Portfolio Margin

(available upon request)

Portfolio Margin uses a risk-based model that determines margin requirements based on historical volatility by valuing a specific portfolio over a range of underlying price and volatility moves. This Portfolio Margin risk-based model takes into consideration positions in futures and options combined, which may help reduce the margin requirement of your portfolio. Portfolio Margin accounts offer these potential benefits to traders and market makers who maintain a balanced portfolio of hedged positions:
  • Lower margin requirements
  • Increased leverage
  • To qualify for Portfolio Margin, you must maintain a minimum net equity of 0.5 BTC.
  • Trader needs to have some experience trading options and declare to have understanding about the concept of portfolio margin
Please contact us writing an email to support@deribit.com if you would like to have portfolio margin calculations activated in your account.

Portfolio maintenance margin is determined by calculating the maximum loss that can occur in a portfolio with the following parameters (parameter settings can be changed by Deribit Risk Management team without prior notice):
  • maximum price move of +/- 10.00%
  • maximum implied volatility change of (30/days to expiration)^0.30*38.00%. Example: options expiring in 30 days: IV change of maximum 38.00%, options expiring in 15 days: IV change of maximum  (30/15)^0.30*38.00%
  • Contingency component of 0.01 BTC per option for all net short options per strike. Example: you have a position in strike X, call +10 and put -20, your net short position on strike X is -10, thus 10*0.01 BTC extra margin requirement is added to the portfolio margin calculation.
  • Contingency component of 1.00% of underlying value is added for offsetting futures. Example: you are long 100 BTC in Future A, and short 100 BTC in Future B, then 1.00%*100 BTC will be added to the portfolio margin calculation.
  • Contingency component of 0.00% for VEGA’s offsetting in different expirations. Example: you are net long 10 VEGA in Expirations A/B/C, and net short 10 VEGA in Expirations D/E/F, we will add a contingency of 0.00% thereof to the portfolio margin calculation.

Initial margin is Maintenance Margin + 30%. Example: If Maintenance Margin is 10 BTC, Initial margin will be 10 BTC+30% = 13 BTC.

Please note that the liquidation process for portfolio margin users targets to reduce the risk of your position by trading futures at first. This can also result in opening new futures positions but will reduce the risk profile of your portfolio. Any options could also be traded, but only reducing positions, but due to the potentially lower liquidity in the options market, liquidating options positions can be more harmful to a user portfolio than simply delta hedging the position with futures. Whenever maintenance margin is higher than 100%, it is to the discretion of Deribit risk management how to handle your position in an attempt to reduce the risk of bankruptcy.

For open orders there is no initial margin required. But per account there are individual limits to the amount of open orders that are allowed. If you (with PM activated) notice that you would want to have more orders opened than risk management allows, please contact support@deribit.com.