How Do CCPs Handle Margin for Options during Periods of Extreme, Sudden Volatility?

During extreme volatility, CCPs immediately increase the Initial Margin requirement, often by adjusting the volatility input in their risk models or by applying specific stress-test add-ons. This is done to ensure the margin buffer is sufficient to cover the much larger potential losses.

They also increase the frequency of margin calls to capture mark-to-market changes faster.