OCC introduces new intraday risk charge covering zero-day options
Revised measures “a nightmare” to implement, says one broker-dealer
The Options Clearing Corporation is levying a new charge on clearing members for intraday risk, with lofty bills for their clients’ zero-day-to-expiry option (0DTE) risk exposure.
The move has come after rapid growth in 0DTE trading volumes raised concerns that existing end-of-day margin calculations were failing to reflect the risk from firms trading the instruments.
A buy-side source familiar with the change says the new add-on charge for 0DTEs means clearing firms will have to put up “tens of
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