Advanced Findom. Financial instruments beyond mere cash

We could have an exchange with a central counterparty.

Story idea....Ms Alpha no longer needs to actually do anything to her pigs because she's fully hedged with a matched book.

They're tormenting each other but reliably throwing off a handsome return on her bid-offer spread to support her and her wives in the splendour to which they are accustomed.

Then the market begins to move.... even if she has no directional risk, volatility has big effects on a derivatives portfolio. What is happening and how will she meet the Exchange's inevitable margin call?
 
(Of course the wives are Mrs Beta and Mrs Delta, and the final boss at the exchange is Miss Gamma. Or Mr Gamma)
 
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