期权到期前被行权

美式期权卖方(沽出方)在期权到期前随时可能会被行权。也就是说,期权卖方在卖出期权后到期权到期或通过买回期权将头寸平仓这段时间随时可能会被行权。看涨或看跌期权所有者在期权到期前调用其权利即为提早行权。作为期权卖方,您无法控制期权被行权,也无法知晓其会何时发生。通常,越临近到期,被行权的风险越大,但即使这样,美式期权交易仍然随时会发生被行权。

空头看跌期权

卖出看跌期权时,卖方有义务在指定时间窗口内(到期日)以约定价格(行使价)买入底层股票或资产。如果期权的行使价低于股票的当前市价,则期权持有者把股票卖给期权卖方并不会获利,因为市场价格比行使价要高。反过来,如果期权的行使价高于股票的当前市价,则期权卖方就会有被行权的风险。

空头看涨期权
卖出看涨期权后,看涨期权的所有者有权在给定时间范围内以约定价格从期权卖方买入股票。如果股票的市价低于期权的行使价,则对看涨期权持有者来说,以高于市价的价格买入股票没有任何好处。但如果股票的市价高于期权的行使价,则期权持有者可以低于市价的价格买入股票。如果期权处于价内或如果即将派息且空头看涨期权的内在价值低于股息,则空头看涨期权会有被行权风险。

期权会发生什么?
如果空头看涨期权被行权,则空头看涨期权持有者将被分配空头股票。例如,如果ABC公司的股价为$55,行使价为$50的空头看涨期权被行权,则空头看涨期权将会转换成价格为$50的空头股票。然后账户持有人可以决定以$55的价格买回股票平仓空头头寸。100股的净损失会是$500,再减去最开始卖出看涨期权时收到的权利金。

如果空头看跌期权被行权,则空头看跌期权持有者相当于是以看跌期权行使价多头持有股票。例如,XYZ的股价为$90,空头看跌期权卖方按行使价$96被分配了股票,则看跌期权卖方有责任以$96(高于市价)的价格买入股票。假设账户持有人以$90的价格平仓了多头股票头寸,那么100股的净损失会是$600,再减去最开始卖出看跌期权时收到的权利金。

期权被行权导致保证金不足
如果被行权发生在期权到期之前并且产生的股票头寸导致保证金不足,则根据我们的保证金政策,账户将面临自动平仓清算以重新满足保证金要求。平仓清算并不只限于期权被行权产生的股票头寸。

此外,对于期权价差的空头边被行权的账户,IBKR不会将其持有的多头期权行权。IBKR无法推测多头期权持有者的意图,并且在到期前行使多头期权将导致放弃期权的时间价值(时间价值通过卖出期权实现)。

到期后风险敞口、公司行动和除息
盈透证券会根据到期时间或公司行动相关事件采取积极措施降低风险。有关我们到期政策的更多信息,请阅读知识库文章“到期&公司行动相关清算”。

账户持有人应参阅“标准期权的特征与风险”披露文件,IBKR在账户申请时便向所有有期权交易资格的客户提供了此文件,其中明确说明了被行权风险。此文件还可在期权清算公司(OCC)网站上查看。

Risk Based Margin Considerations

  LLC Risk Based (i.e. Portfolio Margin)  Non-LLC Risk Based Margin
$110,000 initial value requirement Yes N/A
Minimum equity to operate on margin USD 100,000 IB-HK: USD 2,000
IB-AU: AUD 2,000
IB-LUX, IB-IE and IB-CE: EUR 2,000
IB-SG: SGD 2,000
 
Full options trading approval Yes N/A
PDT         Yes N/A
Stress testing Yes Yes
Dynamic House Scanning Charges (TOMS) ¹ Yes Yes
Shifts in option Implied Volatility (IV)  Yes Yes
A $0.375 multiplied by the index per contract minimum is computed (Only applied to Portfolio Margin eligble products) Yes Yes
Initial margin will be 110% of Maintenance Margin (US securities only) Yes Yes
Initial margin will be 125% of Maintenance Margin (Non-US securities) Yes Yes
Extreme Price Scans Yes Yes
Large Position Charge (A position which is 1% or more of shares outstanding)  Yes Yes
Days to Liquidate (A large position in relation to the average daily trading volume, which may result in higher initial margin requirements Yes Yes
Global Concentration Charge (2 riskiest position stressed +/-30% remaining assets +/-5%) Yes Yes
Singleton Margin Method for Small Cap Stocks (Stress Test which simulates a price change reflective of a $500 million USD in market capitalization)² Yes Yes
Singleton Margin Method for stocks domiciled in China (Stress Test which simulates a price change reflective of a $1.5 billion USD in market capitalization)² Yes Yes
Default Singleton Margin Method (Stress Test which simulates a price change +30% and down -25%)² Yes Yes
Singleton Margin Method for HK Real Estate Stocks (Stress test  +/-50%)² Yes Yes

