Balmo Trades

Molecule has the ability to show "balance of month" positions (aka intramonth or decayed) positions. In Molecule, the feature is called decay.

Decaying Trades

This feature essentially takes a monthly product and computes a virtual position (and realized/unrealized value) that rolls off each day based on the number of days that have passed. We recommend using this feature for bilateral trades -- but only with caution for exchange trades, as exchanges handle balmo trading differently.

Decay can be enabled for Products that:

  1. Are monthly frequency
  2. Expire at the end of the tenor/contract/flow month
  3. Decay (or shrink position) on a predictable schedule -- by business day, by calendar day, or based on power blocks
  4. Have a daily "settle" product to reference for realized pricing.

Decayed values show up in the following columns on reports & API extracts: 

If you'd like to see the balmo (or decayed) position or P&L for a piece of your portfolio -- and if it's not showing up in these columns, it may need to be turned on for the product you're trading. Further, we might need to discuss how to get the daily settles that power the decay.

Exchanges and Balmo Trades

Exchanges handle Balmo trading in two ways:
  • Balmo trades will often be made as strips of dailies, each of which settles the day of flow (or the day after)
  • Sometimes, exchanges publish monthly trades that expire at the end of the flow month. In those cases, they typically build settles into the price that is published each day of the month (such that on the 14th of April, the end-of-day price will contain:
Avg(14 daily settles) + (16/30 * April Monthly)
  •  In those cases, Molecule can still provide a decayed position -- but decayed realized/unrealized values will be incorrect.

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