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 (0 for liquidation calculation)

  • 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

0.2

0.15

$wBTC

0.2

0.15

$HYPE

0.35

0.25

$SOL

0.35

0.25

Open position margin checking

In order to open a position, we have to check and make sure that the current financial value of user portfolio is above or equal to the new position initial margin added, following the formula below:

a* token amount in portfolio * CF + max_pnl_factor* total unrealized Profit - total unrealized loss - debt - current position sell MM - current position buy MM - liquidation fee >= new position IM

Liquidation margin checking

In order to check if the user is liquidatable or not, the current account balance - losses - guaranteed maintenance margin should be always above 0 , which means he’s able to pay his full debt, so in order to define a user as not liquidatable he must maintain the formula below:

b*Token*CF + max_pnl_factor* total unrealized Profit - total unrealized loss - debt - current position sell MM - liq fees >= 0

Withdrawal margin checking

In order to allow user to get withdraw money from portfolio, we need to make sure that the new portfolio balances of his portfolio - the losses and the guaranteed margin is above 0 , or else we need to revert the transaction, so this formula must be always maintained :

c*new token dollar amount after withdraw*CF + max_pnl_factor* total unrealized Profit - total unrealized loss - debt - current position sell MM - current position buy MM - liquidation fee >= 0

Paramater
Value

a

1

b

1

c

0.85

pnl_factor

0.4

Last updated