Portfolio Margin
IM (Asset)
Simulation PnL Matrix
Contingency Fund
IM (Asset)
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Asset IM = MM *
MM (Asset)
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Maintenance Margin = max (Portfolio Max Loss + Asset Contingency, Closing Fee), Closing Fee = Closing Fee of Current Orders and Open Positions
Simulation PnL Matrix

Simulates the price movement of the underlying asset, and extreme volatility. The worst case scenario simulated will be used to calculate the occupied margin under the Portfolio Margin mode. Your position and order sizes, price changes and volatility changes used for the risk matrix calculation are listed below.

Note: This simulation uses Mark Prices to calculate PnL, and is not related to any actual unrealized profit and loss on your account.

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Contingency Component

Estimation of Option Portfolio Net Short Position Risk, Portfolio Delta Change Risk, Option Portfolio Volatility Change Risk and USDT-USDC Price Deviation Risk.

Asset Contingency Component
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=
Delta Contingency
--
+
Asset Options Contingency
--
+
Asset Vega Contingency (Options)
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+
USDT-USDC Contingency Component
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+
Asset Futures Contingency
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Option Contingency = Option Net Short Position * Net Short Options Factor * BTC − USDC Index

When BTC quantity = 0: Delta Contingency = min(abs(Long Delta), abs(Short Delta)) * BTC-USD Index Price * (abs(TL - TS)) * BTC's Delta Contingency Factor. When BTC quantity > 0: Delta Contingency = min(abs(Long Delta), abs(Short Delta)) * BTC-USD Index Price * (abs(TL - TS)) * BTC's Delta Contingency Factor + abs(BTC Quantity Used for Hedging) * BTC-USD Index Price * max(Weighted Basis Risk * Basis Risk Factor / BTC-USD Index Price - min (1 - Collateral Value Ratio - Repayment Handling Fee Rate, Basis Risk Threshold Ratio), 0). When BTC quantity < 0: Delta Contingency = min(abs(Long Delta), abs(Short Delta)) * BTC-USD Index Price * (abs(TL - TS)) * BTC's Delta Contingency Factor + abs(BTC Quantity Used for Hedging) * BTC-USD Index Price * max(Weighted Basis Risk * Basis Risk Factor / BTC-USD Index Price - min (Spot Maintenance Margin Factor - Repayment Handling Fee Rate, Basis Risk Threshold Ratio), 0).

Vega Contingency = abs (TL Option - TS Option) * Vega Contingency Factor * Min [abs (Option Long Vega), abs (Option Short Vega) ]

USDT - USDC Contingency = Hedged Delta * （USDT-USDC Contingency Factor） * ( BTC-USDC Index + BTC-USDT Index ) / 2

Asset Futures Contingency = Σabs (USDC Perpetual and Futures Contract Quantity + USDT Perpetual Contract Quality) * Future Contingency Factor * Corresponding USD Index Price for each Contract

TL = Total Long Size; TS = Total Short Size

The long/short size of the portfolio is calculated based on weighted average prices.