February 2, 2022
The beginning of 2022 has seen a material move lower in BTC and ETH (~30% lower since 1-Jan at the time of writing). For option traders, large market moves like we have seen over the last few weeks would often result in many option positions which have theoretically very little value and can effectively be ignored. However, given most exchanges calculate margin requirements based on a spot and volatility shock, low-delta options which traders are short can excessively tie up margin which could be more effectively used elsewhere. In our experience, unwinding these short options either as a standalone or in combination with other options might be an effective way to optimise your portfolio’s margin.
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