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  1. Architecture
  2. Post-Match Processing
  3. Collateral Optimization Engine
  4. Portfolio Collateralization

Example 2

Portfolio:

Product

Underlying

Strike

Quantity

Put

WETH/USDC

2000

-1

  1. If ETH → ∞, 0 ETH required.

  2. USDC collateral at specific ETH at expiry:

ETH @ Expiry

ETH @ Expiry

Product

Underlying

Strike

Quantity

0

2000

Put

WETH/USDC

2000

-1

-2000

0

Collateral Required

2000

0

  1. Compute 1) – 2):

WETH Price @ Expiry

WETH Price @ Expiry

-

2000

USDC equiv of 0 ETH

-

-

USDC collateral required

2000

-

Net amount

-2000

-

  1. Total collateral required = 2000 USDC

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Last updated 1 year ago

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