Introduction

In order to prevent from the sudden level jump on the delta and PL at the settlement time, we introduce the delta decay method which will only affect the futures and options with the time to expiry equal to or smaller than 30 mins. The delta of these products will be linearly decayed by every minute during the last 30 minutes until converging to zero.

Affected Products

futures and options with the time to expiry equal to or smaller than 30 mins. (except for Perp)

Example.

Long 15000 call in the expiry date when spot is 16000, so the delta of the option is 1 and mark price of 0.06. After 15 mins into the settlement period, the delta will decay to 0.5 and mark price of 0.03.

Risk Matrix for PM.(Only in Portfolio Margin mode)

The underlying value shock of scenario analysis will be linearly discounted during the settlement period until converging to delivery price. ex: the 10% shock will move to 5% after 15mins into the settlement period.