To enhance trading services, OKX will implement upgrades to the margin calculation rules for Portfolio Margin accounts. These changes exclusively affect Portfolio Margin users, with a phased rollout starting December 30, 2024, at 4:00 PM (UTC+8) and full implementation by January 21, 2025, at 4:00 PM (UTC+8). A simulated trading environment will be available for testing by December 17, 2024, at 4:00 PM (UTC+8).
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Key Changes and Risk Management
Risk Notice: The updated margin rules may impact your account’s risk ratio. Proactively monitor and manage risks based on your trading activity. Below are the critical updates:
Seamless Account Mode Switching with Open Positions
Prior to the margin rule upgrade, OKX will introduce a feature allowing users to switch account modes without closing positions. This enables:
– Real-time comparisons of margin requirements across modes.
– Risk assessment before committing to a switch.
Note: Switching may fail in rare scenarios, with detailed prompts provided.
Risk Unit Consolidation
- Single Asset Class Integration: Perpetual, futures, and options contracts with the same underlying asset (e.g., ETH) will merge into unified risk units. Spot holdings automatically factor into hedging.
Before Adjustment
| Mode | ETH-USDT Risk Unit | ETH-USDC Risk Unit | ETH-USD Risk Unit |
|————————|—————————–|—————————–|———————————–|
| Derivatives Hedging | ETH-USDT Perp/Futures | ETH-USDC Perp/Futures | ETH-USD Perp/Futures/Options |
| Spot Hedging (USDT) | ETH-USDT Perp/Futures + ETH Spot/Orders | ETH-USDC Perp/Futures | ETH-USD Perp/Futures/Options |
After Adjustment
| Mode | ETH Risk Unit |
|——————-|———————————————————————————-|
| Spot Hedging | ETH-USDT/USDC/USD Perp/Futures + ETH-USD Options + ETH Spot + ETH/USDT/USDC Orders |
- Auto-Inclusion of Spot Assets: Spot holdings now dynamically reduce margin requirements when hedging derivatives positions.
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New Stablecoin Depegging Risk (MR9)
A novel metric, MR9, quantifies risks from cross-currency hedging during stablecoin depegs (e.g., USDT/USDC volatility).
Calculation Steps:
1. Cash Delta Computation:
– Derivatives: Contract Face Value × Multiplier × Mark Price × Stablecoin/USD Rate × Position Size.
– Spot: Hedged Quantity × Asset USD Value.
2. Cross-Currency Hedging Scope:
– Evaluates对冲规模 (hedging scale) across USDT-USD, USDT-USDC, and USDC-USD pairs.
3. MR9 Factor Determination:
– Uses tiered tables (below) based on hedging规模 and exchange rates.
Example:
For a $10M USDT-USD对冲规模 at USDT/USD = 0.985:
– MR9 = ($1M × 0.75%) + ($4M × 1.75%) + ($5M × 2.5%) = $202,500.
Gradient Tables (Abridged)
| Hedging Scale (USD) | 0.99 | 0.95 | 0.9 |
|---|---|---|---|
| $0–1M | 0.5% | 5% | 30% |
| $1M–5M | 1.5% | 6% | 30% |
| $5M–10M | 2% | 10% | 30% |
Full tables available in OKX’s official documentation.
MR4: Basis and Tenor Risk
Basis Risk reflects price disparities between spot and futures, influenced by time to expiry:
– Formula: MR4 = max(a, Annualised_Move_Risk × √(Days_to_Expiry/365)) × Cash_Delta_t.
– Parameters:
– a: Minimum volatility buffer (e.g., BTC/ETH = 0.2%; SOL/DOGE = 0.8%).
– Annualised_Move_Risk: Volatility estimates (BTC = 7.5%; memecoins = 22.5%).
Example:
– A BTC futures contract expiring in 7 days:
MR4 = max(0.2%, 7.5% × √(7/365)) × Position_Size ≈ 1.02%.
Adjustments to MR1 and MR6
Asset Tier Reclassification:
– MR1 (Price Shocks):
– New Tier 2: SOL, DOGE, PEPE, XRP, BNB, SHIB, LTC, ORDI, WLD, BCH, ADA.
– Max price moves: ±0%/7%/14%/20%.
– MR6 (Extreme Moves):
– BTC/ETH: ±30%; Tier 2: ±40%; Others: ±50%.
FAQ
Q1: How will the upgrade affect my existing positions?
A: Margin requirements may change due to risk unit consolidation. Monitor your risk ratio post-upgrade.
Q2: Can I revert to the old margin rules?
A: No. All users must transition by January 21, 2025.
Q3: Why was MR9 introduced?
A: To mitigate risks from stablecoin depegging in cross-currency hedging scenarios.
Q4: How does MR4 differ from traditional basis risk models?
A: MR4 incorporates tenor risk, adjusting for contract expiry timelines.
Q5: Are there exemptions for small-scale traders?
A: No. All Portfolio Margin users are subject to the updated rules.
Q6: Where can I test these changes beforehand?
A: Use the simulated trading environment by December 17, 2024.
For further details, consult OKX’s official announcements or reach out to their support team.