Basic Definitions
- Premium: The fee paid by the option buyer to the seller to obtain the right to exercise the option at expiration.
- Option Out-of-the-Money (OTM) Amount: The OTM amount indicates how far an out-of-the-money option deviates from the underlying price. For in-the-money (ITM) and at-the-money (ATM) options, the OTM amount is 0.
- Initial Margin: Initial margin (opening margin) is the minimum margin required to open a position.
- Maintenance Margin: The minimum margin required to maintain a position. If the margin falls below this level, forced liquidation will be triggered.
- Order Margin: The funds frozen when a user places an order to ensure execution; ensures the buyer can fully pay the premium, the seller has sufficient margin to maintain the position, and prevents excessive order placement without cost.
Premium Calculation
| Transaction Type | Calculation Formula |
|---|---|
| Buy Call/Put Option | Premium = Order Price × abs(Order Quantity) × Contract Multiplier |
Example: Buy 1 BTC call option, order price $220, contract multiplier 0.01: Premium = 220 × 1 × 0.01 = $2.20
Option Out-of-the-Money (OTM) Amount
| Option Type | Formula |
|---|---|
| Call Option | OTM = max(0, Strike Price − Underlying Price) |
| Put Option | OTM = max(Underlying Price − Strike Price, 0) |
Example
- Underlying price $115,000, strike price $116,000, call option → OTM = 1,000
- Underlying price $115,000, strike price $112,000, put option → OTM = 3,000
Initial Margin Calculation
| Option Type | Formula |
|---|---|
| Sell Call Option | [max(Initial Margin Rate 1 × Underlying Price, Initial Margin Rate 2 × Underlying Price − OTM) + Mark Price] × abs(Position Quantity) × Contract Multiplier |
| Sell Put Option | [max(Initial Margin Rate 1 × Underlying Price × (1 + Mark Price/Underlying Price), Initial Margin Rate 2 × Underlying Price − OTM) + Mark Price] × abs(Position Quantity) × Contract Multiplier |
Example (Sell Call Option)
- Underlying price $115,000, strike price $116,000, OTM = 1,000, mark price $200, contract multiplier 0.01
- Initial margin = [max(0.10×115,000 , 0.15×115,000 − 1,000) + 200] × 0.01 × 1 = [max(11,500 , 16,250) + 200] × 0.01 = 16,450 × 0.01 = $164.50
Example (Sell Put Option)
- Underlying price $115,000, strike price $112,000, OTM = 3,000, mark price $150
- Initial margin = [max(0.10×115,000×(1+150/115,000), 0.15×115,000 − 3,000) + 150] × 0.01 = [max(11,515 , 14,250) + 150] × 0.01 = 14,400 × 0.01 = $144.00
Maintenance Margin Calculation
| Option Type | Formula |
|---|---|
| Sell Call Option | (Maintenance Margin Rate × Underlying Price + Mark Price) × abs(Position Quantity) × Contract Multiplier |
| Sell Put Option | [max(Maintenance Margin Rate × Underlying Price, Maintenance Margin Rate × Mark Price) + Mark Price] × abs(Position Quantity) × Contract Multiplier |
Example (Sell Call Option)
- Underlying price $115,000, mark price $200, contract multiplier 0.01
- Maintenance margin = (0.075×115,000 + 200) × 0.01 = 8,825 × 0.01 = $88.25
Example (Sell Put Option)
- Underlying price $115,000, mark price $150
- Maintenance margin = [max(0.075×115,000 , 0.075×150) + 150] × 0.01 = [max(8,625 , 11.25) + 150] × 0.01 = 8,775 × 0.01 = $87.75
Order Margin Calculation
| Transaction Type | Formula |
|---|---|
| Buy Option | Order Margin = Premium + Fee |
| Sell Option | Premium' = min(Mark Price, Order Price) × abs(Order Quantity) × Contract Multiplier Order Margin = Initial Margin + Fee |
Example (Sell Order Placement)
- Sell BTC call option, order price $210, mark price $200
- Premium' = min(200, 210) × 0.01 = $2.00
- Initial margin $164.50
- Order margin = 164.50 + Fee(1) = $165.50
Risk Rate
| Item | Formula / Definition |
|---|---|
| Position Value | Mark Price × Position × Contract Multiplier |
| Total Position Value | Σ (Mark Price × Position × Contract Multiplier) |
| Total Margin Balance | USDT balance in the options account |
| Total Available Balance | Total Margin Balance − Total Initial Margin (Total IM) |
| Total Initial Margin Rate | USDT Margin Balance ÷ USDT Initial Margin × 100% |
| Total Maintenance Margin Rate | USDT Margin Balance ÷ USDT Maintenance Margin × 100% |
| USDT Maintenance Margin | Σ (Maintenance margin requirements for all short option positions) |
| USDT Initial Margin | Σ (Initial margin requirements for all short option positions + open orders) |
Example:
- Options account USDT balance $5000;
- Only holding 1 short call option (maintenance margin $100)
- Total maintenance margin rate = 5000/100 = 5000%
Fees
| Type | Formula |
|---|---|
| Trade | min(Trading Fee Rate × Underlying Price, 0.1 × Order Price) × abs(Order Quantity) × Contract Multiplier |
| Call Option Settlement | min(Settlement Fee Rate × Settlement Price, 0.1 × (Settlement Price − Strike Price)) × abs(Position Quantity) × Contract Multiplier |
| Put Option Settlement | min(Settlement Fee Rate × Settlement Price, 0.1 × (Strike Price − Settlement Price)) × abs(Position Quantity) × Contract Multiplier |
Margin Parameter Table
| Underlying | Initial Margin Rate 1 | Initial Margin Rate 2 | Maintenance Margin Rate |
|---|---|---|---|
| BTC_USDT | 0.1 | 0.15 | 0.075 |
| ETH_USDT | 0.1 | 0.15 | 0.075 |
| DOGE_USDT | 0.15 | 0.2 | 0.1 |
| LTC_USDT | 0.15 | 0.2 | 0.1 |
| SOL_USDT | 0.15 | 0.2 | 0.1 |
Disclaimer
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