Stress Test Market Moves

Portfolio margin is determined by finding the maximum net loss the portfolio would incur under various hypothetical market moves. One of the first steps in this process is to stress test the underlying security price across a range of market moves and then value each underlying and it's derivatives under these scenarios. The range usually consists of 10 intervals in total: 5 positive market moves and 5 negative market moves.
 
The size of the range itself depends on the type of underlying in question. For these purposes, portfolio margin calls for underlyings to be grouped into the following four categories:

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Related Articles:

• Introduction to Portfolio Margin
• Tutorial on How Portfolio Margin Works
• P&L Offsets for different indexes

High-Capitalization Broad Based Indexes
Market Move Range: -8% to 6% 
Indexes:

• Broad Based Indexes
  
• European Indexes
  
• Growth Indexes
  
• Value Indexes
  
• Japan Indexes
  
• FTSE 100 Index
  
• S&P 500 Buy Write Index
  

Non-High-Capitalization Broad Based Indexes
Market Move Range: -10% to 10% 
Indexes:

• NASD Market Indexes
  
• Small Cap Indexes
  
• China Indexes
  
• MSCI EAFE Indexes
  

Sector Indexes 
Market Move Range: -15% to 15%
Indexes:

• Gold & Silver Mining Indexes
  
• Oil & Natural Gas Indexes
  
• Home Builder Indexes
  
• Biotech Indexes
  
• Pharmaceutical Indexes
  
• Utility Indexes
  
• REIT Indexes
  
• Technology Indexes
  
• Retail Indexes
  
• Transportation Indexes
  
• Internet Indexes
  
• US Banking & Financial Indexes
  

Other
Market Move Range: -15% to 15%

Securities:

• Single stocks
• Single stock futures

Note that leveraged and inverse ETFs are stressed by the market moves stated above multiplied by the leverage of the ETF. 

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References: 

1. "Customer Portfolio Treatment for Indexes". The Options Clearing Corporation
2. "Regulatory Notice 09-53". The Options Clearing Corporation