Margin requirements

Paradex supports two margin modes for Dated Options: Cross Margin for all users and Portfolio Margin (currently in beta for whitelisted users).

Cross margin

Cross margin parameters

Option spread margin

Dated options on the same underlying with the same expiry can only settle at one price. Charging each leg for its own worst case therefore charges for outcomes that cannot happen together.

Paradex groups those options and charges the group the lesser of what its legs cost separately and what the group can actually lose at settlement:

$$\text{Group Margin} = \min\big(\text{Sum of Isolated Margins}, ~\text{Max Settlement Loss} + \text{Unpaired Short Call Reserve}\big)$$

Because the charge is a minimum, grouping can only lower a requirement, never raise it.

• Max Settlement Loss — the worst the group can be worth at settlement, measured from its current mark value. The payoff only bends at a strike, so this is found by evaluating the group at zero and at each strike in it.
• Unpaired Short Call Reserve — a charge on calls left unpaired after longs and shorts net out:

$$\text{Unpaired Short Call Reserve} = \text{Unpaired Scale} \times \text{Net Short Calls} \times \text{Spot Price}$$

A group that is net short calls loses without limit above its highest strike, so there is no settlement price at which its loss stops growing. The reserve covers a further Unpaired Scale × Spot Price of price movement per unpaired contract. Groups that are not net short calls carry no reserve.

When the offset applies

• Both legs are dated options on the same underlying, expiring on the same day. Perpetual options are not grouped.
• The group holds at least one short position. A group of only long options cannot lose more than the premium paid for it, so grouping it would remove the buffer a long option is margined with.
• Open orders count at initial margin. A resting order is a position you can reach without another margin check, so it is priced into the group as though it had filled. Maintenance margin charges positions only.

Example

Spot BTC is 100,000. You buy one 100,000 call and sell one 110,000 call, both expiring on the same day.

Margined separately the spread costs 14,000. But the two legs are one position: you paid 4,000 and received 1,500, so you hold 2,500 of value, and the worst that can happen is that both calls expire worthless and you lose it.

• Max Settlement Loss = 2,500
• Net Short Calls = 1 short − 1 long = 0, so the reserve is 0

$$\text{Group Margin} = \min(14{,}000,~2{,}500 + 0) = 2{,}500$$

The spread is charged 2,500 instead of 14,000 — an 82% reduction, and exactly what the position can lose.

Option spread margin parameters

The Unpaired Scale is the same for every underlying.