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Following the upcoming launch of our new 

 (UMA) under Portfolio Margin mode. This will impact margin calculations for BTC, ETH, and SOL risk units you hold.

Let's take the BTC risk unit as an example. If you hold BTC Options positions with different expiration dates, USDC-Settled BTC Futures positions, and BTCPERP positions, then your BTC's USDC Delta Contingency will be calculated as follows:

1. All positions in the BTC risk unit will be classified by expiration date, and we'll calculate the net delta of each expiration date.

2. We'll then calculate the delta of different maturities hedged against each other using this formula: Hedged Delta = Min [ abs(Long Delta), abs(Short Delta) ]

3. Next, we'll calculate the Combined Time Difference using this formula: ABS ( TL - TS )

4. The USDC Delta Contingency of your BTC risk unit will then be calculated using this formula: Combined Time Difference * Hedged Delta * BTC-USD Index * BTC's Delta Contingency

5. Finally, your maintenance margin of the BTC risk unit will be calculated using this formula: Max. Potential Loss + Net Short Option Contingency + Vega Contingency + USDT-USDC Contingency + USDC Delta Contingency (newly added)

Please note that for USDC Perpetual Contract positions, we consider the set expiration date to be Day 2, i.e., the days to expiration is always 1. Additionally, the Delta Contingency Factors for BTC, ETH and SOL are: 0.03%, 0.03%, 0.10% respectively.

If you have any positions in BTC, ETH or SOL risk units, please pay attention to your account's margin utilization rate.

USDC Delta Contingency for UTA and UMA Under Portfolio Margin Mode

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