Complex Position Size

For complex, multi-leg options positions comprising two or more legs, TWS might not track all changes to this position, e.g. a vertical spread where the short leg is assigned and the user re-writes the same leg the next day, or if the user creates a the position over multiple trades, or if the order is not filled as a native combination at the exchange.

If you received a message because you are submitting an order to close a position, roll a position, or modify a position using the “% Change” feature, it means that the maximum quantity of option positions in your account that are available to close for this order is different from that of the original position tracked by TWS.
Before submitting, you should review the order and confirm that the order quantity we have calculated is the correct quantity that you want to trade.

Añadir eliminar liquidez

Overview: 

El objetivo de este artículo es proporcionar un mejor entendimiento de tarifas de mercado, tarifas por adición/eliminación de liquidez, para una estructura de comisiones no agrupada.

 

El concepto de añadir o eliminar liquidez es aplicable tanto a acciones como a opciones sobre índices/acciones. El que una orden añada o elimine liquidez dependerá de que esa orden sea negociable o no negociable.

Las órdenes negociables ELIMINAN liquidez.
Las órdenes negociables son órdenes de mercado U órdenes limitadas de compra/venta cuyo límite esté por encima/debajo del mercado actual.

1. Para una orden negociable limitada de compra, el precio límite es igual o superior al ask.

2. Para una orden negociable limitada de venta, el precio límite es igual o inferior al bid.

Ejemplo:
El tamaño/precio actual del ASK (oferta) de XYZ es de 400 participaciones a 46.00. Usted introduce una orden limitada de compra de 100 acciones de XYZ a 46.01. La orden se considerará negociable porque se producirá una ejecución inmediata. Si hay un cargo del mercado por eliminar liquidez, dicha tarifa se le cargará al cliente.


 

Las órdenes no negociables AÑADEN liquidez.
Las órdenes no negociables son órdenes limitadas de compra/Venta en las que el precio límite está por debajo/encima del mercado actual.

1. Para una orden limitada de compra no negociable, el precio límite está por debajo del ask.

2. Para una orden limitada de venta no negociable, el precio límite está por encima del bid.

Ejemplo:
El tamaño/precio actual del ASK (oferta) de XYZ es de 400 participaciones a 46.00. Usted introduce una orden limitada de compra para 100 acciones de XYZ a 45.99. Esta orden se considerará no negociable, porque se registrará en el mercado como el mejor bid, en lugar de ejecutarse inmediatamente.
En caso de que alguien más envíe una orden de venta negociable que haga que su orden limitada de compra se ejecute, usted debería recibir un reembolso(crédito) si hay crédito disponible por añadir liquidez.

POR FAVOR, TENGA EN CUENTA:
1. Todas las cuentas que operen en opciones estarán sujetas a las tarifas o créditos por eliminar/añadir liquidez de los mercados de opciones.
2. Según la página web de IB, solo los números negativos bajo las estructuras de eliminar añadir liquidez son reembolsos (créditos).

http://interactivebrokers.com/es/index.php?f=3706
En enlace anterior hace referencia a las tarifas/comisiones de acciones y opciones.

¿Por qué varían las comisiones de opciones estadounidenses?

El cargo de las comisiones de opciones de IB tiene dos partes:

1. La tarifa de ejecución que corresponde a IB.  Para órdenes con enrutado smart, esta tarifa está establecida en $0.70 por contrato, y se puede reducir hasta $0.15 por contrato para órdenes en exceso de 100,000 contratos en un mes concreto (consulte la página web para costes de órdenes con enrutado directo, tasas reducidas para opciones con primas bajas y cargos mínimos de órdenes).

2. Tarifas de mercados terceros, normativas o de transacción.

En el caso de tarifas de terceros, ciertos mercados de opciones estadounidenses mantienen una estructura de reembolsos/tarifa de liquidez que, cuando se agrega a la tarifa de ejecución de IB y a otras tarifas normativas o de transacción podrían tener como resultado un cargo general de comisiones que varíe de una orden a otra.  Esto es atribuible a la porción de mercado de los cálculos, cuyo resultado podría ser un pago al cliente, en lugar de una tarifa, y que depende de un número de factores fuera del control de IB, incluidos los atributos de órdenes del cliente y las cotizaciones de oferta-demanda predominantes.

Los mercados que operan bajo este modelo de reembolso/tarifa de liquidez cargan una tarifa para las órdenes que sirven para eliminar liquidez (es decir, órdenes negociables) y proporcionan un crédito para órdenes que añaden liquidez (es decir, órdenes limitadas que no son negociables). Las tarifas pueden varias según mercado, tipo de cliente (público, bróker-díler, empresa, creador de mercado, profesional) y subyacente de opción, con reembolsos de clientes públicos (créditos) que generalmente varían entre $0.10 - $0.42 y tarifas de clientes públicos que varían entre $0.15 - $0.50. 

