ETH-Perpetual

Overview

The ETH perpetual is designed to give leveraged exposure to ETH, it is referenced to the Chainlink ETH price oracle. The Predy ETH perpetual is similar to perpetual ETH futures that can be traded on many centralized exchanges. The ETH perpetual contract has a delta of 1, meaning that if the index price of ETH goes up by $1, the contract price will also change by $1.

How to Use the Strategy

Long

The ETH perp can be longed anytime you're bullish on the ETH price. The funding rate needs to be taken into consideration with the positioning.

Short

The ETH perp can be shorted anytime you're bearish on the ETH price. The funding rate needs to be taken into consideration with the positioning.

Technical Details

$$\begin{align*} &Symbol = ETH-PERP-USDC &\\ \\ &Underlying Asset = ETH &\\ &Index_{price} ={S}, (S = ETH_{price} \ from \ Chainlink) &\\ \\ &\Delta \ Delta =\frac {\delta {V}}{\delta S} \approx \frac {\delta S}{\delta S} = 1 = Constant &\\ &\Gamma \ Gamma =\frac {\delta^2 {V}}{{\delta} S^2} \approx \frac {\delta^2 S}{{\delta} S^2} = 0 &\\ \\ & where, \ V = Index_{price} \ , Trade_{price} \ should \ be \ used \ by \ strict \ definition &\\ \\ &Trade_{price} =Index_{price} * (1+FundingRate+TradingFeeRate) &\\ &TradingFeeRate = 0.05 \% \\ &FundingRate = \beta * f( Trade_{amount},AMM_{liquidityStatus})) &\\ & \beta =0.0022 & \\ & (it \ shall \ be \ change \to \ 0.0069 \ \ from \ next \ 9:00 \ 15th \ April \ UTC \ ) & \\ &\beta = 0.004 \ on \ Version \ 2.0.2 & \\ \end{align*}$$

$$\begin{align*} f( Trade_{amount},AMM_{liquidityStatus}) &= \frac{\int_L^{L+\Delta L}\int_m^{m+\Delta m}(\frac{x}{y})^3dxdy}{\Delta L \Delta m} &\\ &=\frac{m^3+\frac{3}{2}m^2\Delta m + m\Delta m^2+\frac{\Delta m^3}{4}}{L*L*(L+\Delta L)^2}*(L+\frac{\Delta L}{2}) &\\ &\approx ( \frac{m}{L} )^3 = (UtilizationRate_{AMM})^3&\\ \\ &m = Liquidity_{Locked} \ before \ The \ Trade &\\ &\Delta m = Liquidity_{Locked} \ for \ The \ Trade &\\ &L = Liquidity_{total} \ before \ The \ Trade &\\ &\Delta L = Liquidity_{changed} \ for \ The \ Trade&\\ \\ &(\frac{x}{y})^3 \ => \ k*(\frac{x}{y}) + (1-k)*(\frac{x}{y})^3&\\ &where, k=0.3, \ 0<k<1 \ on \ Version \ 2.0.2 & \\ \end{align*}$$