OCC introduces new intraday risk charge covering zero-day options

Revised measures “a nightmare” to implement, says one broker-dealer

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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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