Standard Margin

Initial Margin

Initial margin is the minimum amount required for executing a position

  • Buy option call/put : Initial premium price($) + close fees

  • Sell put option : Max(a * spot price + mark price of the premium , a * Maintenance margin)

  • Sell call option :a * Spot price + Mark Price of the premium

Maintenance margin

Maintenance margin is the minimum amount required to be maintained in the portfolio to keep the position opened

  • Buy option call/put : Initial premium price($) + close fees

  • Sell put option : Max(b * spot, b * Mark Price of the premium) + Mark Price of the premium

  • Sell call option:b* Spot price + Mark Price of the premium

Where a and b are margin variables defined per asset :

Market Initial margin factor (a)Main. margin factor (b)

$wETH

$wBTC

$SOL

$ARB

$LTC

Portfolio Maintenance Margin

The Portfolio maintenance margin represents the total required maintenance margin for all positions to be opened at any any given time. Supposing a user has a list of positions given by P=[p1, p2 ...., pn]P = [p_1 , \ p_2\ .... , \ p_n] , then the total quantity will be given by :

Portfolio maintenance margin=∑ Maintenance margin(i)Portfolio\ maintenance\ margin = \sum\ Maintenance\ margin(i)

In version 2, we will introduce a sophisticated margin model that off-sets hedged positions and by that lower the margin requirement to ensure solvency

Maintenance Margin Rate

An account becomes eligible for liquidation if its Maintenance Margin Rate Crosses 100%. The MMR is give by the equation below :

MMR=Portfolio Maintenance  Margin + Liquidation bufferEffective  Balance −Debt ± Unrealized  PnL - Shock  Loss\LARGE \text {MMR} = \frac{\text{Portfolio Maintenance \ Margin + Liquidation buffer}}{\text{Effective \ Balance} \ - Debt \ \pm \ \text{Unrealized \ PnL - Shock \ Loss}}

Here, the Shock LossShock\ Loss represents a portfolio loss under some specific simulation scenarios. As portfolio margining takes into account the potential correlations between different positions in the portfolio and aggregate total Δ\Delta and total vv , a shock loss assessment evaluates how much the portfolio's value could potentially drop in the event of an extreme market event following the formula below :

Shock loss=max(Net Vega∗(±a% ∗σ),Net Delta ∗(± b%∗Spot Price))\large \text{Shock loss} = max (Net\ Vega * (\pm a\%\ * \sigma) , Net\ Delta \ * (\pm \ b\%* Spot\ Price))

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