1  Dynamic House Scanning Charges are available only on select exchanges (Asian Exchanges and MEXDER)
2  IBKR will calculate the potential loss for each stock and its derivates by subjecting them to a stress test. The requirement for the stock (and its derivatives) which projects the greatest loss in the above scenario will be compared to what would otherwise be the aggregate portfolio margin requirement, and the greater of the two will be the margin requirement for the portfolio
 

 

风险漫游:替代保证金计算器

Overview: 

概述:
随着市场条件的变化,IB会经常评估保证金水平并根据需要在法定最低保证金要求的基础上
提高保证金要求。为帮助客户了解此类保证金变动对其投资组合的影响,我们在“风险漫游”
应用中提供了一个被称为“替代保证金计算器”的功能。下文列出了创建“假设情境”投资
组合的步骤,用以评估保证金调整带来的影响。

第一步:打开全新的“假设情境”投资组合
在标准模式TWS 交易平台内,依次选择“分析工具(Analytical Tools)”、“风险漫游(Risk
Navigator)”和“打开新的假设情境(Open New What-If)”菜单选项(见图1)。

图1
 

在魔方模式TWS交易平台下,依次选择“新窗口(New Window)”、“风险漫游(Risk Navigator)”
和“打开新的假设情境(Open New What-If)”菜单选项。

第二步:定义起始投资组合
跳出的弹出窗口(图2)会询问您是想用您当前的投资组合来创建假设投资组合还是重新创
建一个投资组合。点击“是”将把已有的头寸下载至新的“假设情境”投资组合。.

图2
 

点击“否”将打开一个没有头寸的“假设情境”投资组合。

风险控制面板
“风险控制面板”位于产品标签组的顶部,“假设情境”投资组合和真实的活跃投资组合均
可使用。“假设情境”投资组合可按需计算各类数值。用户可通过该控制面板一目了然地查
看以下账户信息:

1) 净清算价值:账户的总净清算价值
2) 盈亏:整个投资组合的每日总盈亏
3) 维持保证金:当前总的维持保证金
4) 初始保证金:总的初始保证金要求
5) 风险价值(VAR):整个投资组合的风险价值
6) 预期亏损(ES):预期亏损(平均风险价值)是投资组合在最差的情境下的预期回报

 

替代保证金计算器
在“设置(Setting)”菜单下点击“保证金模式(Margin Mode)”(图3)可打开替代保证金
计算器。该工具会显示当保证金调整被完全实施后投资组合的保证金要求会发生什么变化。

图3
 

 第三步:选择保证金模式设置
出现一个名为“保证金模式设置”的弹出窗口(图4)。您可使用该窗口中的下拉菜单将保
证金计算方式从“默认”(即当前政策)变更为新标题的保证金设置(即新的保证金政策)。
选择完毕后点击窗口中的“确定”按钮。

 

图4
 

设置好新的保证金模式后,风险漫游控制面板会自动更新以反映您的选择。您可在新旧保证
金模式设置中切换。注意,当前的保证金模式会在“风险漫游”窗口的左下角显示(图5)。

图5
 

 第四步:添加头寸
要在“假设情境”投资组合中添加头寸,点击标题叫“新”的绿色行,然后依次输入底层产
品的代码(图6)、选择产品类型(图7)及输入头寸数量(图8)

图6
 

图7

 图8

 您可修改头寸以查看保证金会发生什么变化。在您修改了头寸后,您需要点击保证金数字右
边重新计算的图标 () 以更新数值。只要出现了该图标就表明保证金数据没有根据“假
设情境”投资组合的内容更新至最新。

 

2020年美国大选保证金增加

考虑到即将发生的美国总统选举带来的潜在市场波动,盈透证券将针对所有在美国交易的股

指期货、衍生品及在大阪证券交易所(OSE.JPN)上市的道琼斯期货提高保证金要求。

 

