Scenario construction

Full revaluation across a spot and volatility grid.

Margin is computed by full revaluation of the portfolio at every node of a two dimensional grid in spot and volatility, taking the worst outcome.

Revaluation, not a Greek expansion

A delta and gamma approximation is a local expansion. The positions whose margin matters most are exactly those that are not locally quadratic: short options near the strike, spreads whose legs cross, anything close to expiry. The grid prices the actual payoff at each node and inherits no approximation error.

An asymmetric volatility axis

Implied volatility rises far more violently than it falls, so the grid extends to +44.41% and only −11.10%. A short option book that looks safe under symmetric volatility shocks is exactly the book that fails in a real selloff.