IB tiene la obligación de enrutar las órdenes de opciones negociables al mercado que proporcione el mejor precio de ejecución y el enrutado smart tiene en cuenta tarifas de eliminación de liquidez al determinar a qué mercado dirigir la orden cuando el mercado interior es compartido por múltiples (es decir, enrutará la orden al mercado con la tarifa más baja o sin tarifa).  Por lo tanto, el enrutado smart solo enrutará una orden de mercado a un mercado que cargue una tarifa más elevada si puede mejorar el precio de mercado en, al menos, $0.01 (lo que, dado el multiplicador estándar de opciones de 100 tendría como resultado una mejora de precio de $1.00, que es superior a la mayor tarifa por eliminación de liquidez).

Si desea información adicional sobre el concepto de añadir/eliminar liquidez, con ejemplos incluidos, consulte el artículo KB201.

Risks of Volatility Products

Trading and investing in volatility-related Exchange-Traded Products (ETPs) is not appropriate for all investors and presents different risks than other types of products. Among other things, ETPs are subject to the risks you may face if investing in the components of the ETP, including the risks relating to investing in complex securities (such as futures and swaps) and risks associated with the effects of leveraged investing in geared funds. Investors should be familiar with the diverse characteristics of each ETF, ETN, future, option, swap and any other relevant security type. We have summarized several risk factors (as identified in prospectuses for ETPs and in other sources) and included links so you can conduct further research. Please keep in mind that this is not a complete list of the risks associated with these products and investors are responsible for understanding and familiarizing themselves completely before entering into risk-taking activities. By providing this information, Interactive Brokers (IB) is not offering investment or trading advice regarding ETPs to any customer. Customers (and/or their independent financial advisors) must decide for themselves whether ETPs are an appropriate investment for their portfolios.

 
An ETP may not be benchmarked to the index it appears to track
"An investor should only consider an investment in a Fund if he or she understands the consequences of seeking exposure to VIX futures contracts. The Funds are benchmarked to the S&P VIX Short-Term Futures Index, an investable index of VIX futures contracts. The Funds are not benchmarked to the VIX Index. The VIX Index is a non-investable index that measures the implied volatility of the S&P 500. For these purposes, "implied volatility" is a measure of the expected volatility (i.e., the rate and magnitude of variations in performance) of the S&P 500 over the next 30 days. The VIX Index does not represent the actual volatility of the S&P 500. The VIX Index is calculated based on the prices of a constantly changing portfolio of S&P 500 put and call options. The Index underlying each Fund consists of short-term VIX futures contracts. As such, the performance of the Index and the Funds can be expected to be very different from the actual volatility of the S&P 500 or the performance of the VIX Index."   [Page 1]
 
"… your ability to benefit from any rise or fall in the level of the VIX Index is limited. The Index underlying your ETNs is based upon holding a rolling long position in futures on the VIX Index. These futures will not necessarily track the performance of the VIX Index. Your ETNs may not benefit from increases in the level of the VIX Index because such increases will not necessarily cause the level of VIX Index futures to rise. Accordingly, a hypothetical investment that was linked directly to the VIX Index could generate a higher return than your ETNs."   [Page PS-12]
 
ETPs may not provide a suitable hedge
"Historical correlation trends between the Index and other asset classes may not continue or may reverse, limiting or eliminating any potential diversification or other benefit from owning a Fund."   [Page 20]
 
Volatility based ETPs are volatile in themselves and are not intended for long term investment
"… investments can be highly volatile and the Funds may experience large losses from buying, selling or holding such investments. ... In addition, gains, if any, may be subject to significant and unexpected reversals. The Funds generally are intended to be used only for short-term investment horizons. As with all investments, an investor in any of the Funds could potentially lose the full principal value of his/her investment, even over periods as short as one day."   [Page 1]
 
"The ETNs are only suitable for a very short investment horizon. The relationship between the level of the VIX Index and the underlying futures on the VIX Index will begin to break down as the length of an investor’s holding period increases, even within the course of a single Index Business Day. ... The ETNs are not long term substitutes for long or short positions in the futures underlying the VIX Index. ... The long term expected value of your ETNs is zero. If you hold your ETNs as a long term investment, it is likely that you will lose all or a substantial portion of your investment. "   [Page PS-15]
 
The use of leveraged positions could result in the total loss of an investment
"The Ultra Fund utilizes leverage in seeking to achieve its investment objective and will lose more money in market environments adverse to its respective daily investment objectives than funds that do not employ leverage…
 
For example, because the Ultra Fund includes a two times (2x) multiplier, a single-day movement in the Index approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund, even if the Index subsequently moves in an opposite direction, eliminating all or a portion of the movement…
 
Inverse positions can also result in the total loss of an investor’s investment. For the Inverse Fund, a single-day or intraday increase in the level of the Fund’s benchmark approaching 100% could result in the total loss or almost total loss of an investor’s investment, even if such Fund’s benchmark subsequently moves lower. "   [Page 14]
 
Possible illiquid markets may exacerbate losses
"Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap counterparty at a reasonable cost. "   [Page 17]
 
Short covering may intensify losses in volatility-related ETPs
In the event of a sudden market volatility change, many traders with positions in volatility-related products will incur substantial unexpected losses. These losses may cause them to choose to close their positions. The losses may also result in margin deficits and subsequent liquidations of some or all positions. Such closing trades will add to the movement of these products. Since speculative interest in the VIX is at an all-time high, there may be no precedent for what will happen if volatility moves quickly.
 
