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.

Borrow Amount

Your borrow amount 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 deposited amount and borrowing power (LTV) increase so does the borrow amount.

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. It varies based on the volatility of a market and liquidity source.

• Origination Fee - It is a fee that is charged when utilization of the pool is high to prevent overleveraging 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 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.

Theta

The theta is the daily cost to hold a position based on the current borrow rate. It is the same across trade positions (straddle, long, short) assuming similar LTV and deposit value.

It is measured in dollars relative to the total borrow amount and percentage terms relative to PnL.

Leverage

This is the initial leverage available for a position. For a straddle, it is 0 because it starts with a delta of 0. A long and short have initial leverage of 1-5x and 1-3x, respectively.

The leverage increases if the price moves in the trader's favor.