Skew fee and rebate
The crowded side pays, the thin side is paid, and a level book costs nothing.
4 min read · pre-launch
When one side of a pair holds more open interest than the other, the vault holds the difference. The skew fee makes that difference expensive to keep open and cheap to close.
rate = 0.05 bp an hour × (lead² − 1)
The lead is the crowded side's open interest over the thin side's, counted up to 10:1. The thin side receives 50% of what is paid; the vault keeps the rest.At a level book the rate is zero. At 2:1 the crowded side pays 0.15 bp an hour; at 3:1, 0.40 bp. The payment grows with the square of the lead, faster than the lead itself, and past 80/20 the pair is flagged skewed on its page.
Better than a fee alone
A venue that only charges the crowded side leaves the thin side with no reason to show up. Amphi pays it: half of every skew fee goes pro rata to the positions on the thin side. A trader who takes the unpopular end of a crowded pair is paid to hold it, which is exactly the flow the vault needs. The rebate is quoted live on the terminal as a rate on the thin side's own open interest.