Margin Model

Initial margin

Initial margin is the minimum amount required for executing a position

• Buy option call/put : Buy maintenance margin($)*(1+k) + open 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	0.16	0.15
$wBTC	0.16	0.15
$wBERA	0.25	0.25

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=[p1​, p2​ ...., pn​] , then the total quantity will be given by :

$$\text{Portfolio Maintenance Margin} = \sum \text{Maintenance Margin}_i$$

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 :

$\text{MMR} = \frac{\text{Portfolio Maintenance Margin} + \text{Liquidation Buffer}}{\text{Account Value}}$

If MMR rose above 0.98, the portfolio is considered liqudiatable