A 25.21% week at the 98th percentile makes margin rules lag the volatility
Should the risk team raise initial and maintenance margins on leveraged BTC positions now, or keep requirements unchanged so clients are not stopped out at the top of a 98th-percentile rally?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 8 February 2021, BTC rose 25.21%, from 38,795.69 to 48,577.79, closing 1.74% below its 52-week high and at 90.4% of the weekly range. Realised annualised volatility was 107.4%, the range was 30.85%, and one hour on Monday moved 9.03%. Perpetual funding averaged 0.1281% per eight hours and peaked at 0.249%, with volume 1.65 times the prior twelve-week average. The week's return ranked in the 98th percentile of 156 weeks of history. An illustrative exchange risk team sets margin for leveraged clients whose positions were sized for calmer weeks.
Judgment
High funding plus a 98th-percentile week signals crowded long leverage, and a 9.03% hour can carry a leveraged account through its maintenance margin before any close can be worked. Raise initial and maintenance margins on BTC, sizing the increase from the 9.03% hour plus one funding period rather than from the weekly average, and apply it to new and increased positions only, leaving existing positions under their original terms. Accept slower client growth during a week that ranks in the 98th percentile of 156 weeks.
What would change it
If the team's own liquidation records show leveraged accounts were closed near their trigger prices during Monday's 9.03% hour, the case for a higher margin weakens. If funding falls back towards its 0.0579% low and realised volatility drops below the 107.4% level for several consecutive weeks, the increase can be rolled back.
What sets this case apart
The margin decision is set by the crowd's funding cost and the worst single hour, not by the week's 25.21% gain or its percentile ranking.