Example 2
Last updated
Last updated
Portfolio:
If ETH β β, 0 ETH required.
USDC collateral at specific ETH at expiry:
Compute 1) β 2):
Total collateral required = 2000 USDC
Product
Underlying
Strike
Quantity
Put
WETH/USDC
2000
-1
ETH @ Expiry
ETH @ Expiry
Product
Underlying
Strike
Quantity
0
2000
Put
WETH/USDC
2000
-1
-2000
0
Collateral Required
2000
0
WETH Price @ Expiry
WETH Price @ Expiry
-
2000
USDC equiv of 0 ETH
-
-
USDC collateral required
2000
-
Net amount
-2000
-