The Commodity Futures Trading Commission's (CFTC) weekly Commitments of Traders (COT) report provides a breakdown of the net positions for "non-commercial" (speculative) traders in U.S. futures markets. As of September 2017 CFTC reported VIX speculative net short is at an all-time high.
 
"Despite the fact that the average daily closing value of the CBOE Volatility Index (VIX) is about 11.5 so far this year, VIX futures and options both had record days for volume and for open interest this month. … VIX futures hit a new record for open interest with more than 673,000 contracts on August 7 (2017), and VIX options reached a new record for open interest with 14,783,380 contracts open on August 15 (2017)."
 
*As this data is constantly changing, investors in volatility-related products should regularly check for updates.
 
ETP issuers may redeem shares for cash in the event of extreme moves
"The Intraday Indicative Value on any Index Business Day could be reduced to 20% or less of the prior day’s Closing Indicative Value. If this occurs, we may choose to exercise our right to effect an Event Acceleration of the ETNs for an amount equal to that day’s Closing Indicative Value and you may not receive any of your initial investment."   [Page PS-17]

Prioridad u órdenes de clientes profesionales

En el cuarto trimestre de 2009, ciertos mercados de opciones estadounidenses (CBOE, ISE) implementaron normas que sirven para distinguir órdenes que se originen de un grupo de clientes públicos considerados "profesionales" (es decir, personas físicas o jurídicas que tengan acceso a información o tecnología que les permita operar como un bróker-díler), en contraste con minoristas.  De acuerdo con estas reglas, cualquier cuenta de cliente que no sea de bróker- díler y que introduzca más de 390 órdenes de opciones cotizadas (tanto si se ejecutan como si no) en un promedio diario entre todos los mercados de opciones en un mes dado para beneficio de sus propias cuentas serán clasificadas como Profesional. Desde la implementación original por parte de CBOE y ISE, la mayoría de los mercados de opciones estadounidenses han implementado de forma similar normas para distinguir órdenes "profesionales" en su origen.

Las órdenes enviadas en nombre de clientes profesionales a estos mercados de opciones se tratarán de la misma forma que las órdenes de brókeres-díleres a efectos de prioridad de ejecución y estarán sujetas a una tarifa de transacción por contrato que podrá variar entre reducciones de ($0.65) hasta un cargo de $1.12 (dependiendo de la clase de opciones). 

Los brókeres deben realizar una revisión de forma trimestral para identificar a aquellos clientes que hayan excedido el umbral de las 390 órdenes para cualquier mes de dicho trimestre y que deban ser considerados profesionales para el siguiente trimestre natural. Tenga en cuenta que, a efectos de esta norma, las órdenes de diferencial se consideran una sola orden, en lugar de considerar cada tramo del diferencial como una orden separada. Los clientes afectados por estas normas serán notificados por IB.  Además, el enrutado Smart de IB está diseñado para tomar estas tarifas de mercado en consideración al realizar las decisiones de enrutado.

Para ver detalles adicionales, consulte los siguientes enlaces:

ISE Regulatory Circular 2009-179

CBOE Regulatory Circular RG09-148

Allocation of Partial Fills

Title:

How are executions allocated when an order receives a partial fill because an insufficient quantity is available to complete the allocation of shares/contracts to sub-accounts?

 

Overview:

From time-to-time, one may experience an allocation order which is partially executed and is canceled prior to being completed (i.e. market closes, contract expires, halts due to news, prices move in an unfavorable direction, etc.). In such cases, IB determines which customers (who were originally included in the order group and/or profile) will receive the executed shares/contracts. The methodology used by IB to impartially determine who receives the shares/contacts in the event of a partial fill is described in this article.

 

Background:

Before placing an order CTAs and FAs are given the ability to predetermine the method by which an execution is to be allocated amongst client accounts. They can do so by first creating a group (i.e. ratio/percentage) or profile (i.e. specific amount) wherein a distinct number of shares/contracts are specified per client account (i.e. pre-trade allocation). These amounts can be prearranged based on certain account values including the clients’ Net Liquidation Total, Available Equity, etc., or indicated prior to the order execution using Ratios, Percentages, etc. Each group and/or profile is generally created with the assumption that the order will be executed in full. However, as we will see, this is not always the case. Therefore, we are providing examples that describe and demonstrate the process used to allocate partial executions with pre-defined groups and/or profiles and how the allocations are determined.

Here is the list of allocation methods with brief descriptions about how they work.

·         AvailableEquity
Use sub account’ available equality value as ratio. 

