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  1. Overview
  2. Trading

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, πtp\pi_t^pπtp​, is charged when a trade increases system risk. πtp\pi_t^pπtp​ is given by

πtp=(ρ(Xt+τ(θ′))−ρ(Xt+τ(θ)))+ \pi_t^p = \left( \rho(X_{t+\tau}(\theta')) - \rho(X_{t+\tau}(\theta)) \right)^+πtp​=(ρ(Xt+τ​(θ′))−ρ(Xt+τ​(θ)))+

Where

  • ρ\rhoρ is the EVaR risk measure

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

  • θ′=(q+qt,,C+qt⊤St,,P,,L)\theta' = (q + q_t,, C + q_t^\top S_t,, P,, L)θ′=(q+qt​,,C+qt⊤​St​,,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:

    • ρ(θ)=$1,000,000\rho(\theta) = \$1{,}000{,}000ρ(θ)=$1,000,000

  • Post-trade EVaR:

    • ρ(θ′)=$950,000\rho(\theta') = \$950{,}000ρ(θ′)=$950,000

Then, the marginal risk change is given by

ρ(θ′)−ρ(θ)=−$50,000\rho(\theta') - \rho(\theta) = -\$50{,}000ρ(θ′)−ρ(θ)=−$50,000

With the result

πtp=max⁡(950,000−1,000,000, 0)=0 \pi_t^p = \max(950{,}000 - 1{,}000{,}000,\, 0) = 0 πtp​=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

ΔCK1,K2=CK1,K2(θ′)−CK1,K2(θ)\Delta C_{K_1, K_2} = C_{K_1, K_2}(\theta') - C_{K_1, K_2}(\theta) ΔCK1​,K2​​=CK1​,K2​​(θ′)−CK1​,K2​​(θ).

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

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Last updated 16 days ago

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