Option Margin

Опубликовано 20 июн. 2022 г.Обновлено 17 мая 2024 г.4 мин на чтение

This document applies to unified account (non Portfolio Margin account). In Portfolio Margin (Cross Margin), margin calculation takes the whole portfolio into consideration instead of the single option positions.

IMR/MMR Type OKX (Unified Account, non-PM)
(Per Coin)
IMR IMR (Long) N/A1
Position IMR (Short) Max(a, b-OTM Amount3/same expiry forward mark price)*Margin Factor + Mark Price
Sell to Open IMR (Short)2 Max (Position IMR - Order Price, Min Open Order Margin)
Buy to Close positions (Short)2 Max (Order Price - Position IMR, 0)
MMR MMR (Long) N/A1
MMR (Short Call) c * Margin Factor + Mark Price
MMR (Short Put) max(c, c*Mark Price) * Margin Factor4 + Mark Price
Index BTCUSD ETHUSD
a 0.1 0.1
b 0.15 0.15
Min Open Order Margin 0.1 0.1
c 0.03 0.05
Margin Factor /trade-market/position/option

Note:

*Long options do not require IMR/MMR due to the fact customers pay the full premium for the position

**The difference between an existing short option position vs an outstanding order is due to the projected cash inflow (order price); vice versa, when customers are closing a short option position, the projected cash outflow is taken into consideration

*** OTM (out-of-the-money) value: For call option, if the price of the underlying asset is lower than the strike 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.

**** The options margin amount is based on the position tier, which is determined by the total amount of seller's positions and open orders. The higher the tier, the greater the margin factor.

  1. Position Initial Margin Requirement (IMR): Margin required for holding current positions.

    1. Buyer's Position IMR is 0.

    2. Seller's Position IMR:

Position IMR (BTCUSD or ETHUSD options) = [max (0.1, 0.15 - OTM value / same expiry futures mark price) * margin factor + options mark price] * face value * contract multiplier * amount of positions

  1. Order margin: Margin on-hold 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.

    1. Sell-to-Open IMR = max (Position IMR per coin – order price, minimum open order margin per coin) * face value * contract multiplier * amount of contracts

When a short position order is filled, the seller pays transaction fee and receives premium, and the position margin will be on-hold.

Sell-to-Open IMR (BTCUSD or ETHUSD options) = max (Position IMR per coin – order price, 0.1) * face value * contract multiplier * amount of contracts

  1. "Buy-to-Close" IMR = max (order price + fee - Position IMR per coin, 0) * face value * contract multiplier * amount of contracts.

The user needs to pay the premium and transaction fee to release the margin for the short position.

  1. Maintenance margin (MMR): Minimum margin required to maintain current positions. Liquidation will occur if the account equity drops below the maintenance margin.

    1. Buyer’s MMR is 0.

    2. Call options’ seller:

MMR (BTCUSD options) = (0.03 * margin factor + mark price) * contract multiplier * amount of positions

  1. Put options’ seller:

MMR (ETHUSD options) = (max(0.05, 0.05*mark price) * margin factor + mark price) * contract multiplier * amount of positions