·         NetLiq
Use subaccount’ net liquidation value as ratio

·         EqualQuantity
Same ratio for each account

·         PctChange1:Portion of the allocation logic is in Trader Workstation (the initial calculation of the desired quantities per account).

·         Profile

The ratio is prescribed by the user

·         Inline Profile

The ratio is prescribed by the user.

·         Model1:
Roughly speaking, we use each account NLV in the model as the desired ratio. It is possible to dynamically add (invest) or remove (divest) accounts to/from a model, which can change allocation of the existing orders.

 

 

 

Basic Examples:

Details:

CTA/FA has 3-clients with a predefined profile titled “XYZ commodities” for orders of 50 contracts which (upon execution) are allocated as follows:

Account (A) = 25 contracts

Account (B) = 15 contracts

Account (C) = 10 contracts

 

Example #1:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 10 am (ET) the order begins to execute2but in very small portions and over a very long period of time. At 2 pm (ET) the order is canceled prior to being executed in full. As a result, only a portion of the order is filled (i.e., 7 of the 50 contracts are filled or 14%). For each account the system initially allocates by rounding fractional amounts down to whole numbers:

 

Account (A) = 14% of 25 = 3.5 rounded down to 3

Account (B) = 14% of 15 = 2.1 rounded down to 2

Account (C) = 14% of 10 = 1.4 rounded down to 1

 

To Summarize:

A: initially receives 3 contracts, which is 3/25 of desired (fill ratio = 0.12)

B: initially receives 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: initially receives 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The system then allocates the next (and final) contract to an account with the smallest ratio (i.e. Account C which currently has a ratio of 0.10).

A: final allocation of 3 contracts, which is 3/25 of desired (fill ratio = 0.12)

B: final allocation of 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: final allocation of 2 contract, which is 2/10 of desired (fill ratio = 0.20)

The execution(s) received have now been allocated in full.

 

Example #2:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 11 am (ET) the order begins to be filled3 but in very small portions and over a very long period of time. At 1 pm (ET) the order is canceled prior being executed in full. As a result, only a portion of the order is executed (i.e., 5 of the 50 contracts are filled or 10%).For each account, the system initially allocates by rounding fractional amounts down to whole numbers:

 

Account (A) = 10% of 25 = 2.5 rounded down to 2

Account (B) = 10% of 15 = 1.5 rounded down to 1

Account (C) = 10% of 10 = 1 (no rounding necessary)

 

To Summarize:

A: initially receives 2 contracts, which is 2/25 of desired (fill ratio = 0.08)

B: initially receives 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: initially receives 1 contract, which is 1/10 of desired (fill ratio = 0.10)

The system then allocates the next (and final) contract to an account with the smallest ratio (i.e. to Account B which currently has a ratio of 0.067).

A: final allocation of 2 contracts, which is 2/25 of desired (fill ratio = 0.08)

B: final allocation of 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: final allocation of 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The execution(s) received have now been allocated in full.

Example #3:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 11 am (ET) the order begins to be executed2  but in very small portions and over a very long period of time. At 12 pm (ET) the order is canceled prior to being executed in full. As a result, only a portion of the order is filled (i.e., 3 of the 50 contracts are filled or 6%). Normally the system initially allocates by rounding fractional amounts down to whole numbers, however for a fill size of less than 4 shares/contracts, IB first allocates based on the following random allocation methodology.

 

In this case, since the fill size is 3, we skip the rounding fractional amounts down.

 

For the first share/contract, all A, B and C have the same initial fill ratio and fill quantity, so we randomly pick an account and allocate this share/contract. The system randomly chose account A for allocation of the first share/contract.

 

To Summarize3:

A: initially receives 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: initially receives 0 contracts, which is 0/15 of desired (fill ratio = 0.00)

C: initially receives 0 contracts, which is 0/10 of desired (fill ratio = 0.00)

 

Next, the system will perform a random allocation amongst the remaining accounts (in this case accounts B & C, each with an equal probability) to determine who will receive the next share/contract.

 

The system randomly chose account B for allocation of the second share/contract.

A: 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: 0 contracts, which is 0/10 of desired (fill ratio = 0.00)

 

The system then allocates the final [3] share/contract to an account(s) with the smallest ratio (i.e. Account C which currently has a ratio of 0.00).

A: final allocation of 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: final allocation of 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: final allocation of 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The execution(s) received have now been allocated in full.

 

Available allocation Flags

Besides the allocation methods above, user can choose the following flags, which also influence the allocation:

·         Strict per-account allocation.
For the initially submitted order if one or more subaccounts are rejected by the credit checking, we reject the whole order.

·         “Close positions first”1.This is the default handling mode for all orders which close a position (whether or not they are also opening position on the other side or not). The calculation are slightly different and ensure that we do not start opening position for one account if another account still has a position to close, except in few more complex cases.


Other factor affects allocations:

1)      Mutual Fund: the allocation has two steps. The first execution report is received before market open. We allocate based onMonetaryValue for buy order and MonetaryValueShares for sell order. Later, when second execution report which has the NetAssetValue comes, we do the final allocation based on first allocation report.

