Portfolio Margin Scenarios

These are the scenarios used when computing portfolio margin. Note all regular scenarios have dampening 1.

All combinations in the table below are of the form (Spot Shock (%), Volatility Shock).

Scenario	BTC	ETH	SOL/XRP	HYPE/ZEC	XAUT	ADA/CC
1	(+14%, Up)	(+16%, Up)	(+24%, Up)	(+27%, Up)	(+10%, Up)	(+33%, Up)
2	(+10.5%, Up)	(+12%, Up)	(+18%, Up)	(+20.25%, Up)	(+7.5%, Up)	(+24.75%, Up)
3	(+10.5%, Static)	(+12%, Static)	(+18%, Static)	(+20.25%, Static)	(+7.5%, Static)	(+24.75%, Static)
4	(+10.5%, Down)	(+12%, Down)	(+18%, Down)	(+20.25%, Down)	(+7.5%, Down)	(+24.75%, Down)
5	(+7%, Up)	(+8%, Up)	(+12%, Up)	(+13.5%, Up)	(+5%, Up)	(+16.5%, Up)
6	(+7%, Static)	(+8%, Static)	(+12%, Static)	(+13.5%, Static)	(+5%, Static)	(+16.5%, Static)
7	(+7%, Down)	(+8%, Down)	(+12%, Down)	(+13.5%, Down)	(+5%, Down)	(+16.5%, Down)
8	(+3.5%, Up)	(+4%, Up)	(+6%, Up)	(+6.75%, Up)	(+2.5%, Up)	(+8.25%, Up)
9	(+3.5%, Static)	(+4%, Static)	(+6%, Static)	(+6.75%, Static)	(+2.5%, Static)	(+8.25%, Static)
10	(+3.5%, Down)	(+4%, Down)	(+6%, Down)	(+6.75%, Down)	(+2.5%, Down)	(+8.25%, Down)
11	(+0%, Up)	(+0%, Up)	(+0%, Up)	(+0%, Up)	(+0%, Up)	(+0%, Up)
12	(+0%, Static)	(+0%, Static)	(+0%, Static)	(+0%, Static)	(+0%, Static)	(+0%, Static)
13	(+0%, Down)	(+0%, Down)	(+0%, Down)	(+0%, Down)	(+0%, Down)	(+0%, Down)
14	(-3.5%, Up)	(-4%, Up)	(-6%, Up)	(-6.75%, Up)	(-2.5%, Up)	(-8.25%, Up)
15	(-3.5%, Static)	(-4%, Static)	(-6%, Static)	(-6.75%, Static)	(-2.5%, Static)	(-8.25%, Static)
16	(-3.5%, Down)	(-4%, Down)	(-6%, Down)	(-6.75%, Down)	(-2.5%, Down)	(-8.25%, Down)
17	(-7%, Up)	(-8%, Up)	(-12%, Up)	(-13.5%, Up)	(-5%, Up)	(-16.5%, Up)
18	(-7%, Static)	(-8%, Static)	(-12%, Static)	(-13.5%, Static)	(-5%, Static)	(-16.5%, Static)
19	(-7%, Down)	(-8%, Down)	(-12%, Down)	(-13.5%, Down)	(-5%, Down)	(-16.5%, Down)
20	(-10.5%, Up)	(-12%, Up)	(-18%, Up)	(-20.25%, Up)	(-7.5%, Up)	(-24.75%, Up)
21	(-10.5%, Static)	(-12%, Static)	(-18%, Static)	(-20.25%, Static)	(-7.5%, Static)	(-24.75%, Static)
22	(-10.5%, Down)	(-12%, Down)	(-18%, Down)	(-20.25%, Down)	(-7.5%, Down)	(-24.75%, Down)
23	(-14%, Up)	(-16%, Up)	(-24%, Up)	(-27%, Up)	(-10%, Up)	(-33%, Up)

Two further scenarios are evaluated at zero spot shock with the skew shocks applied (linear and abs), described under Skew Shock Parameters.

Tail Scenarios

These are the tail scenarios which involve large spot shocks and non trivial dampening. All cases involve volatility spot shock up.

Pairs in the table below are of the form (spot shock (%), dampening factor).

