Profit and Loss computation

The Profit and Loss (PnL) computation process is similar to the 1xMM Pool concept detailed in the FAQ, but adjusted to the gaming constraints.

The performance is the accrued value of PCMO's premium performance, over the fixing period. For example, if the price went up, we compute the current value of the Call PCMO (i.e. with the strike defined based on the spot price at the beginning of the fixing period), using current volatility and forward yield parameters; the performance over the fixing period is 2min / 1day (i.e. 1 / 720) worth of premium. If the price went down, we compute the current value of the Put PCMO.

For the purpose of the game (i.e. have fun and learn), the PCMO's premium performances are increased (with a multiplication factor; currently x5) for users to generate bigger PnL.

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Example

At the end of the current fixing period, the price of a pair moves up by +1%. For this pair, the amounts placed by all users are:

Position Side	Total Amount of 1vMM
Long	2,000,000
Short	1,500,000

The premium for the Perpetual Constant Maturity Option computed as of the end of the fixing period is estimated around 3%.

For this fixing period, the PnL amount will be equal to:

$$PnL = Total\_Leverage \times Position\_Amount \times \frac{2,000,000}{1,500,000} \; \times \; 3 \% \times \frac{1}{720}$$

If you have a Long position (i.e. you are receiving the PnL), in this case, and if you have a Positive Leverage Bonus attached to the position:

$$Total\_Leverage = Leverage + Positive\_Leverage$$

If you have a Short Position (i.e. you are loosing the PnL), in this case, and if you have a Capital Protection Bonus attached to the position, the Position Amount is adjusted such as:

$$Position\_Amount := Position\_Amount \times(1 \; - \; Capital\_Protection)$$