2)      Allocate in Lot Size: if a user chooses (thru account config) to prefer whole-lot allocations for stocks, the calculations are more complex and will be described in the next version of this document.

3)      Combo allocation1: we allocate combo trades as a unit, resulting in slightly different calculations.

4)      Long/short split1: applied to orders for stocks, warrants or structured products. When allocating long sell orders, we only allocate to accounts which have long position: resulting in calculations being more complex.

5)      For non-guaranteed smart combo: we do allocation by each leg instead of combo.

6)      In case of trade bust or correction1: the allocations are adjusted using more complex logic.

7)      Account exclusion1: Some subaccounts could be excluded from allocation for the following reasons, no trading permission, employee restriction, broker restriction, RejectIfOpening, prop account restrictions, dynamic size violation, MoneyMarketRules restriction for mutual fund. We do not allocate to excluded accountsand we cancel the order after other accounts are filled. In case of partial restriction (e.g. account is permitted to close but not to open, or account has enough excess liquidity only for a portion of the desired position).

 

 

Footnotes:

1.        Details of these calculations will be included in the next revision of this document.

2.        To continue observing margin in each account on a real-time basis, IB allocates each trade immediately (behind the scenes) however from the CTA and/or FA (or client’s) point of view, the final distribution of the execution at an average price typically occurs when the trade is executed in full, is canceled or at the end of day (whichever happens first).

3.       If no account has a ratio greater than 1.0 or multiple accounts are tied in the final step (i.e. ratio = 0.00), the first step is skipped and allocation of the first share/contract is decided via step two (i.e. random allocation).

 

Additional Information Regarding the Use of Stop Orders

U.S. equity markets occasionally experience periods of extraordinary volatility and price dislocation. Sometimes these occurrences are prolonged and at other times they are of very short duration. Stop orders may play a role in contributing to downward price pressure and market volatility and may result in executions at prices very far from the trigger price. 

Investors may use stop sell orders to help protect a profit position in the event the price of a stock declines or to limit a loss. In addition, investors with a short position may use stop buy orders to help limit losses in the event of price increases. However, because stop orders, once triggered, become market orders, investors immediately face the same risks inherent with market orders – particularly during volatile market conditions when orders may be executed at prices materially above or below expected prices.
 
While stop orders may be a useful tool for investors to help monitor the price of their positions, stop orders are not without potential risks.  If you choose to trade using stop orders, please keep the following information in mind:
 
·         Stop prices are not guaranteed execution prices. A “stop order” becomes a “market order” when the “stop price” is reached and the resulting order is required to be executed fully and promptly at the current market price. Therefore, the price at which a stop order ultimately is executed may be very different from the investor’s “stop price.” Accordingly, while a customer may receive a prompt execution of a stop order that becomes a market order, during volatile market conditions, the execution price may be significantly different from the stop price, if the market is moving rapidly.
 
·         Stop orders may be triggered by a short-lived, dramatic price change. During periods of volatile market conditions, the price of a stock can move significantly in a short period of time and trigger an execution of a stop order (and the stock may later resume trading at its prior price level). Investors should understand that if their stop order is triggered under these circumstances, their order may be filled at an undesirable price, and the price may subsequently stabilize during the same trading day.
 
·         Sell stop orders may exacerbate price declines during times of extreme volatility. The activation of sell stop orders may add downward price pressure on a security. If triggered during a precipitous price decline, a sell stop order also is more likely to result in an execution well below the stop price.
 
·         Placing a “limit price” on a stop order may help manage some of these risks. A stop order with a “limit price” (a “stop limit” order) becomes a “limit order” when the stock reaches or exceeds the “stop price.” A “limit order” is an order to buy or sell a security for an amount no worse than a specific price (i.e., the “limit price”). By using a stop limit order instead of a regular stop order, a customer will receive additional certainty with respect to the price the customer receives for the stock. However, investors also should be aware that, because a sell order cannot be filled at a price that is lower (or a buy order for a price that is higher) than the limit price selected, there is the possibility that the order will not be filled at all. Customers should consider using limit orders in cases where they prioritize achieving a desired target price more than receiving an immediate execution irrespective of price.
 
·         The risks inherent in stop orders may be higher during illiquid market hours or around the open and close when markets may be more volatile. This may be of heightened importance for illiquid stocks, which may become even harder to sell at the then current price level and may experience added price dislocation during times of extraordinary market volatility. Customers should consider restricting the time of day during which a stop order may be triggered to prevent stop orders from activating during illiquid market hours or around the open and close when markets may be more volatile, and consider using other order types during these periods.
 
·         In light of the risks inherent in using stop orders, customers should carefully consider using other order types that may also be consistent with their trading needs.