Scenario	BTC	ETH	SOL	HYPE	XRP	ZEC	XAUT	ADA/CC
1	(-66%, 0.122624)	(-66%, 0.14)	(-66%, 0.272711)	(-66%, 0.3273)	(-66%, 0.290933)	(-66%, 0.327273)	(-66%, 0.091667)	(-66%, 0.4)
2	(-33%, 0.245)	(-33%, 0.28)	(-33%, 0.545422)	(-33%, 0.6545)	(-33%, 0.581778)	N/A (captured in vanilla scenario)	(-33%, 0.181667)	N/A (captured in vanilla scenario)
3	(+50%, 0.161741)	(+50%, 0.1848)	(+50%, 0.36)	(+50%, 0.432)	(+50%, 0.384)	(+50%, 0.432)	(+50%, 0.12)	(+50%, 0.528)
4	(+100%, 0.080871)	(+100%, 0.0924)	(+100%, 0.18)	(+100%, 0.216)	(+100%, 0.192)	(+100%, 0.216)	(+100%, 0.06)	(+100%, 0.264)
5	(+200%, 0.020218)	(+200%, 0.0231)	(+200%, 0.045022)	(+200%, 0.05065)	(+200%, 0.045022)	(+200%, 0.054)	(+200%, 0.015)	(+200%, 0.132)
6	(+300%, 0.008976)	(+300%, 0.010267)	(+300%, 0.02)	(+300%, 0.024)	(+300%, 0.021333)	(+300%, 0.024)	(+300%, 0.006667)	(+300%, 0.088)
7	(+400%, 0.005044)	(+400%, 0.005775)	(+400%, 0.011244)	(+400%, 0.0135)	(+400%, 0.012)	(+400%, 0.0135)	(+400%, 0.00375)	(+400%, 0.066)
8	(+500%, 0.003228)	(+500%, 0.003696)	(+500%, 0.0072)	(+500%, 0.00864)	(+500%, 0.00768)	(+500%, 0.00864)	(+500%, 0.0024)	(+500%, 0.0528)

Account Details

These parameters govern the size and supported expiries of a PMRM subaccount.

Parameter	Contract Variable	All markets	Range	Description
MAX_ACCOUNT_SIZE	maxAccountSize	500	No bounds	This is the maximum number of assets (options, cash, base, perpetuals) that can be supported by a single portfolio margined subaccount. This is constrained by gas requirements.
MAX_EXPIRIES	maxExpiries	16	No bounds	This is the maximum number of unique expiries that can be held by a single portfolio margined subaccount.

Contingency Margin

These parameters govern various pieces of contingency margin which account for possibilities not encoded in the spot and IV shocks.

Parameter	Contract Variable	BTC/ETH	SOL/XAUT	HYPE	XRP	ZEC	ADA	CC	Range	Description
PEG_FACTOR	OtherContingencyParameters.pegLossFactor	4.0	4.0	4.0	4.0	4.0	4.0	4.0	[0.0, 20.0]	Increases IM_FACTOR when USDC depegs beyond a threshold value.
INITIAL_PERP_FACTOR	OtherContingencyParameters.perpPercent	0.015	0.0175	0.0175	0.02	0.027	0.04	0.045	[0.0, 1.0]	This is used to compute the perp contingency for initial margin, simply a small percentage (given by PERP_FACTOR) of the spot price.
MAINTENANCE_PERP_FACTOR	OtherContingencyParameters.perpPercent	0.0075	0.01	0.01	0.01	0.015	0.025	0.025	[0.0, 1.0]	As above but for maintenance margin
MM_OPTION_FACTOR	OtherContingencyParameters.optionPercent	0.0015	0.0025	0.003	0.0045	0.006	0.007	0.01	[0.0, 1.0]	A small percentage (OPTION_FACTOR) of the spot price is added per net short contract per strike to the asset contingency.
IM_OPTION_FACTOR	OtherContingencyParameters.optionPercent	0.0025	0.004	0.005	0.0075	0.0102	0.012	0.017	[0.0, 1.0]	As above but for initial margin. I.e. for SOL, an extra 0.4% of spot is added per naked short option.

Volatility Shocks

These parameters govern the shock IVs used when computing portfolio margin.

