Example of offsets under Bullish Portfolio Margin
Below is priced on 22sep25, with BTCUSDC spot ref = 115,000 and ATM vol ref = 35%.
1/ Short ATM call for each expiry
Instrument | Size | IMR |
BTC-C-115000-2025-09-26 | (1) | 8.79% |
BTC-C-115000-2025-10-03 | (1) | 8.80% |
BTC-C-115000-2025-10-10 | (1) | 8.76% |
BTC-C-115000-2025-10-31 | (1) | 9.70% |
BTC-C-115000-2025-11-28 | (1) | 10.33% |
2/ Short ATM call for each expiry hedged with a long perp position
Instrument 1 | Size | Instrument 2 | Size | Ptf IMR |
BTC-C-115000-2025-09-26 | (1) | BTC-USDC-PERP | 0.5 | 4.33% |
BTC-C-115000-2025-10-03 | (1) | BTC-USDC-PERP | 0.5 | 4.34% |
BTC-C-115000-2025-10-10 | (1) | BTC-USDC-PERP | 0.5 | 4.29% |
BTC-C-115000-2025-10-31 | (1) | BTC-USDC-PERP | 0.5 | 5.23% |
BTC-C-115000-2025-11-28 | (1) | BTC-USDC-PERP | 0.5 | 5.87% |
3/ Long perp position for each expiry on its own
Instrument | Size | IMR |
BTC-USDC-PERP | 1 | 8.80% |
BTC-USDC-PERP | 1 | 8.80% |
BTC-USDC-PERP | 1 | 8.80% |
BTC-USDC-PERP | 1 | 8.80% |
BTC-USDC-PERP | 1 | 8.80% |
4/ Long ATM call for each expiry
Instrument | Size | IMR |
BTC-C-115000-2025-09-26 | 1 | 1.53% |
BTC-C-115000-2025-10-03 | 1 | 2.59% |
BTC-C-115000-2025-10-10 | 1 | 3.36% |
BTC-C-115000-2025-10-31 | 1 | 5.08% |
BTC-C-115000-2025-11-28 | 1 | 6.50% |
5/ Long ATM call for each expiry hedged with a short perp position
Instrument 1 | Size | Instrument 2 | Size | Ptf IMR |
BTC-C-115000-2025-09-26 | 1 | BTC-USDC-PERP | (0.5) | 1.95% |
BTC-C-115000-2025-10-03 | 1 | BTC-USDC-PERP | (0.5) | 2.18% |
BTC-C-115000-2025-10-10 | 1 | BTC-USDC-PERP | (0.5) | 2.36% |
BTC-C-115000-2025-10-31 | 1 | BTC-USDC-PERP | (0.5) | 3.05% |
BTC-C-115000-2025-11-28 | 1 | BTC-USDC-PERP | (0.5) | 3.43% |
6/ Short perp position for each expiry on its own
Instrument | Size | IMR |
BTC-USDC-PERP | (1) | 9.37% |
BTC-USDC-PERP | (1) | 9.37% |
BTC-USDC-PERP | (1) | 9.37% |
BTC-USDC-PERP | (1) | 9.37% |
BTC-USDC-PERP | (1) | 9.37% |