Introduction
Knock-out warrants (turbos), like vanilla warrants, derive their value from the difference between the price of the underlying and the strike. They differ significantly however from vanilla warrants in many important respects:

• They can expire (knock-out) prematurely if the price of the underlying instrument touches or falls below (in the case of knock-out calls) or exceeds (in the case of knockout puts) a predetermined barrier-level. It expires worthless if the barrier equals the strike, or it may have a residual stop-loss value if the barrier is set higher than the strike (in the case of a call).
• Changes in implied volatility have little or no impact on knock-out products, therefore their pricing is easier for investors to comprehend than that of warrants.
• They have little or no time value (because of the presence of the knock-out barrier), and therefore have a higher degree of leverage than a warrant with the same strike. This is because the absence of time value makes the instrument “cheaper”.

Pay-out Profile

Leverage
As discussed above, knock-out warrants exhibit high degrees of leverage, particularly as the price of the underlying nears the strike/barrier. Consider the following example of a long turbo on the Dow Jones Index, compared to a vanilla warrant:

Intrinsic value = (index value – strike) x ratio
Leverage = Index Value x Ratio / Instrument Price

A vanilla warrant retains significant time value even as the underlying price approaches the strike, sharply reducing its leverage compared to a knock-out warrant.

Product types
As discussed above, the barrier may either equal the strike, or be set above (calls) or below (puts). In the latter cases a small residual value remains after knock-out, corresponding to the difference between the barrier (the stop-loss level) and the strike.

Moreover, knock-out products may either have an expiration date or may be open-ended. This makes a difference in the way interest is accounted for. If the contract has an expiration date interest is included in the premium, the amount of which reduces over time and is zero on expiration. This is analogous to a standard vanilla warrant.

in relation to an expiration date. The price of the contract therefore corresponds exactly to its intrinsic value. Interest however must be accounted for. This is done by a daily adjustment of the barrier and strike. The following example shows the daily adjustment for a long open-end turbo on the Dow Jones Index:

The adjustment = Strike T x (1+ FedFunds/360 + Issuer Spread/360).

The intrinsic value of the instrument is correspondingly reduced as follows, assuming no change in the value of the DJ Index):

Intrinsic value = (index value – strike) x ratio

Introduction
Factor certificates employ a daily leverage factor that multiplies the daily performance of the underlying instrument. Unlike knock-out warrants and mini-futures, factor certificates do not have a knock-out barrier. To avoid a loss greater than the investment, the calculation resets intraday if the performance of the underlying threatens to render the certificate worthless.

Daily Leverage
The performance of the certificate is calculated daily, without reference to previous days’ values. If the underlying returns 1% on the day, the value of 3x certificate increases by 3%, a 5x by 5%. The next day the process is repeated, referencing the prior day’s underlying close.

As such, factor certificates are particularly suitable for day-traders.

However, for a period of more than one day, the cumulative performance of the underlying cannot be simply multiplied by a factor of 3 as the previous day’s price always forms the new basis of calculating each day’s performance for the certificate. To illustrate with an example:

Cumulatively, the factor certificate has returned less than 3x the performance of the underlying.

Intraday Reset
If an underlying for a factor certificate loses more than a certain percentage of its value intraday, the calculation is reset by simulating a new day. The reset threshold varies depending on the leverage factor.

Let’s assume a long factor certificate with a 10x leverage factor. According to the terms of the certificate, a reset will be triggered if the underlying loses more than 9.5% during the calculation day.

Let’s now assume that the underlying loses 12% of its value during a particular day. The reset
and final performance will be as follows:

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.

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.