1.5x Long / 100% ETH / 100% USDC / 0.5x Short ETH RSI 60/40 Strategy (Margin Trading): The Set should be able to oscillate from 100% ETH to posting ETH as collateral, borrowing 50% USDC at an interest rate of 8%, swapping the USDC for more 50% ETH. The initial margin requirement is % (configurable based on the asset pair), and the maintenance margin is % - as set forth by the borrow module. The Set’s entire collateral is used as margin, also known as cross-margin. This is a levered position with a 28 day expiration to qualify for the 28 day delivery exemption.
The trader should be able to unwind the position by swapping ETH for USDC, and paying back the USDC loan (with interest). If the 28 day expiration has elapsed, then a keeper can initiate the unwind. If the collateral position falls below the maintenance margin, then a keeper can initiate a liquidation. During a liquidation, owned collateral is auctioned off for the borrowed asset + interest and used to repay the loan.
Minting and redeeming can be done in an atomic fashion.