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Quantitative Finance · Glossary

What is Portfolio margining?

Definition 20.6 Markets I: The Ecosystem and Exchange-Traded Markets · Chapter 20 — Margin

Portfolio margining sets the requirement on the net risk of all positions in an account, recognising offsets between them, in contrast with a sum of requirements computed position by position.

Offsets. Margined separately the three legs require $213 000; together, $108 000, because the put and the call cannot both lose. Data: the chapter’s build.
Figure 20.3. Offsets. Margined separately the three legs require $213 000; together, $108 000, because the put and the call cannot both lose. Data: the chapter’s build.
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