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 $P = [p_1 , \ p_2\ .... , \ p_n]$ , then the total quantity will be given by :

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

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 :

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

Here, the $Shock\ Loss$ 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 $\Delta$and total $v$ , 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 :

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