Position Details
Important Details for a Perpetual Option
Loan to Value (LTV)
The LTV is the value of the loan borrowed (notional liquidity) compared to the collateral posted.
LTV = Debt / Collateral
Opening LTVs in GammaSwap range from 95-99.3%. The LTV threshold for positions is 99.5%. After a position crosses the LTV threshold, it is subject to liquidation.
Time to Liquidation
The time to liquidation is the estimated time for the position to cross the 99.5% liquidation threshold based on the current LTV and borrow rate.
You can think of time to liquidation like choosing the expiration date of an option. The higher the LTV, the more leveraged your position is. The higher leverage comes with higher risk, however. Unlike liquidation price in a perpetual future, time to liquidation is variable.
Position Size
Your position size is the notional size of your perpetual option position measured in dollars and Liquidity Invariant Units (LIUs). LIUs are a unit of measurement unique to Gamma and represents the debt of the position (the square root of the product in the x*y=k formula).
As the deposit and leverage (LTV) increases, the notional size of the position also increases. The LIUs stay constant throughout the duration of your position, no matter the price while the dollar value of your position size will vary.
Opening Cost
The opening cost is the total cost to open a perpetual option position. It includes all fees and slippage.
Price Impact - This measures the slippage for rebalancing the collateral in a long or short.
Trading Fee - This is the fee the protocol charges for rebalancing the collateral. To reduce price impact, many long and short positions are created using external liquidity sources. In this case, those fees go to the external liquiditity sources (Uniswap, 1inch, etc).
Origination Fee - It is a fee that is charged when utilization of the pool is high to prevent over-leveraging of the platform. It dynamically increases after 80% utilization.
Delta
The delta is a measurement of how much the position will increase in value as the price of the pool changes.
The delta increases as the notional size of the position increases, either through a higher deposit amount or higher leverage (LTV).
Delta can be positive or negative depending on price direction. As the price increases, the delta value increases and becomes more positive. As the price decreases, the delta value decreases and becomes more negative.
The Straddle position starts with a delta of zero because it is initially a delta neutral position.
Funding Rate (24H)
The funding rate is the daily cost to hold a position based on the current borrow rate and the size of the position.
It is measured in % terms so you can think of this as your daily PnL cost. When opening a position, the protocol will calculate the funding rate based on the size and the utilization of the pool after the position is opened. This is important to take into consideration because trades can alter the borrow fee drastically depending on the size of your position, utilization and liquidity.
The larger the position, the higher the funding rate. For the same LTV, straddles typically have higher funding rates than longs or shorts.
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