Parameter	Contract Variable	BTC/ETH	SOL/HYPE/XRP	ZEC	XAUT	ADA/CC	Range	Description
VOL_RANGE (up)	VolShockParameters.volRangeUp	0.40	0.50	0.55	0.30	0.60	[0.01, 2.0]	Multiplicative scaling of the implied volatility when considering an increase in volatility.
VOL_RANGE (down)	VolShockParameters.volRangeDown	0.25	0.30	0.30	0.15	0.30	[0.01, 1.0]	Multiplicative scaling of the implied volatility when considering a decrease in volatility.
VEGA_POWER (< 30 DTE)	VolShockParameters.shortTermPower	0.3	0.3	0.3	0.3	0.3	[0.0, 0.5]	A power scaling of the multiplicative volatility shock (for short dated expiries).
VEGA_POWER (> 30 DTE)	VolShockParameters.longTermPower	0.13	0.13	0.13	0.13	0.13	[0.0, 0.5]	A power scaling of the multiplicative volatility shock (for long dated expiries).
DTE_FLOOR	VolShockParameters.dteFloor	1 day	1 day	1 day	1 day	1 day	[0.01, 100] days	A floor on the time-to-expiry used when computing the volatility shock. Avoids divergence arising from dividing by near 0 values.
minVolShockUp	VolShockParameters.minVolShockUp	0.50 (50%)	0.60 (60%)	0.60 (60%)	0.20 (20%)	0.60 (60%)	[0, 20]	Minimum evaluated (shock) volatility for the vol up scenario

Discounting

These parameters govern how long sub-portfolios are discounted.

Parameter	Contract Variable	All markets	Range	Description
shortRateMultScale	MarginParameters.shortRateMultScale	0.0	[0.0, 10.0]	Multiplicative scaling of the risk free rate used when computing the discounting for a short sub-portfolio.
shortRateAddScale	MarginParameters.shortRateAddScale	0.10	[0.0, 10.0]	Additive scaling of the risk free rate used when computing the discounting for a short sub-portfolio.
longRateMultScale	MarginParameters.longRateMultScale	0.0	[0.0, 10.0]	Multiplicative scaling of the risk free rate used when computing the discounting for a long sub-portfolio.
longRateAddScale	MarginParameters.longRateAddScale	0.10	[0.0, 10.0]	Additive scaling of the risk free rate used when computing the discounting for a long sub-portfolio.
STATIC_SCALE_POS	MarginParameters.baseStaticDiscountPos	0.98	[0.0, 1.1]	A flat scaling of the sub-portfolio's shocked marked value (only applies if positive).
STATIC_SCALE_NEG	MarginParameters.baseStaticDiscountNeg	1.02	[0.9, 10.0]	A flat scaling of the sub-portfolio's shocked marked value (only applies if negative).

Forward Contingency

These are parameters that govern the forward contingency. This accounts for forward basis movements against the trader.

Parameter	Contract Variable	BTC/ETH/XAUT	SOL/HYPE	XRP/ZEC/ADA/CC	Range	Description
ADD_FACTOR	BasisContingencyParameters.basisContAddFactor	0.5	0.25	0.35	[0, 5.0]	Additive scaling factor when computing the basis contingency
MULT_FACTOR	BasisContingencyParameters.basisContMultFactor	2.0	2.0	2.0	[0, 5.0]	Multiplicative scaling factor when computing the basis contingency.

The two spot scenarios used for the basis contingency are the smallest magnitude spot up scenario and the largest magnitude spot down scenario, both with IV static:

Market	UP_SCENARIO_MOVE (scenarioSpotUp)	DOWN_SCENARIO_MOVE (scenarioSpotDown)
BTC	1.035	0.965
ETH	1.04	0.96
SOL / XRP	1.06	0.94
HYPE / ZEC	1.0675	0.9325
XAUT	1.025	0.975
ADA / CC	1.0825	0.9175

Initial Margin and Oracle Contingency

These govern how initial margin is typically defined, as well as circumstances where it may increase due to stable coin depeggings and/or low data confidence.

Parameter	Contract Variable	BTC/ETH/SOL/HYPE/XRP/ZEC/XAUT/ADA	CC	Range	Description
IM_FACTOR	MarginParameters.imFactor	1.0	1.15	[0.5, 10.0]	This scales the maxLoss and contingencies when computing the initial margin for a portfolio margined subaccount.
MM_FACTOR	MarginParameters.mmFactor	0.80	0.95	[0.5, 10.0]	As above, but for maintenance margin.
USDC_THRESHOLD	OtherContingencyParameters.pegLossThreshold	0.99	0.99	[0.0, 1.05]	Value of USDC beneath which the depeg contingency comes into effect.
CONFIDENCE_THRESHOLD	OtherContingencyParameters.confThreshold	0.55	0.55	[0.0, 1.0]	Value of the confidence beneath which the relevant data is considered low confidence (thereby attracting additional initial margin).
CONFIDENCE_SCALE	OtherContingencyParameters.confMargin	0.4	0.4	[0, 2.0]	Percentage of the spot price added when considering the oracle contingency.

