[bdkoepke]

None of the retail brokers (including ibkr) do this correctly, although ibkr is probably the best for retail. Their cross-margining for futures options doesn't work (since the options are treated as "securities" and the futures are treated as "commodities", they treat them as segregated accounts).

They do handle multi-legged options trading, and implement SPAN correctly within the futures space. Portfolio Margining is not always correct (they don't implement customer portfolio margin baskets right), and be aware that margin can *and does* change drastically, particularly during financial crisis.

https://www.federalreserve.gov/econres/feds/an-empirical-ana... (p38-45).