Hidden orders are offered by many lit trading venues for participants to hide the true size of their orders. To help a risk-neutral trader executing a target volume to minimize the execution cost by benefitting from the setting of a limit order market allowing hidden orders, we propose a...

Since options in a portfolio can offset one another partially in terms of the market risk, the margin calculation for option portfolios is complicated due to its combinatorial nature. We consider in this technical note margining balanced option portfolios, in which the number of long positions...

We propose a counter-cyclical initial margin model for option portfolios. Our model explores the intrinsic netting within a given portfolio of European options and outputs a constant upper bound of the maximum possible loss. This feature would allow option clearinghouses and regulators to gauge...