客户如持有美国股指期货及其衍生品及/或在大阪证券交易所上市的道琼斯期货头寸,请知

悉,保证金要求预计将在正常水平上提高35%左右。保证金要求将在20 个自然日内逐步提

高,其中维持保证金将从2020年10月5日起提高,直至2020年10月30日。

 

下表列举了一些常见产品预计发生的保证金变动

期货代码 描述 上市交易所 交易类型 当前比例(价
格扫描范围)
*
预计比例(价
格扫描范围)
ES E-mini S&P 500 GLOBEX ES 7.13 9.63
YM Mini DJIA ECBOT YM 6.14 8.29
RTY Russell 2000 GLOBEX RTY 6.79 9.27
NQ NASDAQ E-mini GLOBEX NQ 6.57 8.87
DJIA OSE 道琼斯
工业平均
OSE.JPN DJIA 5.14 6.94

*截至2020年10月2日开市。
注:IBKR 的风险漫游工具能帮助您评估最新的维持保证金要求对您现有的投资组合或您想
构建或测试的其它投资组合有何影响。有关“替代保证金计算器”的更多信息,请见知识库
文章2957:风险漫游:替代保证金计算器,并在风险漫游的保证金模式设置下选择“美国
大选保证金”。

Normal 0 21 false false false DE-CH X-NONE X-NONE

U.S. 2020 Election Margin Increase

In light of the potential market volatility associated with the upcoming United States presidential election,  Interactive Brokers will implement an increase in the margin requirement for all U.S. traded equity index futures and derivatives and Dow Jones Futures listed on the OSE.JPN exchange.

Clients holding a position in a U.S. equity index future and their derivatives and/or Down Jones Futures listed on the OSE.JPN exchange should expect the margin requirement to increase by approximately 35% above the normal margin requirement. The increase is scheduled to be implemented gradually over a 20-calendar day period with the maintenance margin increase starting on October 5, 2020 through October 30, 2020.

The table below provides examples of the margin increases projected for some of the more widely held products 

Future Symbol
Description Listing Exchange Trading Class Current Rate (Price scan range)* Projected Rate (Price scan range)
ES E-mini S&P 500 GLOBEX ES 7.13 9.63
YM MINI DJIA ECBOT YM 6.14 8.29
RTY Russell 2000 GLOBEX RTY 6.79 9.17
NQ NASDAQ E-MINI GLOBEX NQ 6.57 8.87
DJIA OSE Dow Jones Industrial Average OSE.JPN DJIA 5.14 6.94

 *As of 10/2/20 open.

 

NOTE: IBKR's Risk Navigator can help you determine the impact the new maintenance margin requirements will have on your current portfolio or any other portfolio you would like to construct or test. For more information about the Alternative Margin Calculator feature, please see KB Article 2957: Risk Navigator: Alternative Margin Calculator and from the margin mode setting in Risk Navigator, select " US Election Margin".

 

Overview of ESMA CFD Rules Implementation for Retail Clients at IBIE, IBCE and IBLUX

Overview: 

CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage.

59.5% of retail investor accounts lose money when trading CFDs with IBKR.

You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money.

The European Securities and Markets Authority (ESMA) enacted new rules applicable to retail clients trading CFDs, effective 1st August 2018. Professional clients are unaffected.

National regulators have adopted the ESMA rules on a permanent basis.

The rules consist of: 1) leverage limits; 2) a margin close out rule on a per account basis; 3) negative balance protection on a per account basis; 4) a restriction on the incentives offered to trade CFDs; and 5) a standardized risk warning.

Most clients (excepting regulated entities) are initially categorised as Retail Clients. IBKR may in certain circumstances agree to reclassify a Retail Client as a Professional Client, or a Professional Client as a Retail Client. Please see MiFID Categorisation for further detail.

The following sections detail how IBKR has implemented the ESMA Decision.

1 Leverage Limits

 1.1 ESMA Margins
Leverage limits were set by ESMA at different levels depending on the underlying:

  • 3.33% for major currency pairs; Major currency pairs are any combination of USD; CAD; EUR; GBP; CHF; JPY
  • 5% for non-major currency pairs and major indices;
    • Non-major currency pairs are any combination that includes a currency not listed above, e.g. USD.CNH
    • Major indices are IBUS500; IBUS30; IBUST100; IBGB100; IBDE30; IBEU50; IBFR40; IBJP225; IBAU200
  • 10% for non-major equity indices; IBES35; IBCH20; IBNL25; IBHK50
  • 20% for individual equities

 1.2 Applied Margins - Standard Requirement

In addition to the ESMA Margins, IBKR establishes its own margin requirements (IB Margins) based on the historical volatility of the underlying, and other factors. We will apply the IB Margins if they are higher than those prescribed by ESMA.

