Option Margin Cost and Z13

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Option Margin Cost and Z13 #480974 07/28/20 15:23 07/28/20 15:23
Joined: Mar 2020 Posts: 41 J jbhunter OP Newbie
jbhunter OP Newbie J Joined: Mar 2020 Posts: 41	I am trying to wrap my head around Margin Costs when running some options strategies. I am using the IB equations from here, IB Margin Eqs As an example I will use the first Z13 trade. See log below. This is using the Put strategy with Leverage of 6. Code Sell at prem 1462.00 max win 1462.00 [SPY::SP11102] Place 2 Put 20120218 134.0 200@7.31 Unl 127.50 at 15:40:00 Com 2.00 Mrg 4702 Net 0 Prem 1462 Units 90.0000 MTotal 0.00 MCost 23.5088 PCost 0.90000 Opn 111 Underlying, 127.50 Bid, 7.31 Strike, 134 Index Options Margin = Put Price + Maximum ((15% * Underlying Price - Out of the Money Amount), (10% * Strike Price)) Margin = 7.31 + Max(0.15127.50-0, 0.1134) Margin = 7.31 + 19.125 = 26.435 So with Multiplier=100 and Lots=2... Total margin cost is $5287, correct? Looking at the Z13 log the premium seems correct. 7.311002=1462 However how is the margin only 4702? I see the MCost1002=4702 which matches the Mrg value. But I don't understand where this comes from. What is the last line in the log? I cannot find anything in the manual describing these names. Code Units 90.0000 MTotal 0.00 MCost 23.5088 PCost 0.90000 Opn 111 Units 90? PCost 0.9? Opn 111?

Re: Option Margin Cost and Z13 [Re: jbhunter] #481001 07/31/20 08:05 07/31/20 08:05
Joined: Mar 2018 Posts: 62 hast29 Junior Member
hast29 Junior Member Joined: Mar 2018 Posts: 62	Hi jbhunter, The code is in the contract.c script in the include folder. Look for the function „contractMargin“. Manual section here https://www.zorro-trader.com/manual/en/contract.htm . I have looked at it briefly and did not find any difference between the IB formula and the formula in the code. Also, no idea where the „Units 90? PCost 0.9? Opn 111?“ come from. Sorry. But if you code yourself, you will investigate on those functions and resolve it. To my understanding, the key issue is to match the Margin costs in your code with the real margin requirements of IB ? Last edited by hast29; 07/31/20 08:07.

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