Portfolio Margin

Getting started

Portfolio Margin is open to every account. To move onto it, follow Onboarding to Portfolio Margin. For the live parameters per underlying, see PM Risk Parameters. For engine-computed numbers on common books, see PM Margin Worked Examples.

Portfolio Margin (PM) margins your options and Hyperliquid perps together, with USDC collateral. Instead of adding up per-position charges, Hypercall revalues the whole book under a fixed set of spot and volatility shocks and charges the worst loss. A hedged book needs less than its legs would on their own.

What a PM account holds:

• USDC collateral, on your Account's HyperCore balance and as Hypercall cash
• Hyperliquid perps (BTC-PERP, ETH-PERP, and the listed equity perps)
• Hypercall options (calls and puts)

Spot assets other than USDC are not credited as collateral.

The requirement in one line

$$\text{IM} = \max(\text{Scanning Risk}, \text{Option Floor}) + \text{Gamma Overlay} + \text{Open-Order IM}$$ $$\text{MM} = 0.85 \times \big(\max(\text{Scanning Risk}, \text{Option Floor}) + \text{Gamma Overlay}\big)$$

• Scanning risk is the worst weighted scenario loss, worked out per underlying and then summed, including the cost of a Hyperliquid liquidation of your perp legs where one is reachable.
• Option floor is a percentage of the terminal-payoff basis of your net short options. See Margin Floor.
• Gamma overlay is an extra charge on short options within 48 hours of expiry, with credit for spreads.
• Open-order IM is what your resting orders could add if they fill. It raises IM only; open orders do not change MM.

The first three terms, before open orders, are position IM. MM is 85% of position IM.

Inputs

Every number on this page is computed from three inputs, all read from the engine at the moment of the check:

Input	Source
Spot	The Hypercall spot price for the underlying, the same price used for option marks
Implied volatility	Each option's own mark IV from the Hypercall volatility surface. See Vol Oracle
Hyperliquid account state	Your Account's HyperCore positions, margin and account value, from Hypercall's HyperCore snapshot

Pricing is Black-Scholes with a 5% rate, at the option's current mark IV, with no skew or kurtosis adjustment.

No fallback values. If any input is missing or stale (no IV mark for an option you hold, a stale HyperCore snapshot), Hypercall does not substitute a default. The requirement is reported as unavailable, 503 risk_inputs_unavailable, and orders that need it are refused until the input is back. A stale snapshot is never treated as zero risk.

Scenario grid

Each scenario moves spot and implied volatility together, then reprices every option with Black-Scholes. Perps move one for one with spot. Time does not move: every option keeps its current time to expiry. The grid below is generated from the production policy; the per-underlying view is on PM Risk Parameters.

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 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

Every other underlying, including the other listed equities, uses the 17-scenario grid. For an interactive view, see the Scenario Grid reference.

How the shocks apply

• Vol shocks multiply each option's current implied volatility: +35% means IV × 1.35, -15% means IV × 0.85.
• The same multiplier applies at every expiry. Vol shocks are not scaled up for short-dated options. Near-expiry risk is charged by the gamma overlay instead.
• Down moves carry bigger vol-up shocks than up moves (scenario 9 against scenario 1), which matches how options reprice in a selloff.
• Tail weights scale the loss. A T3 loss of $10,000 counts as $3,500.

Scanning risk

For each underlying $u$, take the worst weighted P&L across that underlying's scenarios, floored at zero, then add the underlyings together:

$$\text{Scanning Risk} = \sum_{u} \max\Big(0,\; -\min_{i} \big(w_i \times \text{PnL}_{u,i}\big)\Big)$$ $$\text{PnL}_{u,i} = q_{\text{perp}} \times (S_i - S) + \sum_{j \in u} q_j \times \big(V_j(S_i, \sigma_j (1 + v_i)) - V_j(S, \sigma_j)\big)$$

Here $S_i = S \times (1 + \text{spot shock}_i)$, $v_i$ is the vol shock, $w_i$ the scenario weight, and $q$ is signed quantity.

No credit across underlyings. A BTC loss is not offset by an ETH gain in the same scenario. Each underlying is charged its own worst case, even when the worst cases come from opposite moves. Collateral is shared across the account. The multi-underlying example shows the difference: $3,920 charged against $141 if the three underlyings were netted in a shared move.

Long options carry margin. A long option can lose value in a down-vol or adverse-spot scenario, so it adds scanning risk even though the premium is paid.

Hyperliquid liquidation check

A hedge only works while both legs exist. If Hyperliquid would liquidate the perp leg, the option leg is left on its own. Hypercall checks this inside scanning risk.

For each Hyperliquid collateral compartment (your cross account, or one isolated position):

1. Find the grid move that is worst for the compartment's health, using Hyperliquid maintenance margin. Maintenance on a tier is half the initial margin at that tier's max leverage, so a 40x tier carries 1.25%.
2. If that move takes compartment equity to or below maintenance, the compartment is treated as liquidated: all collateral in it is lost and its perps are closed for the rest of the stress.
3. The charge for those underlyings becomes the larger of the normal scanning risk and the scanning risk of the book without those perps, plus the lost collateral. The lost collateral is not tail-weighted.

The check runs twice, once on Hyperliquid's marks and once moved onto Hypercall's spot price, and the worse result counts. Option value is never counted as Hyperliquid collateral. Resting perp orders are checked as if they fill: all of them, each side alone, and each order alone.

