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Curriculum·Senior·R402

Margin and Liquidation Mathematics

BitMEX, 12 to 13 March 2020. Bitcoin fell from roughly $7,900 to about $3,600 in the 24 hours from 12 March, and the largest perpetual venue of the period ran a liquidation cascade in which each forced sale pushed the price down and triggered the next.

Taught in R402-01 ›Source ↗

Start with lesson 16 lessons · about 3.8 hours · 2 labs · free account to read in full

Lesson 1 opens on

Archegos Capital Management, March 2021

Archegos was a family office holding highly concentrated equity exposure through total return swaps rather than through shares. Because the swaps sat on bank balance sheets, the positions carried no public disclosure and each prime broker saw only the slice it had written. Reported leverage was around five to one.

Read it in R402-01 ›The source ↗

The lessons

  1. R402-01Margin mechanicsDefine initial, maintenance and variation margin, and state which one triggers a closeabout 42 min · opens on Archegos Capital Management, March 2021
  2. R402-02Deriving the liquidation priceDerive the liquidation price from first principles rather than reading it off a screenabout 43 min · opens on The Hyperliquid margin withdrawal, 12 to 13 March 2025
  3. R402-03The reframe: leverage is not riskState what actually determines the loss on a trade, and why the multiplier is not in itabout 42 min · opens on 19 May 2021
  4. R402-04Beyond liquidationDerive the bankruptcy price and measure the gap between it and the liquidation priceabout 32 min · opens on The OKEx forced liquidation, 31 July 2018
  5. R402-05Cascade dynamicsDescribe the feedback loop that turns one forced sale into the nextabout 33 min · opens on The weekend cascade, 4 December 2021
  6. R402-06Venue differencesList the seven venue parameters that change a liquidation outcomeabout 33 min · opens on The Binance collateral depeg, 10 October 2025

Labs

  • R402-L1

    Build your own liquidation calculator

    Build a liquidation calculator from scratch, in a spreadsheet or in code, that handles both directions, cross and isolated margin, fees and accrued funding. Then validate it: twenty positions against a supplied venue's parameters, 18 of 20 exact, is the validation set.

  • R402-L2

    Twenty hand-computed scenarios

    Twenty hand-computed liquidation scenarios under time pressure. Pass is 18/20 exact.