PM Risk Parameters
This page lists the Portfolio Margin parameters in force on production. The tables in the first four sections are generated from the policy body the engine runs, so they match it exactly. For how each parameter is used, see the methodology page. For the numbers on real books, see PM Margin Worked Examples.
Policy in force
| Field | Value |
|---|---|
| Policy version | 3 |
| In force since | 2026-10-05 19:01 UTC |
| Risk universes | 1 (historical) |
| Pricing model | Black-Scholes at each option's mark IV, no skew or kurtosis adjustment |
| Risk-free rate | 5% |
| Time step in scenarios | None (time to expiry is held fixed) |
The engine's policy is the source of truth. This page is generated from a copy of the policy body the engine runs. To see how the live policy scores your own book, read GET /risk/grid?wallet=: it returns each underlying's scenarios, with spot shock, vol shock and weight, as the engine applies them right now. See Simulating PM Risk.
A risk universe is a group of underlyings that share one scenario grid, one set of contingency charges, one MM ratio and one gamma overlay form. Production runs a single universe that covers every underlying. Some underlyings carry a member override that adds scenarios to their grid.
Parameters by underlying
| Underlying | Scenarios | Core spot range | Tail moves (weight) | Vol shock range | Option floor | Gamma overlay | Overlay form | MM / IM | Event add-on |
|---|---|---|---|---|---|---|---|---|---|
| AAPL | 21 (base + 4) | ±12% | ±25% (0.6), ±40% (0.35) | -25% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| BABA | 17 | ±12% | ±25% (0.6), ±40% (0.35) | -15% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| BOT | 17 | ±12% | ±25% (0.6), ±40% (0.35) | -15% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| BTC | 17 | ±12% | ±25% (0.6), ±40% (0.35) | -15% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| ETH | 17 | ±12% | ±25% (0.6), ±40% (0.35) | -15% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| META | 21 (base + 4) | ±12% | ±25% (0.6), ±40% (0.35) | -25% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| MSFT | 21 (base + 4) | ±12% | ±25% (0.6), ±40% (0.35) | -25% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| MU | 17 | ±12% | ±25% (0.6), ±40% (0.35) | -15% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| NVDA | 17 | ±12% | ±25% (0.6), ±40% (0.35) | -15% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| SNDK | 17 | ±12% | ±25% (0.6), ±40% (0.35) | -15% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| SP500 | 17 | ±12% | ±25% (0.6), ±40% (0.35) | -15% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| SPCX | 17 | ±12% | ±25% (0.6), ±40% (0.35) | -15% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
| Any other underlying (perp-only) | 17 | ±12% | ±25% (0.6), ±40% (0.35) | -15% to +90% | 1.5% | 1% of spot, 48h | Spread credit (V1) | 0.85 | None (upcoming) |
Listed underlyings as of 2026-10-06.
Reading the columns
- Scenarios. How many spot and vol shocks the book is repriced under. "Base + 4" means the underlying runs the shared grid plus four extra scenarios, listed under Extra scenarios.
- Core spot range. The largest spot move among the full-weight scenarios.
- Tail moves (weight). Larger moves whose loss is scaled down by the weight before it is compared with the core scenarios.
- Vol shock range. The smallest and largest multiplicative shock to implied volatility. -15% means each option's IV × 0.85.
- Option floor. Share of the terminal-payoff basis of net short options. See Margin Floor.
- Gamma overlay. Charge per net short option inside the window before expiry, as a share of spot.
- Overlay form. How matched short and long strikes are credited inside the window. Spread credit (V1) is described in Margin Floor.
- MM / IM. Maintenance margin as a share of position initial margin.
- Event add-on. Reserved for an extra charge around scheduled single-name events such as earnings. No underlying carries one today. See Upcoming changes.
Perp-only underlyings, those you can trade on Hyperliquid through Hypercall without a listed Hypercall option, are margined on the shared grid with no override.
Scenario grid
Every underlying is repriced under the shared grid. Each scenario moves spot and implied volatility together. Perps move one for one with spot.
