👨‍🔧Protocol Parameters

Parameterisation (numbers) of the protocol

Liquidity Pool

Variable	Definition	Value	Solidity input value
bufferPercentage	buffer of funds to not be used to write new options in case of margin requirements (as percentage - for 20% enter 2000)	50%	5000
optionParams - minCallStrikePrice	option parameters (limits on options that can be written) - the minimum strike price for a call	500	500e18
optionParams - maxCallStrikePrice	option parameters (limits on options that can be written) - the maximum strike price for a call	5000	5000e18
optionParams - minPutStrikePrice	option parameters (limits on options that can be written) - the minimum strike price for a put	500	500e18
optionParams - maxPutStrikePrice	option parameters (limits on options that can be written) - the maximum strike price for a put	5000	5000e18
optionParams - minExpiry	option parameters (limits on options that can be written) - the minimum expiry of an option	86400	86400
optionParams - maxExpiry	option parameters (limits on options that can be written) - the maximum expiry of an option	7776000	7776000

Variable

Definition

Value

Solidity input value

bufferPercentage

buffer of funds to not be used to write new options in case of margin requirements (as percentage - for 20% enter 2000)

50%

5000

optionParams - minCallStrikePrice

option parameters (limits on options that can be written) - the minimum strike price for a call

500

500e18

optionParams - maxCallStrikePrice

option parameters (limits on options that can be written) - the maximum strike price for a call

5000

5000e18

optionParams - minPutStrikePrice

option parameters (limits on options that can be written) - the minimum strike price for a put

500

500e18

optionParams - maxPutStrikePrice

option parameters (limits on options that can be written) - the maximum strike price for a put

5000

5000e18

optionParams - minExpiry

option parameters (limits on options that can be written) - the minimum expiry of an option

86400

optionParams - maxExpiry

option parameters (limits on options that can be written) - the maximum expiry of an option

7776000

AlphaOptionHandler - (OTC Trading contract)

Variable	Definition	Value	Solidity input value
feePerContract	fee per contract traded	$0.3	3e5

Variable

Definition

Value

Solidity input value

feePerContract

fee per contract traded

$0.3

3e5

AlphaPortfolioValuesFeed

Variable	Definition	Value	Solidity input value
maxNetDhvExposure	maximum absolute netDhvExposure for any series/instrument	200	200e18
rfr	risk free rate for black scholes pricing	0	0

Variable

Definition

Value

Solidity input value

maxNetDhvExposure

maximum absolute netDhvExposure for any series/instrument

200

200e18

rfr

risk free rate for black scholes pricing

OptionExchange (exchange limits)

Variable	Definition	Value	Solidity input value
maxTradeSize	maximum trade size for a single order	1000	1000e18
minTradeSize	minimum trade size for a single order	0.1	1e17

Variable

Definition

Value

Solidity input value

maxTradeSize

maximum trade size for a single order

1000

1000e18

minTradeSize

minimum trade size for a single order

0.1

1e17

OptionRegistry (dhv collateral management params)

https://docs.rysk.finance/protocol/risks#liquidation-risk

Variable	Definition	Value	Solidity input value
callUpperHealthFactor	max health threshold for call collateralisation	130%	13000
callLowerHealthFactor	min health threshold for call collateralisation	110%	11000
putUpperHealthFactor	max health threshold for put collateralisation	120%	12000
putLowerHealthFactor	min health threshold for put collateralisation	110%	11000

Opyn Oracle (Settlement)

Variable	Definition	Value	Solidity input value
pricerLockingPeriod (eth oracle)	locking period is the period of time after the expiry timestamp where a price can not be pushed	300s	300
pricerDisputePeriod (eth oracle)	dispute period is the period of time after an expiry price has been pushed where a price can be disputed	1200s	1200

Variable

Definition

Value

Solidity input value

pricerLockingPeriod (eth oracle)

locking period is the period of time after the expiry timestamp where a price can not be pushed

300s

300

pricerDisputePeriod (eth oracle)

dispute period is the period of time after an expiry price has been pushed where a price can be disputed

1200s

1200

MarginCalculator (options collateralisation parameters)