U.S. Securities Options Exercise Limits

INTRODUCTION

Option exercise limits, along with position limits (See KB1252), have been in place since the inception of standardized trading of U.S. securities options. Their purpose is to prevent manipulative actions in underlying securities (e.g., corners or squeezes) as well as disruptions in option markets where illiquidity in a given option class exists.  These limits serve to prohibit an account, along with its related accounts, from cumulatively exercising within any five consecutive business day period, a number of options contracts in excess of the defined limit for a given equity options class (i.e., option contracts associated with a particular underlying security). This includes both early exercises and expiration exercises.

 

OVERVIEW

U.S. securities option exercise limits are established by FINRA and the U.S. options exchanges.  The exercise limits are generally the same as position limits and they can vary by option class as they take into consideration factors such as the number of shares outstanding and trading volume of the underlying security. Limits are also subject to adjustment and therefore can vary over time.  The Options Clearing Corporation (OCC), the central clearinghouse for U.S. exchange traded securities options, publishes a daily file with these limits on its public website. The link is as follows: http://www.optionsclearing.com/webapps/position-limits.  FINRA Rule 2360(b)(4) addresses exercise limits and can be found via the following website link: http://finra.complinet.com/en/display/display.html?rbid=2403&record_id=16126&element_id=6306&highlight=2360#r16126).

Note that exercise limits are applied based upon the the side of the market represented by the option position. Accordingly, all exercises of call options over the past five business days are aggregated for purposes of determining the limit for the purposes of purchasing the underlying security.  Similarly, a separate computation whereby all put exercises over the past five business days are aggregated is required for purposes of determining sales of the underlying.

 

IMPORTANT INFORMATION

It's important to note that while exercise limits may be set at levels identical to position limits, it is possible for an account holder to reach an exercise limit without violating positions limits for a given option class.  This is because exercise limits are cumulative and one could conceivably purchase options up to the position limit, exercise those options and purchase additional options which, if allowed to be exercised within the five business day window, would exceed the limit.

Account holders are responsible for monitoring their cumulative options exercises as well as the exercise limit quantities to ensure compliance.  In addition, IB reserves the right to prohibit the exercise of any options, regardless of their intrinsic value or remaining maturity, if the effect of that exercise would be to violate the exercise limit rule.

Liquidaciones relacionadas con vencimiento

Background: 

Además de la política de liquidación forzosa de posiciones de clientes en caso de una deficiencia de margen en tiempo real, IB también liquidará posiciones con base en ciertos eventos relacionados con el vencimiento, los cuales crearían preocupaciones operativas o riesgo innecesarios. Ejemplos de estos eventos se indican a continuación.

Ejercicio de opciones

IB se reserva el derecho de prohibir el ejercicio de opciones sobre acciones o cerrar opciones cortas si el efecto del ejercicio/asignación fuera que la cuenta entrará en déficit de margen. Aunque la compra de una opción generalmente no requiere margen ya que la posición está pagada por completo, una vez ejercitada, el titular de la cuenta está obligado a pagar por completo la consiguiente posición larga en acciones (en caso de una cuenta Efectivo o acciones sujetas a margen 100%) o a financiar la posición larga/corta en acciones (en caso de una call/put ejercitada en una cuenta margen).  Las cuentas que no tienen suficiente liquidez antes del ejercicio introducen un riesgo innecesario en caso de que se produjera un cambio de precio adverso en el subyacente a la entrega. Este riesgo sin cobertura puede ser especialmente pronunciado y puede exceder en gran medida cualquier valor en dinero que la opción larga pudiera haber tenido, en concreto al vencimiento, cuando las cámaras de compensación ejercitan las opciones automáticamente a niveles en dinero tan bajos como 0.01 USD por acción.

Tomemos, por ejemplo, una cuenta cuya liquidez el Día 1 consista exclusivamente de 20 opciones call largas a precio de ejercicio de 50 USD  sobre una acción hipotética XYZ, la cual ha cerrado al vencimiento a 1 USD por contrato con el subyacente a 51 USD. En el Escenario 1, se asume que las opciones son todas autoejercitadas y que XYZ abre a 51 USD en el Día 2. En el Escenario 2, se asume que las opciones son todas autoejercitadas y que XYZ abre a 48 USD en el Día 2.

Saldo de cuenta Prevencimiento

Escenario 1 - XYZ abre @ $51

Escenario 2 - XYZ abre a @ $48
Efectivo
$0.00 ($100,000.00) ($100,000.00)
Acciones largas 
$0.00 $102,000.00 $96,000.00

Opción larga*

$2,000.00 $0.00 $0.00
Liquidez de liquidación neta/(Déficit) $2,000.00 $2,000.00 ($4,000.00)
Requisito de margen
$0.00 $25,500.00 $25,500.00
Exceso de margen/(Deficiencia) $0.00 ($23,500.00) ($29,500.00)

*La opción larga no tiene valor de préstamo.
 

Como protección frente a estos escenarios tal y como se aproxima el vencimiento, IB simulará el efecto de vencimiento asumiendo posibles escenarios de precio de subyacentes y evaluando la exposición de cada cuenta según la entrega de acciones. Si se considera que la exposición es excesiva, IB se reserva el derecho a: 1) liquidar opciones antes del vencimiento; 2) permitir que las opciones caduquen; o 3) permitir la entrega y liquidar el subyacente inmediatamente después. Además, podría restringirse a la cuenta la apertura de nuevas posiciones para evitar un aumento de exposición.

