Seems to always happen during interesting times…
“Dear Trader, Interactive Brokers will being implementing a change to its Portfolio Margin algorithm that pertains to the methodology used to calculate portfolio concentration-risk. Currently, the top-two riskiest stock/ETF class-group positions in a portfolio are identified using a (+/- 30%) scanning range for (US-based) positions. Any remaining class-group positions are then stress-tested using scanning ranges that correspond to the underlying stock/ETF correlation (beta) with the SPX index, with this beta risk-value then added to the two concentrated positions to derive the total worst-case risk value. If this concentration-risk value exceeds the total standard portfolio margin risk charge, then the total margin requirement for the portfolio is set to the concentration-risk value. Effective October 5, 2015, Interactive Brokers will begin to use a new methodology for the concentration-risk overlay which replaces the SPX-beta scanning range calculation in the above process with a static +/- 5% scanning range calculation for each product. This is being done in an effort to more closely align the scanning-range stress-tests with position-risk that may incorporate non-US based stock/option(s) positions. In addition, the (+/-30%) scanning range used to identify the top-two riskiest positions is being expanded to include all global (US plus non-US based) products. We strongly urge clients to evaluate their portfolio and arrange to have sufficient excess financial capacity to absorb any margin increase. Any account with a margin deficiency will be subject to automated liquidations to bring the account back into margin compliance. Regards”