This is why perp margin on Hypercall is described as the worse of PM and Hyperliquid margin. See Perp Leverage and Margin Modes for how it shows up in the order form, and worked example 8 for the numbers.

Option floor and gamma overlay

Option floor. 1.5% of the terminal-payoff basis of your net short options, per underlying and expiry. A net short call tail keeps the full strike-based basis. A bounded structure, such as a put spread, uses its maximum terminal loss instead. The floor applies when it is larger than scanning risk.

Gamma overlay. For short options with more than zero and at most 48 hours to expiry, 1% of spot per net short contract, with spread credit. Within one underlying, expiry and option type, shorts that are matched by longs at other strikes are charged the smaller of 1% of spot per matched contract and the group's maximum terminal loss. Unmatched shorts pay the full 1%. Calls and puts never offset each other, and a net short call tail gets no credit.

The overlay is added on top of scanning risk, so inside 48 hours a spread can need more IM than its maximum loss. A defined-risk cap that charges such books at most their loss is planned; see Upcoming changes.

Both are explained with formulas and examples in Margin Floor.

Initial and maintenance margin

	Initial margin (IM)	Maintenance margin (MM)
Made of	Position IM plus open-order IM	0.85 × position IM
Tested when	You place an order, withdraw, or the cash sweep runs	Every 5 seconds by the liquidation watcher
Below it	Orders that would leave equity below IM are refused, and so are withdrawals	The account enters liquidation

The one exception on the IM side: a perp order can still be accepted below IM if it does not raise the worst fill-state requirement. The gap between IM and MM is your buffer: an account that just meets IM can lose 15% of its position IM before it reaches MM.

Equity

$$\text{Equity} = \text{HyperCore account value} + \text{Hypercall cash} + \sum_k q_k \times \text{mark}_k - \text{PM loans}$$

• HyperCore account value is your Account's unified-account value on Hyperliquid, with perp P&L revalued at the Hypercall spot price. This is why PM needs unified account mode.
• Hypercall cash is engine cash: option premium paid and received, realized option P&L and settlement cash. It can be negative after you buy with a pool loan.
• Option value is each option at its current mark. Shorts reduce equity.
• PM loans are any premium or settlement loans from the lending pool, with accrued interest.

Open orders never change equity.

Premium is paid in cash, and financed when cash is short

Premium is paid from your Hypercall cash when you buy an option, the same as Standard Mode. Your PM collateral usually sits on Hyperliquid, so when Hypercall cash is short, the lending pool lends the difference automatically at the pool's utilization rate. A loan is a liability: it is subtracted from equity until cash repays it.

A premium loan is all or nothing. If your account is below maintenance or the pool cannot lend, the buy is refused. See PM financing.

Open orders

Resting orders are charged on their own. An unfilled order never offsets an executed position or another order.

Option orders follow a price-band rule. For each order, Hypercall prices the option at its current mark and under every grid scenario, which gives a band from the lowest to the highest scenario price.

• Sell order: reserves (highest scenario price minus mark) per contract, plus the option floor and gamma overlay the short would carry, plus any amount by which your limit is below mark.
• Buy order: reserves the smaller of (mark minus lowest scenario price) and your limit price per contract, plus any amount by which your limit is above mark.
• Per contract, Hypercall takes the larger of your resting buys and resting sells, not both.
• Floor protection. If filling a sell could remove floor protection your book currently relies on, that loss of protection is reserved too.

Combo orders are evaluated with their legs together, but separate combos can fill independently, so one combo's hedge never funds another.

Perp orders are charged at the worst of several fill states: nothing filled, every order filled, only the buys, only the sells, and each order alone. The Hyperliquid liquidation check above runs on the same fill states.

A Portfolio-margin perp order can still be accepted while the account is below IM if it does not increase that worst fill-state requirement. See Errors & Rejection Reasons.

When an order fills, its reservation is replaced by the position's own scanning risk, floor and overlay. When you cancel, the reservation is released.

What PM does not charge

These are deliberate, and they are where Hypercall differs from other portfolio margin venues:

• No credit across underlyings. Covered above.
• No tenor-scaled vol shocks, skew shocks or forward shocks. One multiplicative vol shock per scenario, at every expiry.
• No size or concentration add-on. Margin scales linearly with position size.
• No minimum delta or perp contingency. A perp is charged only through the grid and the Hyperliquid liquidation check.
• No funding or fee provision. Perp funding settles on Hyperliquid and moves your HyperCore account value directly.
• No collateral haircuts, because only USDC counts as collateral.
• No oracle-confidence add-on. A missing or stale input blocks the check instead.

Comparison with Standard Margin

Feature	Standard Margin	Portfolio Margin
Instruments	Options	Options and Hyperliquid perps
Collateral	Hypercall USDC cash	HyperCore account value plus Hypercall cash
Calculation	Grouped per-expiry option rules	Stress scenarios, floor and gamma overlay
Hedge credit	Same underlying and expiry	Any positions on the same underlying, including perps
Long options	Paid upfront, no margin	Paid upfront, included in scenarios
Premium	Paid from cash	Paid from cash, pool loan if cash is short
MM	Separate MM rates	85% of position IM
Best for	Simple options trading	Hedged books and perp hedges

Related

• PM Risk Parameters: live values per underlying, and how they change
• Simulating PM Risk: preview IM and MM before you trade
• PM FAQ: short answers to the questions traders ask most
• Liquidation: what happens below MM