Details of applicable IB and ESMA margins can be found here.

1.2.1 Applied Margins - Concentration Minimum

A concentration charge is applied if your portfolio consists of a small number of CFD positions, or if the two largest positions have a dominant weight. We stress the portfolio by applying a 30% adverse move on the two largest positions and a 5% adverse move on the remaining positions. The total loss is applied as the maintenance margin requirement if it is greater than the standard requirement.

1.3 Funding of Initial Margin Requirements

You can only use cash to post initial margin to open a CFD position.

Initially all cash used to fund the account is available for CFD trading. Any initial margin requirements for other instruments and cash used to purchase cash stock reduce the available cash. If your cash stock purchases have created a margin loan, no funds are available for CFD trades even if your account has significant equity. We cannot increase a margin loan to fund CFD margin under the ESMA rules.

Realized CFD profits are included in cash and are available immediately; the cash does not have to settle first. Unrealized profits however cannot be used to meet initial margin requirements.

2 Margin Close Out Rule

2.1 Maintenance Margin Calculations & Liquidations

ESMA requires IBKR to liquidate CFD positions latest when qualifying equity falls below 50% of the initial margin posted to open the positions. IBKR may close out positions sooner if our risk view is more conservative. Qualifying equity for this purpose includes CFD cash and unrealized CFD P&L (positive and negative). Note that CFD cash excludes cash supporting margin requirements for other instruments. 

The basis for the calculation is the initial margin posted at the time of opening a CFD position. In other words, and unlike margin calculations applicable to non-CFD positions, the initial margin amount does not change when the value of the open position changes.

2.1.1 Example

You have EUR 2000 cash in your account and no open positions. You want to buy 100 CFDs of XYZ at a limit price of EUR 100. You are first filled 50 CFDs and then the remaining 50. Your available cash reduces as your trades are filled:

 

Cash

Equity*

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Pre Trade

2000

2000

 

 

 

 

 

 

2000

 

Post Trade 1

2000

2000

50

100

5000

0

1000

500

1000

No

Post Trade 2

2000

2000

100

100

10000

0

2000

1000

0

No

 *Equity equals Cash plus Unrealized P&L

The price increases to 110. Your equity is now 3000, but you cannot open additional positions because your available cash is still 0, and under the ESMA rules IM and MM remain unchanged:

 

Cash

Equity

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Change

2000

3000

100

110

11000

1000

2000

1000

0

No

 The price then drops to 95. Your equity declines to 1500 but there is no margin violation since it is still greater than the 1000 requirement:

 

Cash

Equity

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Change

2000

1500

100

95

9500

(500)

2000

1000

0

No

 The price falls further to 85, causing a margin violation and triggering a liquidation:

 

Cash

Equity

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Change

2000

500

100

85

8500

(1500)

2000

1000

0

Yes

 3 Negative Equity Protection

The ESMA Decision limits your CFD-related liability to the funds dedicated to CFD-trading. Other financial instruments (e.g. shares or futures) cannot be liquidated to satisfy a CFD margin-deficit.*

Therefore non-CFD assets are not part of your capital at risk for CFD trading. 

Should you lose more than the cash dedicated to CFD trading, IB must write off the loss. 

As Negative Equity Protection represents additional risk to IBKR, we will charge retail investors an additional financing spread of 1% for CFD positions held overnight. You can find detailed CFD financing rates here.

*Although we cannot liquidate non-CFD positions to cover a CFD deficit, we can liquidate CFD positions to cover a non-CFD deficit.

