How Is the 'Portfolio Margin' Requirement Calculated under Regulatory Frameworks? ⎊ Path

How Is the ‘Portfolio Margin’ Requirement Calculated under Regulatory Frameworks?

Portfolio margin is calculated using a standardized, regulatory-approved risk-based model (like the TIMS or SPAN methodology). The model assesses the theoretical profit and loss of the entire portfolio across a wide range of market movements (e.g.

+/- 30% price change and +/- 30% volatility change). The margin required is the largest potential loss calculated across all these scenarios.

How Is Initial Margin Calculated for a Portfolio of Options Contracts?

How Is the Standard Portfolio Analysis of Risk (SPAN) Methodology Used to Calculate Initial Margin?

What Is the Basic Concept behind the SPAN Margining System?

How Are Margin Requirements Calculated for Different Derivative Products?

How Does a Prime Broker’s Internal Risk Model Approve Margin Offsets?

How Is the Risk-Based Margin for a Portfolio of Options Calculated?

How Does the SPAN Margin System Facilitate Portfolio Margining?

What Is the Main Objective of the SPAN Margining System?

Glossar

Theoretical Profit and Loss

Valuation ⎊ Theoretical Profit and Loss, within cryptocurrency options and financial derivatives, represents a projected financial outcome derived from a model incorporating current market parameters, rather than realized gains or losses from executed trades.