Margin Requirements
OrbDex currently supports Cross Margin for Perpetual Options, allowing traders to benefit from PnL offsetting across futures and options markets.
OrbDex will soon offer Portfolio Margin which will significantly improve margin requirements for hedged portfolios, particularly for users that are short Perpetual Options.
Cross Margin Parameters
The parameter values below are examples. The parameters are configurable by the underlying asset.
Premium Multiplier
100%
50%
Long ITM Fraction
10%
5%
Short ITM Fraction
7.5%
3.75%
Short OTM Fraction
5%
2.5%
Short Put Cap
50%
50%
Core Idea
Cross Margin Requirements for Perpetual Options depend on their type (call/put), moneyness (out-of-money vs in-the money) and the mark price of the Option. Margin requirements vary by underlying asset.
Margin Calculation
Required Margin = min(Premium Multiplier × Option Mark Price, long_itm × Spot Price)
The margin plots below show the margin requirements for both call and put options across various strikes ranging from deep out the money (OTM) to in the money (ITM).
Required Margin = max(short_itm × Spot Price - OTM Amount, short_otm × Spot Price)
where OTM Amount is:
For calls: max(0, Strike Price - Spot Price)
For puts: max(0, Spot Price - Strike Price)
Margin requirements for short put options are capped at short_put_cap × Strike Price to prevent excessively high requirements.
Examples
The margin plots below show the margin requirements for both call and put options across various strikes ranging from deep out the money (OTM) to in the money (ITM).
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