Margin
Margin requirements are set on a pool by pool basis. They govern how much collateral is required to be deposited into the pool from each party. The margin is recomputed realtime, and going below the requirements may trigger auto-liquidation (depending on if this param is set to true
).
Initial Margin and Maintenance Margin
initial margin: the requirements for opening new positions
maintenance margin: the requirements for existing positions. Going below this number may cause liquidations
Portfolio Margin vs Simple Margin
Variational supports both portfolio margin and simple margin mode. In addition, our margin engine is fully compatible with the Deribit margin engine, meaning that all of the calculations work the same way.
There is one extra parameter that Variational supports in the portfolio margin params. decorrelation_risk
tunes how much risk can be offset from positions with two different underlyings.
Specifically, we compute margin requirements in two scenarios:
All assets have zero correlation (
mm_no_correlation
)All assets have 100% correlation (
mm_complete_correlation
)
The final margin requirement is
Per Asset Params
Default params are applied to every asset in the pool. You can set per asset params which will override the defaults for a specific asset. For example, if you set params for BTC, all options, futures, and perps with BTC as the underlying will be affected. All derivatives that do not have BTC as the underlying will use the default params.
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