A 33.29% range and paying funding force a margin decision on leveraged ETH
Should the exchange raise margin requirements for leveraged ETH positions now, or keep current terms and let the existing liquidation triggers absorb moves of this size?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 10 February 2020, ETH rose 13.27% to close at 258.85, ranging from a low of 216.37 on Monday to a high of 288.41 on Saturday — a 33.29% range. Realised volatility ran at 103.4% annualised, the largest one-hour move was -4.84% late Sunday, and dollar volume hit 1.53bn, 3.72 times the prior 12-week average. Four prior weeks were up (13.80, 0.64, 12.23, 21.23), placing this week in the 88th percentile of 104 weeks. Eight-hour perpetual funding averaged 0.1499%, peaking at 0.3672%. An illustrative exchange risk team sets margin for leveraged ETH clients.
Judgment
Raise the required margin for leveraged ETH positions, and set it from this week's 33.29% range and 103.4% annualised realised volatility rather than a longer average. Funding that averaged 0.1499% per eight hours after four rising weeks shows the long side is paying to stay leveraged, and a -4.84% hour can carry a client through liquidation before the position is wound down. Existing balances keep their current terms; new and increased positions use the higher requirement. The accepted cost is lower leveraged volume.
What would change it
If eight-hour funding falls back towards its 0.0421% weekly minimum across several consecutive readings and the largest hourly move shrinks well below -4.84%, the requirement can be relaxed. If a week closes below the 228.53 open, the leverage build-up is unwinding and the higher margin should hold.
What sets this case apart
The margin question turns on crowding — five rising weeks, paying funding and a 33% range together — not on the direction of the week's 13.27% gain.