For Portfolio Margin, PowerTrade uses the SPAN Margin method, there are some choices to be made in terms of methodology and parameters when bumping implied volatility. These choices impact the scenarios which are considered in order to assess the health risk and hence liquidation of a client's portfolio.
Methodology
Power Trade margin is denominated in USD. For the purposes of accounting, the exchange
assumes a constant USDC/USD rate of 1.0
The Margin engine applies SPAN methodology to the entire portfolio, with PV measured in USD
terms.
Shock Parameters
The Shock parameters are:
- ETH/USD and BTC/USD:
- Daily spot shock: +-15%
- Daily vol shock: +-40% ADDITIVE
The margin engine recognizes the dollar value and (in dollar terms) delta-1 nature of underlying
assets such as BTC, subject to a PV haircut in USD terms of the spot shock.
Margin Requirement
The max loss for all scenarios becomes the Margin Requirement which determines your Account Health and Liquidation scenarios. For more information, please refer to this article.