement for a portfolio equal to the sum of the risk of all Combined Commodities less any credit for risk offsets provided between the different Combined Commodities.
The software for computing SPAN margin requirements, known as PC-SPAN is made available by the CME via its website.
How do you calculate margin requirements on futures and futures options?
概観:
Futures options, as well as futures margins, are governed by the exchange through a calculation algorithm known as SPAN margining. For information on SPAN and how it works, please research the exchange web site for the CME Group, www.cmegroup.com. From their web site you can run a search for SPAN, which will take you to a wealth of information on the subject and how it works. The Standard Portfolio Analysis of Risk system is a highly sophisticated methodology that calculates performance bond requirements by analyzing the “what-ifs” of virtually any market scenario.
Background:
In general, this is how SPAN works:
SPAN evaluates overall portfolio risk by calculating the worst possible loss that a portfolio of derivative and physical instruments might reasonably incur over a specified time period (typically one trading day.) This is done by computing the gains and losses that the portfolio would incur under different market conditions. At the core of the methodology is the SPAN risk array, a set of numeric values that indicate how a particular contract will gain or lose value under various conditions. Each condition is called a risk scenario. The numeric value for each risk scenario represents the gain or loss that that particular contract will experience for a particular combination of price (or underlying price) change, volatility change, and decrease in time to expiration.
The SPAN margin files are sent to IBKR at specific intervals throughout the day by the exchange and are plugged into a SPAN margin calculator. All futures options will continue to be calculated as having risk until they are expired out of the account or are closed. The fact that they might be out-of-the-money does not matter. All scenarios must take into account what could happen in extreme market volatility, and as such the margin impact of these futures options will be considered until the option position ceases to exist. The SPAN margin requirements are compared against IBKR's pre-defined extreme market move scenarios and the greater of the two are utilized as margin requirement.
Does IBKR offer trading on Forex products other than futures?
Background:
Yes, IBKR does offer trading on multiple Forex products. The most heavily traded market is Forex cash, which is commonly known as the Spot Market. This is an unregulated, decentralized market that does not have an exchange or standardized contracts. It is a system of banks and interbank dealers that offer prices (liquidity) for various institutions and individuals to access and trade. IBKR has access to numerous liquidity providers, including several of the largest in the world, through our IdealPro trading platform. Since there are no standardized contracts in the Forex cash market, traders can place orders for various cash amounts, provided they use only whole numbers. The minimum order size to access the Ideal Pro system is USD 25,000 or the equivalent in other currencies.
IBKR also offers trading in Forex futures and options as well as a number of currency related products listed on the US securities option markets.
Why am I receiving notifications concerning the number of messages being sent to the CME’s Globex trading platform?
Based upon the premise that the Globex platform is negatively affected when clients send excessive messages (e.g., orders, modifies and cancels) that do not provide market value, the CME imposes monetary penalties upon clearing members submitting orders on behalf of its clients in excess of benchmark volume ratios for a given product. IBKR, in turn, maintains the right to pass these charges on to clients and will send a warning message when a violation appears imminent. Clients who receive this notice and continue to send excessive messages may be subject to surcharge fee of $2,000 each time a product benchmark is violated. Additional information regarding the CME Globex Messaging Policy can be found on the CME Group web site.
Are there commissions associated with option exercise or assignment?
The answer depends upon the option type and its region of listing. There is no IBKR commission associated with an exercise or assignment of US stock and index security options and out-of-the-money non-US index options. A commission is charged for an exercise or assignment of an in-the-money non-US index option and for options on futures. Please refer to the Other Fees section of the IBKR website for details.
What is the exchange minimum margin requirement on SSF positions?
概観:
In the case of a long or short SSF, the exchange margin requirement is equal 20% of the underlying value of the contract (initial and maintenance margin)
In the case of a hedged position (e.g., High or Low Synthetic strategy) in which a clilent is long (short) a security futures contract and short (long) the underlying security, the required maintenance margin would be equal to 5% of the instrument having the higher current market value.
Will a long SSF ever trade at a discount to the underlying stock?
概観:
When a large dividend payment is forthcoming or if the underlying stock is difficult to borrow, the futures price may trade at a discount to the actual cash price.
