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Customer Portfolio Margin (CPM) Theoretical Profit and Loss Data

Using its approved pricing models, OCC provides theoretical profit and loss values for all of its cleared option series, futures contracts, and their related instruments, as well as products included in cross margin agreements. This data is used in third party software to calculate customer account minimum margin requirements based on parameters set forth in Self-Regulatory Organization rules and the Net Capital Rule 15c3-1. The file includes the following information:

  • Calculation Parameters
  • Basket IDs
  • Class and Product Group IDs
  • Symbol
  • Record Type
  • Minimum Charge
  • Theoretical Closing Price
  • Theoretical Profit and Loss Values at Ten Price Points
  • Closing Price option implied volatility

The data is available nightly at approximately 8:00 pm CT.

Record Layout

Record Layout is available in the CPM User Guide (PDF).

Sample Data

Please note that this sample is for reference purposes only and does not include complete data.

Connectivity

OCC uses SFTP for the transfer of data. SFTP is the SSH File Transfer Protocol. SFTP allows for secure, encrypted, and compressible file transfers over any reliable network.

Fees

The fee to receive the RBH/CPM Theoretical Profit and Loss Data File is $1,000 per month for non-clearing members.

For further information please see the CPM web page or contact risksystems@theocc.com.