IB también se reserva el derecho de liquidar posiciones en la tarde previa a la liquidación si los sistemas de IB proyectan que el efecto de la liquidación tendría como resultado un déficit de margen. Como protección frente a estos escenarios, tal y como se aproxima el vencimiento, IB simulará el efecto del vencimiento asumiendo escenarios posibles de precio de subyacente y evaluando la exposición de cada cuenta tras la liquidación. Por ejemplo, si IB proyecta que las posiciones se eliminen de la cuenta como resultado de la liquidación (por ejemplo, si las opciones vencieran fuera de dinero o si las opciones liquidadas en efectivo vencieran en dinero) los sistemas de IB evaluarán el efecto del margen en dichos eventos de liquidación.

Si IB determina que la exposición es excesiva, puede liquidar posiciones en la cuenta para resolver la deficiencia de margen proyectada. Los titulares de cuenta pueden monitorizar esta exposición de margen relacionada con el vencimiento a través de la ventana Cuenta, que se encuentra en la TWS. El exceso de margen proyectado se mostrará en la línea "Margen postvencimiento" (ver abajo) la cual, si es negativa y está destacada en rojo, indica que su cuenta puede estar sujeta a liquidaciones de posiciones forzadas. Este cálculo de exposición se realiza 3 días antes del próximo vencimiento y se actualiza aproximadamente cada 15 minutos.  Tenga en cuenta que ciertos tipos de cuenta que emplean una estructura jerárquica (por ejemplo, cuenta Límite de Negociación Independiente) solo tendrán esta información  presentada  a nivel de cuenta maestra, en donde se agregan los cálculos.

Tenga en cuenta que IB generalmente inicia liquidaciones relacionas con vencimientos 2 horas antes del cierre, pero se reserva el derecho a comenzar este proceso antes o después si lo requirieran las condiciones. Además, las liquidaciones se priorizan basadas en un número de criterios específicos de cuenta, que incluyen el Valor de Liquidación Neto, déficit postvencimiento proyectado y la relación entre el precio de ejercicio de la opción y el subyacente.

 

Futuros con entrega física

Con la excepción de ciertos contratos de futuros que tienen divisas como subyacentes, IB generalmente no permite que sus clientes hagan o reciban la entrega del subyacente para futuros liquidados físicamente o para contratos de opciones sobre futuros. Para evitar entregas de un contrato que venza, los clientes deben renovar el contrato o cerrar la posición antes de la fecha límite de cierre específica para ese contrato (puede consultarse una lista de estos en la página web, en las opciones de menú Negociación y luego Entrega, Ejercicio y Acciones). 

Tenga en cuenta que es responsabilidad del cliente conocer la fecha límite de cierre y que los contratos con entrega física que no se hayan cerrado dentro del tiempo específico pueden ser liquidados por IB sin notificación previa.

Productos estructurados: enlaces de emisores

Background: 

Pueden verse detalles importantes respecto a los términos y condiciones de los productos estructurados en las páginas web relevantes de los emisores.  Los mercados indicados también proporcionan detalles y análisis de productos. Sin embargo, tenga en cuenta que solo puede contarse con las páginas web de los emisores para consultar detalles actualizados, así como los términos y condiciones relevantes y otro tipo de documentación legal.

Abajo se indican los enlaces a las páginas web de los mercados y emisores.

Enlaces a las páginas web de productos estructurados

Mercados

Euronext

http://www.euronext.com/trader/priceslists/newpriceslistswarrants-1812-E...

 

Scoach Alemania

http://www.scoach.de/EN/Showpage.aspx?pageID=8 

 

Scoach Suiza

http://scoach.ch/EN/Showpage.aspx?pageID=8 

 

Bolsa de Stuttgart

https://www.boerse-stuttgart.de/en/ 

 

 

Emisores (sitios mundiales)

Barclays

http://www.bmarkets.com/home.app 

 

BNP Paribas

http://warrants.bnpparibas.com/ 

 

CITI

http://www.citiwarrants.com/EN/index.asp?pageid=31

 

Commerzbank

http://warrants.commerzbank.com/

 

Credit Suisse

https://derivative.credit-suisse.com/index.cfm?nav=jumper&CFID=10909284&...

 

Deutsche Bank

http://www.x-markets.db.com/EN/showpage.asp?pageid=33&blredirect=0

 

Goldman Sachs

http://www2.goldmansachs.com/services/investing/securitised-derivatives/...

