Introduction to options margin calculation

Publicado em 16 de dez. de 2020Atualizado em 16 de set. de 2024Leitura de 9min

The options margin amount is based on the position tier, which is determined by the total amount of seller's positions, open orders, and new open-orders. The higher the tier, the greater the margin factor. In the following examples, we assume that your position tier is at tier 2, and your margin factor is 1.02.

1. Order margin:

Margin in use for open orders to make sure that users have enough funds to complete orders and exercise the options with the premiums included. It is supposed that a position margin is available correspondingly after an order is filled.

Open new positions:(1) Margin required to place long orders = (order price * contract multiplier + fee) * amount of contracts Example 1: Suppose that the current BTCUSD index is $8,500, and you want to buy 100 call options. The current mark price of “BTCUSD-20200515-8500-C” is 0.05 BTC, then you place an order at the price of 0.0475 BTC. For LV1 level users, the maker fee is 0.02%, so in this case, the maker fee for per options contract = 1 * contract multiplier of 0.1 * fee rate of 0.02% = 0.00002 BTC. Margin required to place long orders = (order price * contract multiplier + fee) * amount of contracts = (0.0475 * 0.1 + 0.00002) * 100 = 0.477 BTC

(2) Margin required to place short orders = max (position margin for selling per options contract – order price * contract multiplier + fee, minimum order margin * contract multiplier) * amount of contracts When a short position order is filled, the seller pays a transaction fee and receives a premium, and the position margin will be in use. Margin required to place short orders of BTCUSD or ETHUSD options = max (position margin for selling per options contract – order price * contract multiplier + fee, 0.1 * contract multiplier) * amount of contracts Example 2: Suppose the current BTCUSD index is $6,000, and you want to sell 100 call options. The current mark price of “BTCUSD-20200327-6000-C” is 0.0575 BTC, then you place an order at the price of 0.06 BTC. The mark price of BTCUSD-0327 weekly futures with the same expiry date is $5,900, then the OTM value is $6,000- $5,900 = $100. For LV1 level users, the maker fee is 0.02%, so in this case, the maker fee for per options contract = 1 * contract multiplier of 0.1 * fee rate of 0.02% = 0.00002 BTC. Call options’ seller: Position margin for selling per options contract = [max (0.1, 0.15 - OTM value / same expiry futures mark price) * margin factor + options mark price] * contract multiplier * amount of positions = [max (0.1, 0.15 – 100 / 5900) * 1.02 + 0.0575] * 0.1 * 1 = 0.01932 BTC Margin required to place short orders = max (position margin for selling per options contract – order price * contract multiplier + fee, minimum order margin * contract multiplier) * amount of contracts = max (0.01932 – 0.06 * 0.1 + 0.00002，0.1 * 0.1) * 100 = 1.334 BTC

Close positions:(3) Margin required to place short orders: (max (fee – order price* contract multiplier, 0) * amount of contracts Example 3: Suppose that the current BTCUSD index is $8,500, and you want to sell 100 put options. The current mark price of “BTCUSD-20200515-9000-P” is 0.0725 BTC, then you place an order at the price of 0.0755 BTC. For LV1 users, the maker fee is 0.02%. So in this case, the maker fee for per options contract = 1 * contract multiplier of 0.1 * fee rate of 0.02% = 0.00002 BTC. Margin required to place short orders = (max (fee – order price * contract multiplier, 0) * amount of contracts = max (0.00002 - 0.075 * 0.01, 0) * 100 = 0

(4) Margin required to place close order: (max (order price - position margin / contract multiplier + fee, 0) * contract multiplier) * amount of contracts The user needs to pay a premium and transaction fee to release the margin for the short position. Example 4: Suppose that the current BTCUSD index is $6,000, and you want to buy 100 call options. The current mark price of “BTCUSD-20200327-6000-C” is 0.0575 BTC, then you place an order at the price of 0.05 BTC. The mark price of BTCUSD-0327 weekly futures with the same expiry date is $5,900, and the OTM value is $6,000- $5,900 = $100. For LV1 users, the maker fee is 0.02%. So in this case, the maker fee for per options contract = 1 * contract multiplier of 0.1 * fee rate of 0.02% = 0.00002 BTC. Call options' seller: Position margin for selling per options contract = [max (0.1, 0.15 - OTM value / same expiry futures mark price) * margin factor + options mark price] * contract multiplier * amount of positions = [max (0.1, 0.15 – 100 / 5900) * 1.02 + 0.0575] * 0.1 * 1 = 0.01932 BTC Margin required to place close order = (max (order price - position margin / contract multiplier + fee, 0) * contract multiplier) * amount of contracts = (max (0.05 - 0.01932/0.1 + 0.02%, 0) * 0.1) * 100 = 0

