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Standard Manager Parameters

This page documents the up to date values of all market specific parameters for the standard manager.

Account Details

These parameters govern the size of standard margin subaccounts and whether or not they can borrow against supported base assets.

ParameterContract VariableValueRangeDescription
BORROW_ENABLEDborrowEnabledTRUE[TRUE, FALSE]If TRUE, standard margined subaccounts can enter into a negative cash balance by borrowing against their base asset.
maxAccountSizemaxAccountSize48No boundsThis represents the maximum number of assets (options, base asset, cash, perpetuals) that can be held by a single standard margined subaccount.

Delta-1 Margin Parameters

These govern the margin requirements for delta-1 instruments (base assets and perpetual futures).

ParameterContract VariableETHBTCSOLDOGERangeDescription
BASE_DISCOUNTbaseMargin.marginFactor0.80.75NANA[0.0, 0.99]Discount to the collateral provided by the base asset.
BASE_DISCOUNT_SCALEbaseMargin.IMFactor0.93750.93NANA[0.0, .99]A scaling of BASE_DISCOUNT when computing the collateral provided by the base asset for initial margin.
PERP_REQ_MMPerpMarginRequirements.mmPerpReq0.0650.0650.20.33[0.0, 1.0]The percentage of the spot price per perpetual contract required to be posted for maintenance margin.
PERP_REQ_IMPerpMarginRequirements.imPerpReq0.100.100.330.50(0.0, 1.0]The percentage of the spot price per perpetual contract required to be posted for initial margin.

Isolated Option Margin Parameters

These parameters govern the margin requirement for isolated short option positions.

ParameterContract VariableETHBTCRangeDescription
SHORT_OPTION_IM_MAXOptionMarginParams.maxSpotReq0.150.15[0.0, 1.05]The maximum percentage of the spot price required as additional initial margin for a short call/put.

Examples provided at the end of Standard Margin.
SHORT_OPTION_IM_MINOptionMarginParmas.minSpotReq0.130.13[0.0, 1.05]The minimum percentage of the spot price required as additional initial margin for a short call/put.
CALL_MMOptionMarginParmas.mmCallSpotReq0.090.09[0.0, 1.0]A constant percentage of the spot price required as additional maintenance margin for a short call.
PUT_MMOptionMarginParmas.mmPutSpotReq0.090.09[0.0, 1.0]A constant percentage of the spot price required as additional maintenance margin for a short put.
PUT_MTMOptionMarginParmas.mmPutMTMReq0.090.09[0.0, 1.0]A constant percentage of the put's mark-to-market value required as additional maintenance margin for a short put.
MTM_OFFSETOptionMarginParams.mmOffsetScale1.051.05[1.0, 2.0]A scaling of the mark-to-market value of the put used to compute initial margin.

Spread Margin Parameters

These parameters govern the margin requirements for sub-portfolios with naked short calls and spreads.

ParameterContract VariableETHBTCRangeDescription
UNPAIRED_SCALE_IMOptionMarginParams.unpairedIMScale1.21.2[1.01, 3.0]A large percentage of the forward price per "naked" short call per expiry is added to the offset initial margin.
UNPAIRED_SCALE_MMOptionMarginParams.unpairedMMScale1.11.1[1.01, 3.0]As above but for maintenance margin.

Stablecoin Margin Parameters

These control the extra initial margin requirements when USDC (the designated cash asset) depegs.

ParameterContract VariableETHBTCSOLDOGERangeDescription
DEPEG_FACTORDepegParams.depegFactor2.02.02.02.0[0, 10]Each short option and perpetual held by the subaccount attracts extra initial margin that scales with DEPEG_FACTOR and the difference between the USDC price and a given threshold.
USDC_THRESHOLDDepegParams.threshold0.990.990.990.99[0.0, 1.05]Value of USDC beneath which extra depeg contingency will begin to be added.

Confidence Margin Parameters

These control the extra initial margin requirements when any of the data feeds have low confidence.

ParameterContract VariableETHBTCSOLDOGERangeDescription
CONFIDENCE_SCALEOracleContingencyParams.OCFactor1.01.01.01.0[0, 2.0]Percentage of the spot price per short option, base or perpetual contract added to the initial margin requirements.
THRESHOLD_CONFIDENCEOracleContingencyParams.perpThreshold OracleContingencyParams.optionThreshold OracleContingencyParams.baseThreshold0.550.550.550.55[0, 1.0]Value of the confidence beneath which extra IM is added.

Open Interest Caps

Open interest caps on options, base and perpetual instruments.

ParameterContract VariableETHBTCSOLDOGERangeDescription
UNDERLYING_OI_CAPbaseAsset.totalPositionCap2505NANA[0, no upper bound]Maximum open interest of the underlying asset.
OPTION_OI_CAPoption.totalPositionCap2,000,000100,000NANA[0, no upper bound]Maximum open interest of options.
PERP_OI_CAPperp.totalPositionCap250,00012,00080005,000,000[0, no upper bound]Maximum open interest of perpetuals.

Fees

These are fees charged by the managers on the protocol layer.

ParameterContract VariableETHBTCSOLDOGERangeDescription
SPOT_FACTORmanager.OIFeeRateBPS0.7 (70%)0.7 (70%)0.7 (70%)0.7 (70%)[0, 5.0]Percentage of the spot price charged when the trade increases the open interest.
MIN_OI_FEEminOIFee$800 USDC$800 USDC$800 USDC$800 USDC[0, 10,000]Minimum fee charged when open interest is increased.