Connect GMX V2 dynamic price impact to the cost of delta hedging PDLPs

Establish an analytical relationship between the GMX V2 dynamic price impact model and the cost of delta hedging for Perpetual Demand Lending Pool portfolios, determining how the dynamic pricing mechanism influences the difficulty and expense of delta hedging.

Background

In Appendix B, the authors analyze when aggregating multiple PDLP pools is preferable to maintaining separate pools by using covariance structure (via Schur complements) to reason about delta‑hedged performance. They note that GMX V2’s dynamic pricing upgrade alone may not ensure easy delta hedgeability because it does not incorporate asset covariance.

They explicitly leave for future work the task of connecting the GMX V2 dynamic price impact model with the cost of delta hedging, to understand quantitatively how that pricing policy affects hedgeability.