 

IB LLC大宗商品账户保证金要求

引言
作为一家在19个国家或地区提供期货交易的全球性经纪商,IB受多种监管要求的约束,某些监管要求仍保留了在日末计算一次保证金的概念,而IB的保证金是连续、实时计算的。为满足大宗商品监管要求并以务实的方式控制经济风险,我们会在收盘时应用两种保证金计算方式,两种方式计算得出的保证金要求须同时满足。两种方式的概述如下。


概述
所有定单在执行前均须满足初始保证金要求,执行后则须始终满足维持保证金要求。由于某些产品的日中保证金可能会低于交易所要求的最低保证金比例,为确保日末能满足保证金要求,IB通常会在休市前清算头寸,而不是要求客户追加保证金。然而,如果账户在休市时仍不满足保证金要求,我们会通知客户追加保证金,同时仅允许客户做减少占用保证金的交易,如在之后的第三个工作日休时仍不能满足最初的要求,则头寸将被清算。


在确定是否需追加保证金时,IB会应用实时计算和监管计算这两种方式,而某些情况下,这两种方法得出的结果可能不同:


实时:在本方法下,初始保证金是用同一个时间点收集的头寸和价格计算的,不考虑产品所在的交易所及正式的休市时间;鉴于大部分交易所的交易时间均接近连续,我们认为本方法有其适用性。


监管:在本方法下,初始保证金是用各家交易所常规交易时间终止时收集的头寸价格计算的。比如,对于交易香港交易所、EUREX和CME期货产品的客户,保证金要求将根据各家交易所休市时的信息计算。
 

影响
交易单一时段、单一国家或地区的期货的客户不受影响。在某个交易所的常规交易时段及盘后交易时段交易、或在不同国家或地区的交易所(这些交易所的休市时间不同)交易的客户更可能受影响。比如,一个客户在香港常规交易时段开仓期货合约并在美国交易时段平仓,则保证金要求只取决于开仓时的头寸。在新的计算方式下,这种交易将适用不同的保证金要求,甚至产生在当前方法下不存在的追加保证金。下表举例说明了该情况。
 

举例

本例试图说明,如果一个同时在亚洲和美国两个时区交易期货的客户在延长的交易时段(即在常规交易时段以外、该日已正式休市时)交易时会如何受影响。本例中,客户在香港常规交易时段开仓,并在延长的交易时段内平仓,进而腾出资金在美国常规交易时段开仓。为说明起见,假设交易损失了1,000美元。本例说明,监管的日末保证金计算方法可能不能识别在正式休市后进行的会占用保证金的交易,因此产生了追加初始保证金的要求。

天数 时间(美东) 事件

初始头寸

结束头寸 IB保证金 监管保证金
含贷款的净资产 维持 初始 隔夜 追加保证金
1 22:00 买1份 HHI.HK 1份HHI.HK多头 $10,000 $3,594 $4,493 不适用 不适用
2 04:30 香港交易所正式休市 1份HHI.HK多头 1份HHI.HK多头 $10,000 $7,942 $9,927 $4,493 不适用
2 08:00 卖1份HHI.HK 1份HHI.HK多头 $9,000 $0 $0 $0 不适用
2 10:00 买1份ES 1份ES多头 $9,000 $2,942 $3,677 不适用 不适用
2 17:00 美国交易所正式休市 1份ES多头 1份ES多头 $9,000 $5,884 $7,355 $9,993
3 17:00 美国交易所正式休市 1份ES多头 1份ES多头 $9,000 $5,884 $7,355 $5,500

 

Margin Considerations for Intramarket Futures Spreads

Background

Clients who simultaneously hold both long and short positions of a given futures contract having different delivery months are often provided a spread margin rate that is less than the margin requirement for each position if considered separately. However, as the settlement prices of each contract may deviate significantly as the front month contract approaches its close out date, IBKR will reduce the benefit of the spread margin rate to reflect the risk of this price deviation.

 

Spread Margin Adjustment

This reduction is accomplished by effectively decoupling or breaking the spread in phases on each of the 3 business days preceding the close out date of the front contract month, as follows:

  • On the 3rd business day prior to close out, the initial and maintenance margin requirements will be equal to 10% of their respective requirements on each contract month as if there was no spread, plus 90% of the spread requirement;
  • On the 2nd business day prior to close out, the initial and maintenance margin requirements will be equal to 20% of their respective requirements on each contract month as if there was no spread, plus 80% of the spread requirement;
  • On the business day prior to close out, the initial and maintenance margin requirements will be equal to 30% of their respective requirements on each contract month as if there was no spread, plus 70% of the spread requirement.