 

ING

https://www.ingfm.com/spg/spg/shownews.do

 

JP Morgan

http://www.jpmorgansp.com/welcome/flash.html

 

Macquarie Oppenheim

http://www.macquarie-oppenheim.com/

 

Merrill Lynch

http://www.merrillinvest.ml.com/

 

Morgan Stanley

http://www.morganstanleyiq.com/showpage.asp

 

Natixis

http://www.natixis-direct.com/EN/showpage.asp?pageid=151

 

Rabobank

http://www.raboglobalmarkets.com/

 

RBS

http://markets.rbs.com/EN/Showpage.aspx?pageID=58

 

Societe Generale

http://www.warrants.com/home/

 

UBS

http://keyinvest.ibb.ubs.com/

 

Zurcher Kantonalbank

https://zkb.is-teledata.ch/html/search/simple/index.html

 

 

Emisores (sitios locales)

Aargauische Kantonalbank (Suiza)

https://boerse.akb.ch/akb/overview/strukies.jsp

 

ABN Amro (Países Bajos)

http://www.abnamromarkets.nl/turbo/

 

Allegro Inv Corp (Alemania)

https://de.citifirst.com/DE/Showpage.aspx

 

Basler Kantonalbank (Suiza)

http://www.bkb.ch/products

 

Bayerische Landesbank (Alemania)

https://anlegen.bayernlb.de/MIS/?id=cpo&pid=CPO_disclaimer

 

BCV (Suiza)

http://www.bcv.ch/cgi-bin/structured/structured/ep/home.do

 

Bear Sterns (Alemania)

http://www.jpmorgansp.com/DE/home/index.html

 

BHF Bank (Alemania)

https://www.bhf-bank.com/w3/IPServlet?ok=ok

 

BSI (Suiza)

http://scoach.ch/EN/Showpage.aspx?pageID=8

 

Clariden Leu (Suiza)

https://myproducts.claridenleu.com/

 

DWS (Alemania)

http://www.dwsgo.de/DE/showpage.aspx?pageid=1

 

DZ Bank (Alemania)

http://www.eniteo.de/

DZ Bank (Suiza)

http://scoach.ch/EN/Showpage.aspx?pageID=8

 

EFG Fin Prod (Suiza)

http://www.efgfp.com/

 

Erste Abwicklungsanstalt (Alemania)

http://www.westlb-zertifikate.de/

 

Erste Group (Alemania)

https://produkte.erstegroup.com/Retail/en/index.phtml

 

Exane (Suiza)

http://scoach.ch/EN/Showpage.aspx?pageID=8

 

Helaba (Alemania)

https://www.helaba.de/de/Unternehmen/GlobalMarkets/StrukturierteProdukte/

 

HSBC (Alemania)

http://www.hsbc-zertifikate.de/!GetDefaultIndexPage?sessionId=gLwgZa8AoUnrVaQbWKXMCiKVdo6GwcX4ErC&Lang=D&Country=germany&#CallEx%24Homepage%24sessionId%3DgLwgZa8AoUnrVaQbWKXMCiKVdo6GwcX4ErC

 

 

HSBC (Suiza)

http://www.hsbc-zertifikate.ch/!GetDefaultIndexPage?sessionId=dFYxnatP7GMPekFBx775d2RBSahppeC1HUM&Lang=D&Country=swiss&#CallEx%24Homepage%24sessionId%3DdFYxnatP7GMPekFBx775d2RBSahppeC1HUM

 

 

Hypovereinsbank/Unicredit (Alemania)

http://www.zertifikate.hypovereinsbank.de/portal?view=/home/home.jsp

 

Interactive Brokers (Alemania)

http://www.ibfp.com/ibfp-ph/

 

Julius Baer (Suiza)

http://derivatives.juliusbaer.com/

 

Landesbank Berlin (Alemania)

http://www.zertifikate.lbb.de/UeberUns/unser_team/index.html

 

Lang & Schwartz (Alemania)

http://www.ls-d.de/Direkt-zur-TradeCenter-KG.9.0.html

 

LBBW (Alemania)

https://www.lbbw-markets.de/cmp-portalWAR/appmanager/LBBW/Markets?_nfpb=...

 

Natixis (Alemania)

http://scoach.ch/EN/Showpage.aspx?pageID=8

 

Nomura (Alemania)

https://www.boerse-stuttgart.de/en/

 

Raiffeisen Centrobank (Austria)

http://www.rcb.at/

 

Sal. Oppenheim (Alemania)

http://www.oppenheim-derivate.de/showpage.asp?pageid=442

 

Sarasin

http://www.saraderivate.ch/

 

SEB (Alemania)

http://www.seb-bank.de/de/Privatkunden/Wertpapiere_und_Boerse.html

 

Unicredit (Francia)

http://www.bourse.unicredit.fr/tlab2/fr_FR/home.htm

 

Vontobel (Alemania)

http://www.vontobel-zertifikate.de/Home-de.html

 

Vontobel

http://www.derinet.ch/Suchergebnis-en.html?stinput=CH0018495439&stlang=E...

 

West LB (Alemania)

http://www.westlb-zertifikate.de/

 

WGZ Bank (Alemania)

http://www.wgz-zertifikate.de/de/zertifikate/produkte/suche

 

Credit Agricole (Alemania)

https://www.boerse-stuttgart.de/en/

 

 

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