Portfolio Margin

Portfolio Margin evaluates risk at the portfolio level rather than per-position. The Initial Margin Requirement (IMR) is:

$$\text{IMR} = \text{Net Portfolio Initial Margin Requirement} + \text{Funding Provision} + \text{Fee Provision}$$

where the Net Portfolio Initial Margin Requirement is the greater of SCAN Risk and Minimum Delta Requirement.

Funding Provision is margin reserved to cover any expected funding PnL over the next 8 hours.

The Maintenance Margin Requirement (MMR) is:

$$\text{MMR} = 50\% \times \text{Net Portfolio Initial Margin Requirement} + \text{Funding Provision} + \text{Fee Provision}$$

SCAN risk

SCAN Risk stress-tests the portfolio across 24 scenarios by shocking spot price and implied volatility simultaneously. The SCAN Risk equals the maximum weighted loss across all scenarios.

Each scenario applies:

$$\text{Shocked Spot} = \text{Spot Price} \times (1 + \text{Spot Shock})$$ $$\text{Shocked IV} = \text{Mark IV} \times \bigg(1 + \text{Vol Shock} \times \Big(\frac{30}{\max(\text{DTE Floor}, \text{DTE})}\Big)^{\text{Vega Power}}\bigg)$$

where:

• DTE Floor = 1
• Vega Power = 0.30 (30%) if DTE < 30, or 0.13 (13%) if DTE ≥ 30
• Min Vol Shock Up — floor applied to the upside vol shock: 40% for BTC/ETH, 60% for HYPE/ZEC/CL

DTE Floor and Vega Power are common across all assets; Min Vol Shock Up differs per asset as shown above.

Scenario tables

Spot shocks, vol shocks, and tail weights differ per asset. The 24-scenario structure (16 standard + 8 tail) is shared.

Minimum delta requirement

The Minimum Delta Requirement charges based on the portfolio’s net and hedged delta exposure:

$$\text{Min Delta Risk} = (\text{Unhedged Margin Factor} \times |\text{Net Delta}| + \text{Hedged Margin Factor} \times \text{Hedged Delta}) \times \text{Spot Price}$$

where:

$$\text{Hedged Delta} = \frac{\text{Gross Delta} - |\text{Net Delta}|}{2}$$

Min-delta coefficients