This page documents the up to date values of all market specific parameters for the portfolio margin manager.

Portfolio Margin Scenarios

These are the scenarios used when computing portfolio margin.

Scenario Number	Spot Shock (%)	Volatility Shock
1	+20%	Up
2	+15%	Up
3	+15%	Static
4	+15%	Down
5	+10%	Up
6	+10%	Static
7	+10%	Down
8	+5%	Up
9	+5%	Static
10	+5%	Down
11	+0%	Up
12	+0%	Static
13	+0%	Down
14	-5%	Up
15	-5%	Static
16	-5%	Down
17	-10%	Up
18	-10%	Static
19	-10%	Down
20	-15%	Up
21	-15%	Static
22	-15%	Down
23	-20%	Up

Account Details

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

Parameter	Contract Variable	ETH	BTC	Range	Description
`MAX_ACCOUNT_SIZE`	`maxAccountSize`	64	64	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`	11	11	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	ETH	BTC	Range	Description
`PEG_FACTOR`	`OtherContingencyParameters.pegLossFactor`	4.0	4.0	[0.0, 20.0]	Increases `IM_FACTOR` when USDC depegs beyond a threshold value.
`BASE_FACTOR`	`OtherContingencyParameters.basePercent`	0.03	0.03	[0.0, 1.0]	This is used to compute the base contingency, simply a small percentage (given by `BASE_FACTOR`) of the spot price.
`PERP_FACTOR`	`OtherContingencyParameters.perpPercent`	0.03	0.03	[0.0, 1.0]	This is used to compute the perp contingency, simply a small percentage (given by `PERP_FACTOR`) of the spot price.
`OPTION_FACTOR`	`OtherContingencyParameters.optionPercent`	0.02	0.02	[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.

Volatility Shocks

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

Parameter	Contract Variable	ETH	BTC	Range	Description
`VOL_RANGE (up)`	`VolShockParameters.volRangeUp`	0.6	0.6	[0.01, 2.0]	Multiplicative scaling of the implied volatility when considering an increase in volatility.
`VOL_RANGE (down)`	`VolShockParameters.volRangeDown`	0.30	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	[0.0, 0.5]	A power scaling of the multiplicative volatility shock (for short dated expiries).
`VEGA_POWER (> 30 DTE)`	`VolShockParameters.longTermPower`	0.13	0.13	[0.0, 0.5]	A power scaling of the multiplicative volatility shock (for long dated expiries).
`DTE_FLOOR`	`VolShockParameters.dteFloor`	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.

Discounting

These parameters govern how long sub-portfolios are discounted.

Parameter	Contract Variable	ETH	BTC	Range	Description
`RATE_PARAM_1`	`MarginParameters.rateMultScale`	1.0	1.0	[0.0, 5.0]	Multiplicative scaling of the risk free rate used when computing the discounting for a long sub-portfolio.
`RATE_PARAM_2`	`MarginParameters.rateAddScale`	0.12	0.12	[0.0, 5.0]	Additive scaling of the risk free rate used when computing the discounting for a long sub-portfolio.
`STATIC_SCALE`	`MarginParameters.baseStaticDiscount`	0.95	0.95	[0.0, 1.0]	A flat scaling of the sub-portfolio's shocked marked value (only applies if positive).

Forward Contingency

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

Parameter	Contract Variable	ETH	BTC	Range	Description
`ADD_FACTOR`	`BasisContingencyParameters.baseContAddFactor`	1.0	1.0	[0,5.0]	Additive scaling factor when computing the basis contingency
`MULT_FACTOR`	`BasisContingencyParameters.basisContMultFactor`	1.2	1.2	[0,5.0]	Multiplicative scaling factor when computing the basis contingency.
`UP_SCENARIO_MOVE`	`BasisContingencyParameters.scenarioSpotUp`	Spot up 1.05 (IV static)	Spot up 1.05 (IV static)	N/A	One of the spot shock scenarios used to compute the basis contingency.
`DOWN_SCENARIO_MOVE`	`BasisContingencyParameters.scenarioSpotDown`	Spot down to 0.95 (IV static)	Spot down to 0.95 (IV static)	N/A	The other scenario used to compute the basis contingency.

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	ETH	BTC	Range	Description
`IM_FACTOR`	`MarginParameters.imFactor`	1.25	1.25	[1.01, 4.0]	This scales the `maxLoss` and `contingencies` when computing the initial margin for a portfolio margined subaccount.
`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`	1.0	1.0	[0, 2.0]	Percentage of the spot price added when considering the oracle contingency.

Open Interest Caps

Open interest caps on options, base and perpetual instruments.

Parameter	Contract Variable	ETH	BTC	Range	Description
`UNDERLYING_OI_CAP`	`baseAsset.totalPositionCap`	750	15	[0, no upper bound]	Maximum open interest of the underlying asset.
`OPTION_OI_CAP`	`option.totalPositionCap`	2000,000	100,000	[0, no upper bound]	Maximum open interest of options.
`PERP_OI_CAP`	`perp.totalPositionCap`	250,000	12,000	[0, no upper bound]	Maximum open interest of perpetuals.

Fees

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

Parameter	Contract Variable	ETH	BTC	Range	Description
`SPOT_FACTOR`	`manager.OIFeeRateBPS`	0.70 (70%)	0.70 (70%)	[0, 5.0]	Percentage of the spot price charged when the trade increases the open interest.
`MIN_OI_FEE`	`minOIFee`	$800 USDC	$800 USDC	[0, 800]	Minimum fee charged when open interest is increased.