Example 1
Portfolio:
Product | Underlying | Strike | Quantity |
Call | WETH/USDC | 2200 | -1 |
Call | WETH/USDC | 2300 | 2 |
Call | WETH/USDC | 2400 | -4 |
If WETH → ∞, WETH collateral required 3ETH
USDC collateral at specific WETH prices at expiry:
|
|
|
| ETH Price @ Expiry | ETH Price @ Expiry | ETH Price @ Expiry | ETH Price @ Expiry |
Product | Underlying | Strike | Quantity | 0 | 2200 | 2300 | 2400 |
Call | WETH/USDC | 2200 | -1 | 0 | 0 | -100 | -200 |
Call | WETH/USDC | 2300 | 2 | 0 | 0 | 0 | 200 |
Call | WETH/USDC | 2400 | -4 | 0 | 0 | 0 | 0 |
Collateral Required | 0 | 0 | -100 | 0 |
Compute 1) – 2):
| WETH Price @ Expiry | WETH Price @ Expiry | WETH Price @ Expiry | WETH Price @ Expiry |
| 0 | 2200 | 2300 | 2400 |
USDC equiv of 3 ETH |
| 6600 | 6900 | 7200 |
USDC collateral required |
| 0 | -100 | 0 |
Net amount |
| 6600 | 6800 | 7200 |
No USDC collateral required
Total collateral required = 3 ETH
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