 

Working Example

Assume a hypothetical futures contract XYZ with the margin requirements as outlined in the table below:

XYZ Front Month - 1 Short Contract (Uncovered) Back Month - 1 Long Contract (Uncovered) Spread - 1 Short Front Month vs. 1 Long Back Month
Initial Margin $1,250 $1,500 $500
Maintenance Margin $1,000 $1,200 $400

Further assume a position consisting of 1 short front month contract and 1 long back month contract with the front month contract close out date = T.  using this hypothetical example, the initial margin requirement over the 3 business day period preceding close out date is outlined in the table below:

Day Initial Margin Requirement Calculation Details
T-4 $500 Unadjusted
T-3 $725 .1($1,250 + $1,500) + .9($500)
T-2 $950 .2($1,250 + $1,500) + .8($500)
T-1 $1,175 .3($1,250 + $1,500) + .7($500)
T $1,175 Positions not in compliance with close out requirements are subject to liquidation.

 

Concentrated Positions in Low Cap Stocks

The margin requirement for accounts holding concentrated positions in low cap stocks is as follows:

  • An alternative stress test will be considered following the margin calculation currently in place. Here, each stock and its derivatives will be subject to a stress test which simulates a price change reflective of a $500 million decrease in capitalization (e.g., 25% in the case of a stock with a market capitalization of $2 billion; 30% for a stock with a market capitalization of $1.5 billion; etc.). Stocks with a market capitalization of $500 million or below will be subject to a stress test as if the price has fallen to $0.
  • For the stock which projects the greatest loss assuming a $500 million decrease in capitalization, that loss will be compared to the initial margin as determined under the preceding calculation for the aggregate portfolio and, if greater, will become the initial margin requirement.
  • If the initial margin requirement is increased, the maintenance margin for that same stock and its derivatives will increase to approximately 90% of the initial requirement for the aggregate portfolio.

ESMA差价合约新规推行概述 - 仅限零售客户

Overview: 

欧洲证券与市场管理局(ESMA)颁布了适用于交易差价合约(CFD)的零售客户的新法规,自2018年8月1日起生效。专业客户不受影响。

法规包含:1) 杠杆限制;2) 以单个账户为单位的保证金平仓规则;3) 以单个账户为单位的负余额保护规则;4) 对交易差价合约激励措施的限制;以及 5) 标准的风险警告。

大多数客户(受监管的实体除外)一开始都会被分类为零售客户。IBKR在某些情况下
可同意将零售客户重新分类为专业客户或将专业客户重新分类为
零售客户。更多详细信息,请参见MiFID分类

以下板块详细说明了IBKR(英国)是如何贯彻ESMA规定的。

1 杠杆限制

1.1 ESMA保证金
ESMA针对不同的底层证券设置了不同的杠杆限制:

  • 货币对为3.33%;主要货币对为美元、加元、欧元、英镑、瑞郎、日圆间的任意组合
  • 非主要货币对及主要指数为5%;
    • 非主要货币对为包括上方未列出的货币的任意组合,如美元/离岸人民币
    • 主要指数为IBUS500、IBUS30、IBUST100、IBGB100、IBDE30、IBEU50、IBFR40、IBJP225、IBAU200
  • 非主要股票指数为10%,包括IBES35、IBCH20、IBNL25、IBHK50
  • 个股为20%

 1.2应用的保证金 - 标准保证金要求

除ESMA的保证金要求外,IBKR(英国)还基于底层证券的历史波动率及其它因素实施其自有的保证金要求(IB保证金) 如果IB的保证金率高于ESMA规定的比例,则应用IB的保证金率。

点此可查看适用的IB和ESMA保证金要求详情。

1.2.1应用的保证金 - 最低集中保证金要求

如果您的投资组合包含一小部分CFD头寸,或者如果最大的两种头寸占据了绝大多数份额,则您的账户将应用集中保证金。我们会通过对最大的两种头寸假设30%的跌幅、对其余头寸假设5%的跌幅来对您的投资组合进行压力测试。如果总亏损额高于标准要求,则将用总亏损额作为维持保证金要求。

对于零售客户,初始保证金原则上是最低集中维持保证金的两倍(如上所述)。但是为了避免对相对较小的头寸应用过高的初始保证金要求,我们会针对零售客户将初始集中保证金减少10万美元(最终结果不能为负);

