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, $\pi_t^p$, is charged when a trade increases system risk. $\pi_t^p$ is given by

$\pi_t^p = \left( \rho(X_{t+\tau}(\theta')) - \rho(X_{t+\tau}(\theta)) \right)^+$

Where

• $\rho$ is the EVaR risk measure

• $\theta = (q, C, P, L)$ is the exchange state before the trade

• $\theta' = (q + q_t,, C + q_t^\top S_t,, P,, L)$ 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:

  • $\rho(\theta) = \$1{,}000{,}000$

• Post-trade EVaR:

  • $\rho(\theta') = \$950{,}000$

Then, the marginal risk change is given by

$\rho(\theta') - \rho(\theta) = -\$50{,}000$

With the result

$\pi_t^p = \max(950{,}000 - 1{,}000{,}000,\, 0) = 0$

So, we have seen that funding rates decrease for correlated positions and LP call spreads improve according to

$\Delta C_{K_1, K_2} = C_{K_1, K_2}(\theta') - C_{K_1, K_2}(\theta)$.

Thus, there is no explicit rebate payment in this case. So, risk reduction benefits all participants.