Skew Shock Parameters

Parameter	All markets	Range	Description
linearBaseCap	0.25	<= 10	Sets the maximum multiple of the volatility for the linear scenario
absBaseCap	0.25	<= 10	As above for the abs scenario
linearCBase	-0.1	>= -10	Sets how much to lower the maximum multiple for longer dated expiries
absCBase	-0.1	>= -10	As above for the abs scenario
minKStar	0.01	>= 0	Minimum width before flattening the vol increase for the skew scenarios
widthScale	4.0	<= 10	How many std deviations based on ATM vol after which we cap the increase in IV
volParameterStatic	0.60	[0, 10]	Estimate of IV used to approximate Kstar
volParameterScale	0.0	[-20, 20]	Corrects vol for longer timescales

Risk Cancellation

Risk cancelling collateral has its spot exposure shocked together with the market's derivatives, rather than simply being haircut. Each portfolio margin manager recognises the collateral of its own market:

Manager	Risk cancelling collateral
ETH PM	(w)ETH, wstETH, weETH
BTC PM	(w)BTC, cbBTC, LBTC
SOL PM	(w)SOL, jitoSOL
HYPE PM	HYPE, kHYPE
XRP PM	fXRP
ADA PM	cbADA
XAUT PM	XAUT
ZEC PM, CC PM	None

Haircuts applied to risk cancelling collateral (both are totals, i.e. the full haircut applied at that margin level):

Asset	Manager	MM Haircut	IM Haircut
ETH	ETH PM	6%	7%
wstETH	ETH PM	8.6%	10%
weETH	ETH PM	15.6%	23.5%
wBTC	BTC PM	12.6%	14%
cbBTC	BTC PM	12.6%	14%
LBTC	BTC PM	18.6%	22.5%
wSOL	SOL PM	11%	16%
jitoSOL	SOL PM	11%	21%
HYPE	HYPE PM	10%	23%
kHYPE	HYPE PM	10%	23%
fXRP	XRP PM	18%	20%
cbADA	ADA PM	10%	13%
XAUT	XAUT PM	5%	7%

Other collateral is haircut rather than risk cancelled, and the haircut depends on which manager holds it. The BTC and ETH managers accept the widest range:

Asset	BTC PM MM / IM	ETH PM MM / IM
USDT	2% / 4%	2% / 4%
AUSD	15% / 20%	15% / 20%
USDe	15% / 20%	15% / 20%
sUSDe	20% / 30%	20% / 30%
DRV	85% / 90.1%	85% / 90.1%
ETH	20% / 25%	risk cancelling
wstETH	20% / 28%	risk cancelling
weETH	30% / 34.9%	risk cancelling
BTC	risk cancelling	25% / 30.25%
cbBTC	risk cancelling	30% / 34.9%
LBTC	risk cancelling	30% / 34.9%

Open Interest Caps

Open interest caps on options, base and perpetual instruments, as configured for the portfolio margin managers.

Market	UNDERLYING_OI_CAP (baseAsset.totalPositionCap)	OPTION_OI_CAP (option.totalPositionCap)	PERP_OI_CAP (perp.totalPositionCap)
ETH	6,000	2,000,000	250,000
BTC	160	100,000	12,000
SOL	2,000	2,000,000	500,000
HYPE	500,000	20,000,000	1,000,000
XRP	N/A	20,000,000	5,000,000
ZEC	N/A	10,000	20,000
XAUT	250	5,000	5,000
ADA	N/A	120,000,000	30,000,000
CC	N/A	10,000,000	7,000,000

Caps are set per manager, so the standard manager's caps for the same market can differ — see Standard Margin Parameters. Collateral assets (cbBTC, LBTC, jitoSOL, kHYPE, cbADA, fXRP, …) carry their own base caps.

Fees

These are fees charged by the managers on the protocol layer.

Parameter	Contract Variable	All markets	Range	Description
SPOT_FACTOR	manager.OIFeeRateBPS	0.70 (70%)	[0, 5.0]	Percentage of the spot price charged when the trade increases the open interest.
MIN_OI_FEE	minOIFee	$50 USDC	[0, 10,000]	Minimum fee charged when open interest is increased.