应用的集中保证金要求 = 取最大值(计算所得的集中保证金要求 – 100k,0)。

减少10万美元的作用在于消除对低于25万美元等值的集中头寸收取集中保证金。之后的保证金则会逐步增加,如50万美元的集中头寸其初始保证金是40%,100万美元的集中头寸其初始保证金则是50%。以上例子均假设客户最多只有两种头寸;如果还有其它头寸,总的保证金会降低。

具体范例请见此处(零售客户投资组合)。

1.3可用于初始保证金的资金

您只可使用现金作为初始保证金开立差价合约头寸。已实现的差价合约盈利将包括在现金中且立即可用;现金无需先结算。然而,未实现的盈利不得用于满足初始保证金要求。

1.4自动转移资金以满足初始保证金要求(账户F板块)

IBKR(英国)会自动将您主账户中的资金转移至账户的F板块,用于满足差价合约的初始保证金要求。

然而,需注意的是,系统不会转移资金用于满足差价合约维持保证金要求。因此,如符合条件的资产(参照下方定义)不足以满足保证金要求,则即使您的主账户中有足够的资金,账户仍会被清算。如您想避免被清算,您必须在账户管理中将多余的资金转移至账户的F板块。

2 保证金平仓规则

2.1维持保证金计算与清算

如果符合条件的资产跌至开仓初始保证金的50%以下,ESMA要求IBKR清算差价合约头寸。 符合条件的资产包括F板块下的现金(不包括账户任何其它板块下的现金)及未实现的差价合约盈亏(盈利及亏损)。

计算的基础为开立差价合约头寸时存入的初始保证金。 换言之,当差价合约头寸的价值发生变动时,初始保证金的金额不会变化,这与非差价合约头寸适用的保证金计算方式不同。

2.1.1举例

您的差价合约账户中有2000欧元现金。您想以100欧元的限价买入100份XYZ的差价合约。首先成交了50份合约,然后再成交其余的50份。随着您的交易成交,您的可用现金如下减少:

  现金 净资产* 头寸 价格 价值 未实现盈亏 初始保证金 维持保证金 可用现金 维持保证金不足
交易前 2000 2000             2000  
第一次交易后 2000 2000 50 100 5000 0 1000 500 1000
第二次交易后 2000 2000 100 100 10000 0 2000 1000 0

*净资产等于现金加未实现盈亏

价格上涨至110。您的净资产现为3000,但由于您的可用现金仍为0,且在ESMA规则下初始保证金和维持保证金不变,您不得开立新的头寸:

  现金 股票 头寸 价格 价值 未实现盈亏 初始保证金 维持保证金 可用现金 维持保证金不足
变化 2000 3000 100 110 11000 1000 2000 1000 0

 然后价格下跌至95。您的净资产跌至1500,但鉴于净资产仍大于1000,无需追加保证金:

  现金 股票 头寸 价格 价值 未实现盈亏 初始保证金 维持保证金 可用现金 维持保证金不足
变化 2000 1500 100 95 9500 (500) 2000 1000 0

价格进一步跌至85,导致保证金不足并触发清算:

  现金 股票 头寸 价格 价值 未实现盈亏 初始保证金 维持保证金 可用现金 维持保证金不足
变化 2000 500 100 85 8500 (1500) 2000 1000 0

 

3 负资产保护

ESMA规则规定,您交易差价合约的损失以划拨的专项资金为上限。不得清算其它金融产品(如股票或期货)来填补差价合约的保证金缺口。*

因此,您主账户证券和大宗商品板块的资产,以及F板块中持有的非差价合约资产不列入差价合约交易的风险资本。但是,F账户段中的所有现金都可用以弥补差价合约交易产生的亏损。

由于负资产保护对IBKR来说意味着要承担额外风险,对于隔夜持有的差价合约头寸我们会向零售客户额外收取1%的融资息差。您可在此处查看详细的差价合约融资利率。

*我们无法清算非差价合约头寸来弥补差价合约不足,但可以清算差价合约头寸来弥补非差价合约不足。

4 交易差价合约的激励措施

ESMA规定对与差价合约交易相关的金钱及某些非金钱激励均予以禁止。IBKR不对交易差价合约提供任何奖金或其它激励。

5 风险警告

差价合约属于复杂金融产品,其交易存在高风险,由于杠杆的作用,可能会出现迅速亏损。

在通过IBKR(UK)交易差价合约时,有67%的零售投资者账户出现了亏损。

您应考虑自己是否理解差价合约的运作机制以及自己是否能够承受亏损风险。

 

 

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