Core scenarios (13)
| Scenario | Spot shock | Vol shock | P&L weight |
|---|---|---|---|
| 1 | +12% | +35% | 1 |
| 2 | +8% | 0% | 1 |
| 3 | +4% | -15% | 1 |
| 4 | 0% | +35% | 1 |
| 5 | 0% | 0% | 1 |
| 6 | 0% | -15% | 1 |
| 7 | -4% | -15% | 1 |
| 8 | -8% | 0% | 1 |
| 9 | -12% | +45% | 1 |
| 10 | +12% | 0% | 1 |
| 11 | -12% | 0% | 1 |
| 12 | +8% | +25% | 1 |
| 13 | -8% | +35% | 1 |
Tail scenarios (4)
| Scenario | Spot shock | Vol shock | P&L weight |
|---|---|---|---|
| T1 | -25% | +70% | 0.6 |
| T2 | +25% | +55% | 0.6 |
| T3 | -40% | +90% | 0.35 |
| T4 | +40% | +70% | 0.35 |
Extra scenarios
Extra scenarios for AAPL, META, MSFT (on top of the 17 above)
| Scenario | Spot shock | Vol shock | P&L weight |
|---|---|---|---|
equity-spot-up-6 | +6% | 0% | 1 |
equity-spot-down-6 | -6% | 0% | 1 |
equity-vol-up-25 | 0% | +25% | 1 |
equity-vol-down-25 | 0% | -25% | 1 |
What the grid does not do. Vol shocks are the same multiplier at every expiry; they are not scaled up for short-dated options. There are no skew or forward-curve shocks. Time does not pass inside a scenario. The near-expiry risk that a tenor-scaled vol shock would catch is charged by the gamma overlay instead.
Contingency charges and ratios
| Parameter | Value | Meaning |
|---|---|---|
option_floor_factor | 1.5% | Share of the expiry-scoped terminal-payoff basis of net short options |
gamma_kicker_factor | 1% | Overlay per net short contract inside the window, as a share of spot |
dte_threshold_hours | 48 hours | Time to expiry at or below which the gamma overlay applies |
gamma_overlay | Spread credit (V1) | How matched short strikes are credited inside the window |
apply_floor_to_open_orders | Yes | Resting sells carry the floor they would add |
apply_gamma_to_open_orders | Yes | Resting sells carry the overlay they would add |
mm_to_im_ratio | 0.85 | Maintenance margin as a share of position initial margin |
Other settings that affect a PM account
These are production settings outside the margin policy. They are read from the production configuration and the public pool endpoint, not generated.
| Setting | Value | Where it is described |
|---|---|---|
| Hyperliquid liquidation check on perp legs | Enforced | Portfolio Margin |
| Account health check | Every 5 seconds | Liquidation |
| Partial liquidation target | MM required × 1.05 | Liquidation |
| Partial liquidation bonus | 0.5% rising to 10% over 5 minutes | Liquidation |
| Escalation to full liquidation | 20 minutes after entering PreLiquidation | Liquidation |
| Lending pool rate model | 0% APR at 0%, 4% at 60% utilization, 100% at full | PM Financing |
| Pool reserve factor | 15% of interest | PM Lending Pool |
| Settlement cure period | 3 days | PM Financing |
| Cash sweep to HyperCore | Whole balance once it reaches 100 USDC | PM Financing |
| Collateral | USDC only, no haircut | Portfolio Margin |
Upcoming changes
These are not in force. They will appear in the tables above when a policy version that contains them goes live.
- Defined-risk cap on the gamma overlay (V3). Today the overlay is charged on top of scanning risk, so a short-dated spread can need more IM than it can lose. Under V3, an underlying whose options have a bounded terminal loss is charged at most that loss through the overlay, and its maintenance margin on that loss carries no 15% discount. On the near-expiry iron condor in the worked examples, IM falls from $2,657.74 to $1,000.00, the condor's maximum loss.
- Event add-on. An extra charge on single-name equity underlyings around scheduled events such as earnings, shown in the Event add-on column per underlying.
How parameters change
- One versioned policy. All of the generated values above come from one policy body. A change is a new body with a higher version number; the engine refuses a version that is not above the one in force.
- Journaled, then applied everywhere at once. The engine records the new policy as a command in its journal, so a restart or replay reaches the same margin numbers. From that point, every account is margined under it: existing positions, resting orders, order checks, the liquidation watcher and the risk simulator all read the same policy. There is no grandfathering of open positions.
- What you will see. A change can move your IM and MM without any trade. Check
GET /risk/gridor the Portfolio margin page in the app after a change. This page is regenerated from the policy body for each new version, so the version and date at the top always identify the policy in force.
Related
- Portfolio Margin: how these parameters combine into IM and MM
- Margin Floor: the floor and overlay formulas
- PM Margin Worked Examples: engine-computed requirements on common books
- Simulating PM Risk: preview a trade or a whole book before you send it