CEX-DEX Delta-Neutral Trade

The following page contains video tutorial for CEX-DEX Delta-Neutral Trade: CEX-DEX Delta Neutral Trade

In this example we:

1. Supply 100 USDC-worth of rsETH Pendle PT as collateral.

2. Borrow 100 USDC from an Arkis Liquidity Pool.

3. Withdraw that USDC to our linked Binance sub-account.

4. Open a short ETH-USDT perpetual to hedge the rsETH exposure → delta-neutral.

5. Observe how Arkis Margin Engine rewards neutrality, then test short-bias and long-bias variants to see Risk-Factor penalties.

Collateral stress tests for rsETH Pendle PT is 20% in this trade example.

1 Borrow USDC Against rsETH PT

1. Use rsETH PT as collateral

   • Amount: 100 USDC notional

2. Borrow USDC

   • Borrowed: 100 USDC

At position origination, our Stress-Tested Portfolio value is the following:

• PT rsETH-26JUN 2025:

  • 0.0394 PT rsETH = 100$ * (1 - 0.2) = 80 USDC

• 100 USDC (borrowed assets) = 100 USDC

• Total Stress-Tested Portfolio Value: 80 USDC + 100 USDC = 180 USDC

• Risk Factor: 180/100 = 1.8

2 Withdraw to Binance Sub-Account

The Asset Manager asks to link their Binance DMA sub-account to the Margin Account and withdraw 100 USDC to the Binance sub-account.

The Risk Factor is unchanged because Margin Engine starts seeing withdrawn USDC on the Binance sub-account.

3 Make the Position Delta-Neutral

1. On Binance, place a short ETH-USDT perpetual sized to match the rsETH PT’s ETH exposure.

2. Arkis Margin Engine starts seeing short perpetual position and Risk Factor improves as position is now delta-neutral.

However, now Margin Engine v2 of Arkis starts seeing a short position and understands that it is delta-neutral because. Now, instead of applying only a negative stress test of collateral (Margin Engine v1), Margin Engine applies both positive and negative stress tests to the whole portfolio. Let's see how it works:

As you can see, that short perpetual position (ETH-PERP) has a negative impact on the Positive Scenario and a positive impact in the Negative Stress-Test Scenario. It makes the portfolio delta-neutral and balanced relative to borrowed USDC.

4 Takeaways

• Delta-Neutral Wins: RF ≈ 2 when hedged; lower when biased.

• Unified View: Arkis sees rsETH PT on-chain and ETH-perp off-chain, so liquidation logic spans both venues.

• Capital Efficiency: Borrowed USDC doubles as margin on Binance—no external capital drag.

• Penalty for Directional Risk: Both long and short bias reduce RF, encouraging safer portfolios for lenders.