Fees
Trading fees
There is a 0.01% (1bps) taker / maker fee on every trade. The fee is charged upon position open and position close.
Risk premium & rebate
A risk premium, , is charged when a trade increases system risk. is given by
Where
is the EVaR risk measure
is the exchange state before the trade
is the state after the trade
A rebate is implied when a trade reduces system risk. Specifically, if \rho(\theta') < \rho(\theta)$, then $\pi_t^p = 0.
Note that the risk reduction improves portfolio hedging (via negative Euler allocation) and increases LP call-spread value.
Example calculation
Scenario: A trader closes 100 ETH of net-long exposure.
Current EVaR:
Post-trade EVaR:
Then, the marginal risk change is given by
With the result
So, we have seen that funding rates decrease for correlated positions and LP call spreads improve according to
.
Thus, there is no explicit rebate payment in this case. So, risk reduction benefits all participants.
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