Self-Regulatory Organizations; The Options Clearing Corporation; Order Granting Approval of Proposed Rule Change, as Modified by Partial Amendment No. 1, by The Options Clearing Corporation Concerning Its Process for Adjusting Certain Parameters in Its Proprietary System for Calculating Margin Requirements During Periods When the Products It Clears and the Markets It Serves Experience High Volatility
Published Date: 1/6/2025
Notice
Summary
The Options Clearing Corporation (OCC) got the green light to update how it adjusts margin rules when markets get super bumpy. This means traders and firms using OCC’s services will see quicker, clearer changes to margin requirements during wild market swings, helping keep things safe and smooth. These updates kick in right away, making sure everyone’s ready for whatever the market throws next!
Free Policy Watch
New rules are filed every week. Most people never see them.
Pick a topic. PRIA watches every federal rule and tells you when one hits your household.
Pick a topic to get started
Analyzed Economic Effects
2 provisions identified: 2 benefits, 0 costs, 0 mixed.
Limits Large Volatility-Driven Margin Spikes
OCC's codified 'high-volatility parameter controls' let it apply idiosyncratic or global bounds to GARCH parameters to reduce procyclical spikes in margin requirements. OCC states these controls have limited instances where model reactivity otherwise produced very large increases (for example, past GARCH forecasts led to margin increases of about 80% overnight and in some cases ten-fold), while maintaining a 2-day expected shortfall coverage level of 99%.
Formalized Margin-Setting Governance
OCC officially codified how it adjusts STANS margin parameters for high volatility in a rule filing (filed October 1, 2024) that the SEC approved (order dated December 30, 2024). The updated Margin Policy says OCC's Financial Risk Management team will review high-volatility control sets at least annually, Quantitative Risk Management will run a monthly sensitivity analysis (or more often if thresholds are breached), and approval authorities (the Model Risk Working Group and FRM Officer) must sign off on changes and reversions.
Your PRIA Score
Personalized for You
How does this regulation affect your finances?
Sign up for a PRIA Policy Scan to see your personalized alignment score for this federal register document and every other regulation we track. We analyze your financial profile against policy provisions to show you exactly what matters to your wallet.
Key Dates
Take It Personal
Get Your Personalized Policy View
Take the PRIA Score to see how policy affects your household, then upgrade to PRIA Full Coverage for year-round monitoring.
Already have an account? Sign in