Portfolio Margin

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

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

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

The Maintenance Margin Requirement (MMR) is:

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

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:

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

where Vega Power is 30% if DTE < 30, or 13% if DTE >= 30.

Minimum delta requirement

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

$$\text{Min Delta Risk} = (2\% \times |\text{Net Delta}| + 1\% \times \text{Hedged Delta}) \times \text{Spot Price}$$

where:

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