Delivery Margin is the additional margin required to ensure that your account can physically settle Dated Futures without being liquidated.
Delivery Margin applies to both open position(s) and open order(s) for Dated Futures.
Delivery Margin is charged during the seven days prior to the expiry of the future and is a function of the time to expiry, the underlying spot price, and the Cross Collateral haircut of the underlying asset.
Delivery Margin is added to and included in the Initial Margin and Margin Liquidation Trigger for both open orders and open positions.
Delivery Margin = Increment * T * Product Position Size * Spot Mark Price
Increment = (Cross Collateral Haircut + 1%) / Delivery Margin Window
Delivery Margin Window = 7
T = Number of Full Days (24hrs) from 8am UTC on the Friday before the expiry date to the current date + 1
Future Expiry Date: 25 March 2022 (8am UTC)
Current Date: 22 March 2022 (8pm UTC)
Position: Long 1 BTC March 2022 Future
Spot Mark Price: 50,000
Cross Collateral Haircut for BTC/USDC: 20%
Increment = (20% + 1%) / 7 = 3%
T = 5
Delivery Margin = 3% * 5 * 1 * 50,000 = 7,500USDC
The additional Delivery Margin is added at 8am UTC each day during the Delivery Margin Window.
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