How to read a VaR number
A 95% one-day VaR of $1,200 means that on 95 days out of 100 the portfolio loses less than $1,200. It says nothing about the other 5 days except that they are worse.
That last part is the common misreading. VaR is a threshold with a probability attached, not a worst case. The size of the losses beyond the threshold is a separate measure.
What is different in prediction markets
Resolution is discontinuous. A contract can sit at $0.90 and settle at $0, so the loss distribution has a hard jump that a volatility estimate taken from recent price history will not contain.
Correlation is also underrated. Ten positions across ten markets look diversified until the markets share a driver, such as one election night or one economic release resolving several contracts at once. A VaR computed on independent positions badly understates that day.
Where 0xinsider uses value at risk
0xinsider computes a 95% VaR and a Kelly fraction for each wallet. Both are in the Pro data export, not on the profile page. Read VaR next to max drawdown, which records what happened rather than what a distribution predicts.
