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Margin Analytics

Assess risk and margin impacts in volatile markets, in real-time.

Cboe Hanweck is the leading provider of real-time exchange and “house” margin analytics. Cboe Hanweck's cutting-edge technology generates real-time, instrument-level P&L vectors that conform to exchange standard methodologies. These P&L vectors can be combined with in-house or third-party risk solutions to compute real-time exchange margin.

Leveraging the hardware-accelerated compute platform, these P&L vectors are a special-case application of scenario analysis. They are a powerful tool for managing pre-and post-trade risk and anticipating end-of-day clearinghouse requirements.

Supported margin methodologies include:

OCC TIMS® Methodology and Enhanced TIMS® Methodology

  • Cboe Hanweck generates real-time P&L vectors that conform to OCC's TIMS risk-based portfolio margin methods.
  • Risk Based Haircuts (RBH) and Customer Portfolio Margin (CPM) variants.
  • Cboe Hanweck is actively engaged with OCC and industry participants to develop and test the next-generation TIMS methodology.

Futures Exchange Margin

  • Common futures exchange margin methodologies are also supported.
  • Scenario and simulation methods utilizing worse-loss approaches.

Broker (“House”) Margin

Customized scenarios can also be created to client specifications to create custom methodologies for “house” margin methodologies that augment statutory minimums.

  • Scenario and simulation methods utilizing worse-loss approaches.
  • Volatility shocks.

TIMS®, STANS®, and OCC® are registered trademarks of The Options Clearing Corporation ® (OCC). OCC assumes no liability in connection with the use of STANS or TIMS by any person or entity. The current version of TIMS or STANS may not be reflected in the Cboe Hanweck services described herein.

The information in this webpage is provided for general education and information purposes only. No statement(s) within this webpage should be construed as a recommendation to buy or sell a security or futures contract, as applicable or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in this webpage is available by contacting Cboe Global Markets at www.cboe.com/Contact.

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of “Characteristics and Risks of Standardized Options.” Copies are available from your broker or from The Options Clearing Corporation at 125 South Franklin Street, Suite 1200, Chicago, IL 60606 or at www.theocc.com.

Brokerage firms may require customers to post higher margins than the minimum margins specified in this webpage.