2. Position margin: Margin required for holding current positions.(1) Buyer's long position margin is 0.(2) Call options' seller:Position margin of BTCUSD and ETHUSD options = [max (0.1, 0.15 - OTM value / same expiry futures mark price) * margin factor + options mark price] * contract multiplier * amount of positions Example 5: Suppose that the current BTCUSD index is $6,000, you want to sell 50 call options. The current mark price of "BTCUSD-20200327-6000-C" is 0.0575 BTC, while you place an order at 0.06 BTC. The mark price of BTCUSD-20200327 futures with the same expiry date is $5,900, then the OTM value is $6,000 - $5,900 = $100. Call options’ seller: Position margin = [max (0.1, 0.15 - OTM value / same expiry futures mark price) * margin factor + options mark price] * contract multiplier * amount of positions = [max (0.1, 0.15 – 100 / 5900) * 1.02 + 0.0575] * 0.1 * 50 = 0.96606 BTC

(3) Put options’ seller:Position margin of BTCUSD and ETHUSD options = [max (0.1 * (1 + options mark price), 0.15 – OTM value / same expiry futures mark price) * margin factor + options mark price] * contract multiplier * amount of positions Example 6: Suppose that the current BTCUSD index is $8,600, you want to sell 100 put options to close the position. The current mark price of "BTCUSD-20200515-8500-P" is 0.0225 BTC, while you place an order at 0.0235 BTC. The mark price of BTCUSD-0515 weekly futures with the same expiry date is $8,640, then the OTM value is $8,640 - $8,500 = $140. For LV1 users, the maker fee is 0.02%. Then the fee for one options contract = 1 * face value of 0.1 BTC * fee rate of 0.02% = 0.002% BTC. Put options’ seller: Position margin = [max (0.1 * (1 + options mark price), 0.15 – OTM value / same expiry futures mark price) * margin factor + options mark price] * contract multiplier * amount of positions = [max (0.1 * (1 + 0.0225), 0.15 – 140 / 8640) * 1.02 + 0.0225] * 0.1 * 100 = 1.58972 BTC

(4) OTM value:

This OTM value is used to calculate account risk. Take a call option as an example. If the price of the underlying asset is lower than the strike price, it is an out-of-the-money (OTM) option, which is unfavorable for the buyer to exercise (since it is supposed that the buyer should not buy the underlying asset at a higher exercise price). The buyer then chooses not to exercise the option. The OTM value of the call option here indicates how much the mark price of the same expiry futures is below the options strike price. The greater the discrepancy between the mark price of same expiry futures and the options strike price, the higher the OTM value. The same logic applies to a put option. For example, the strike price of "BTCUSD-20200925-12000-C" is $12,000, and the forward price, which is the mark price of BTCUSD-0925 bi-quarterly futures, is $9,725. Then the OTM value is $12,000 - $9,725 = $2,275; The strike price of "BTCUSD-20200925-9000-P" is $9,000, and the forward price, which is the mark price of the BTCUSD-0925 bi-quarterly futures, is $9,725. Then the OTM value is $9,725 - $9,000 = $725. Note: “Options mark price” is given in BTC. “Amount of positions” is the absolute value of actual amount of positions.

3. Maintenance margin:

Minimum margin required to maintain current positions. Partial liquidation mechanism will kick in if the account balance drops below the maintenance margin. (1) Buyer’s maintenance margin is 0.(2) Call options’ seller:Maintenance margin of BTCUSD and ETHUSD options = (0.075 * margin factor + mark price) * contract multiplier * amount of positions Example 7: Suppose that the current BTCUSD index is $6,000, you sold 100 put options. The current mark price of "BTCUSD-20200327-6000-C" is 0.0575 BTC. Call options’ seller: Maintenance margin = (0.075 * margin factor + mark price) * contract multiplier * amount of positions = (0.075 * 1.02 + 0.0575) * 0.1 * 100 = 1.34 BTC

(3) Put options’ seller:Maintenance margin of BTCUSD and ETHUSD options = (0.075 * (1 + mark price) * margin factor + mark price) * contract multiplier * amount of positions Example 8: Suppose that the current BTCUSD index is $9,500, you sold 100 put options. The current mark price of "BTCUSD-20200515-9000-P" is 0.0725 BTC. Put options’ seller: Maintenance margin = (0.075 * (1 + mark price) * margin factor + mark price) * contract multiplier * amount of positions = (0.075 x (1 + 0.0725) * 1.02 + 0.0725) * 0.1 * 100 = 1.54547 BTC Note: “Mark price” is counted in BTC. “Amount of positions” is the absolute value of actual amount of positions.