KPI Contracts — TSLA·Q2·2026·DELIVERIES

Settlement Scenario · Drag to simulate final settlement price — P&L updates live

460,000

Simulated settlement price (delivery units)

Total Portfolio P&L

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0 Contract range: 300k – 600k 1,000k

⚠ Settlement outside contract bounds — P&L capped at range limits

Open Positions 0 trades

Margin Methodology Bounded KPI Futures · Expected Shortfall Margin Quant Guide ↗

How margin is calculated · plain language

1 Measure KPI volatility. Margin is rooted in how much Tesla's actual delivery count has swung quarter-over-quarter. We use however many quarters of history are available (here 8, giving 7 returns). Tesla has ranged from −40% (Q1 2025) to +37% (Q3 2025) in a single quarter.

2 Inflate for limited data. Small samples underestimate true volatility — the most extreme quarters may not have happened yet. We scale the variance up to compensate; the correction automatically shrinks as more history accumulates.

3 Model fat tails + stress-test directly. KPI outcomes have heavier tails than a bell curve: one guidance revision can move deliveries ±30%. We use a distribution that assigns more probability to extreme outcomes, then also directly plug in the worst and best historical quarters plus large hypothetical shocks and take whichever approach gives the higher loss.

4 Expected Shortfall (ES) — average loss in the worst outcomes. We run 12,000 simulations of next-quarter deliveries and compute the average dollar loss across the worst 2.5% of outcomes. This answers "how bad is it on average when things go badly?"

5 Margin approaches max loss as settlement nears. A convergence term starts at 0 when the contract is listed and grows toward the maximum possible loss as settlement nears — because the outcome is no longer uncertain, it is imminent. Combined with the statistical risk from step 4, total margin converges to the maximum possible loss at maturity.

Final Margin Formula · plain language

Convergence term

Grows toward max loss

Starts at zero the day the contract lists. Rises steadily as the settlement date approaches — an unknown outcome that is imminent demands more collateral than one that is distant.

+

Statistical Risk Core

≥ 30% of max possible loss

Derived from KPI volatility history, inflated for small samples, and validated against the worst historical and hypothetical shocks. The floor applies from day one regardless of time remaining.

+

Liquidity add-on

Size penalty

A small extra charge for positions large relative to market depth. Negligible at typical trade sizes — scales up only for unusually large positions.

≤ max loss

σ_adj (quarterly)

—

KPI history (n ≥ 2, here 8Q) · c = 4 inflation

Statistical Floor (β × L_max)

—

30% of max loss · listing-day base margin

Stress Loss

—

max loss over historical extremes + ±3.5σ

Active IM · $10k notional

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68d remaining

Step-by-step · how the number is computed

1 r_i = (K_i − K_{i-1}) / K_{i-1} quarterly KPI return · n = 8 quarters here, giving 7 returns

2 σ_adj = σ̂ × √(1 + c/n) variance inflation · c = 4, n = 7 → factor = √(1 + 4/7) ≈ 1.26 · σ_adj ≈ 33%

3 riskCore = β × L_max statistical floor · β = 0.30 → floor of 30% of L_max; riskCore = max(β × L_max, StressLoss)

3 StressLoss = worst loss over {r_min, r_max, ±λ·σ_adj} λ = 3.5 · worst of historical extremes and ±3.5σ shocks

4 convergenceTerm = L_max × (1 − e^{−k·(1−τ)}) k = 1.5 · τ = days_left / 182 · 0 at listing, grows toward L_max at maturity

5 IM = convergenceTerm + max(riskCore, StressLoss) + γ·(Q/D)·L_max Q = order notional ($) · D = $500k market depth · γ = 0.05 · add-on negligible at normal sizes

≤ IM ≤ L_max hard cap — margin can never exceed L_max

Days to Maturity — margin rises as settlement approaches

68 days remaining

Listed — riskCore dominant ↑ converging → Maturity — IM = max loss

Margin Illustration Over Time

BUY @ 460k · $10k notional · Trade date Jan 15, 2026 · Req Balance = Fwd Risk · Acct Balance = Total Posted + Cum P&L

Illustrative

Each day, the contract is marked to market and variation margin (VM) — the daily P&L — is settled in cash between the two parties. The account balance is the total cash on deposit (initial posting + any VM calls received). A VM call occurs when that balance falls below the required balance (the forward risk from the current contract price); the holder must deposit the shortfall the same day. Because the contract's payoff is bounded, total deposits are capped at L_max — the maximum possible loss at the trade price.

Required Balance Total IM deposited Account Balance VM Call L_max cap Contract price (right axis)

Day-by-Day Breakdown

Date	Days Left	Price	L_max Live	Conv Term	Risk Floor	Req Balance	Total Posted	Cum P&L	Acct Balance	VM Call