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Trading Parameters

Expiry & Trading Window:

  • Trades can be accepted up to 12 hours before expiry.

Example: If a contract expires on a Friday at 08:00 UTC, you can enter trades for that contract until 20:00 UTC on Thurday.

  • Trading for a new set of contracts opens 36 hours before the expiry of the most recent expiry.

Example: If a contract is set to expire at 08:00 UTC on December 26th, the trading for this contract would start at 20:00 UTC on December 24th.

Pricing Parameters:

Skew:

Each market has an individual max exposure.

Calculation:

SKEW(s)=max(AB)(a+b)\text{SKEW}(s) = \max(A \cdot B) - \left( \sum a + \sum b \right)

Where,

  • A is total Above trades
  • B is total Below trades
  • u is the premium on Above trades
  • b is the premium on Below trades

The skew mechanims keeps the Buffer Liquidity pool balanced between Above & Below sides of the market, by applying a premium to the overbought side.

Dynamic Pricing:

  • S is the max skew
  • s is the current skew
  • B is the base settlement fee (at 0 skew)
  • M is the max settlement fee

If S is positive,

SfAbove=B+(MBS)×s\text{Sf}_{\text{Above}} = B + \left( \frac{M - B}{S} \right) \times s SfBelow=B(BS)×s\text{Sf}_{\text{Below}} = B - \left( \frac{B}{S} \right) \times s

If S is negative,

SfAbove=B(BS)×s\text{Sf}_{\text{Above}} = B - \left( \frac{B}{S} \right) \times s SfBelow=B+(MBS)×s\text{Sf}_{\text{Below}} = B + \left( \frac{M - B}{S} \right) \times s