Variable	Definition	Value	Solidity input value
spotShock (eth call, eth collateral)	mapping to store shock value for spot price of a given product (1e27)	1	1e27
maxPriceAtTimeToExpiry (eth call, eth collateral)	store option upper bound value at specific time to expiry for a given product (1e27)	refer to MarginCalculator.sol	Xe27
timesToExpiryForProduct (eth call, eth collateral)	array of time to expiry in seconds for a given product (linked index to index with maxPriceAtTimeToExpiry)	refer to MarginCalculator.sol
spotShock (eth call, usd collateral)	mapping to store shock value for spot price of a given product (1e27)	1	1e27
maxPriceAtTimeToExpiry (eth call, usd collateral)	store option upper bound value at specific time to expiry for a given product (1e27)	refer to MarginCalculator.sol	Xe27
timesToExpiryForProduct (eth call, usd collateral)	array of time to expiry for a given product (linked index to index with maxPriceAtTimeToExpiry)	refer to MarginCalculator.sol
spotShock (eth put, usd collateral)	mapping to store shock value for spot price of a given product (1e27)	1	1e27
maxPriceAtTimeToExpiry (eth put, usd collateral)	store option upper bound value at specific time to expiry for a given product (1e27)	refer to MarginCalculator.sol	Xe27
timesToExpiryForProduct (eth put, usd collateral)	array of time to expiry for a given product (linked index to index with maxPriceAtTimeToExpiry)	refer to MarginCalculator.sol
spotShock (eth put, eth collateral)	mapping to store shock value for spot price of a given product (1e27)	1	1e27
maxPriceAtTimeToExpiry (eth put, eth collateral)	store option upper bound value at specific time to expiry for a given product (1e27)	refer to MarginCalculator.sol
timesToExpiryForProduct (eth put, eth collateral)	array of time to expiry for a given product (linked index to index with maxPriceAtTimeToExpiry)	refer to MarginCalculator.sol
liquidationMultiplier	multiplier on debt price for liquidations (100% means all collateral gets transferred to the liquidator)	100%	10000
feePerContract	multiplier on the redemption amount for a given otoken	5%	5e16

Variable

Definition

Value

Solidity input value

spotShock (eth call, eth collateral)

mapping to store shock value for spot price of a given product (1e27)

1e27

maxPriceAtTimeToExpiry (eth call, eth collateral)

store option upper bound value at specific time to expiry for a given product (1e27)

refer to MarginCalculator.sol

Xe27

timesToExpiryForProduct (eth call, eth collateral)

array of time to expiry in seconds for a given product (linked index to index with maxPriceAtTimeToExpiry)

refer to MarginCalculator.sol

spotShock (eth call, usd collateral)

mapping to store shock value for spot price of a given product (1e27)

1e27

maxPriceAtTimeToExpiry (eth call, usd collateral)

store option upper bound value at specific time to expiry for a given product (1e27)

refer to MarginCalculator.sol

Xe27

timesToExpiryForProduct (eth call, usd collateral)

array of time to expiry for a given product (linked index to index with maxPriceAtTimeToExpiry)

refer to MarginCalculator.sol

spotShock (eth put, usd collateral)

mapping to store shock value for spot price of a given product (1e27)

1e27

maxPriceAtTimeToExpiry (eth put, usd collateral)

store option upper bound value at specific time to expiry for a given product (1e27)

refer to MarginCalculator.sol

Xe27

timesToExpiryForProduct (eth put, usd collateral)

array of time to expiry for a given product (linked index to index with maxPriceAtTimeToExpiry)

refer to MarginCalculator.sol

spotShock (eth put, eth collateral)

mapping to store shock value for spot price of a given product (1e27)

1e27

maxPriceAtTimeToExpiry (eth put, eth collateral)

store option upper bound value at specific time to expiry for a given product (1e27)

refer to MarginCalculator.sol

timesToExpiryForProduct (eth put, eth collateral)

array of time to expiry for a given product (linked index to index with maxPriceAtTimeToExpiry)

refer to MarginCalculator.sol

liquidationMultiplier

multiplier on debt price for liquidations (100% means all collateral gets transferred to the liquidator)

100%

10000

feePerContract

multiplier on the redemption amount for a given otoken

5e16

BeyondPricer

Variable	Definition	Value	Solidity input value
bidAskIVSpread	the base spread to apply on buying and selling (bidAskIVSpread is a percentage value that gets applied to the iv value) when dhv is buying iv = (iv * (1e18 - (bidAskIVSpread))) / 1e18;	0	0
rfr	risk free rate for black scholes pricing	0	0
feePerContract	fee per contract traded	$0.5	5e5
slippageGradient	the gradient of the exponential slippage curve	refer to BeyondPricer.sol	1e14
Multipliers	Multipliers on delta for the slippage gradient on calls, submitted as an array of length that is a factor of 100. The key is the lower bound of the delta range that we use that spillage param for	refer to BeyondPricer.sol	Xe18
collateralLendingRate	the lending rate of collateral used to collateralise short options by the DHV. denominated in 6 decimals	refer to BeyondPricer.sol	Xe6
deltaBorrowRates	when someone buys or sells from the dhv we need to rent delta to hedge the options DeltaBorrowRates { int sellLong; // when someone sells puts to DHV (we need to long to hedge) int sellShort; // when someone sells calls to DHV (we need to short to hedge) int buyLong; // when someone buys calls from DHV (we need to long to hedge) int buyShort; // when someone buys puts from DHV (we need to short to hedge) }	refer to BeyondPricer.sol	Xe6

Variable

Definition

Value

Solidity input value

bidAskIVSpread

the base spread to apply on buying and selling (bidAskIVSpread is a percentage value that gets applied to the iv value) when dhv is buying iv = (iv * (1e18 - (bidAskIVSpread))) / 1e18;

rfr

risk free rate for black scholes pricing

feePerContract

fee per contract traded

$0.5

5e5

slippageGradient

the gradient of the exponential slippage curve

refer to BeyondPricer.sol

1e14

Multipliers

Multipliers on delta for the slippage gradient on calls, submitted as an array of length that is a factor of 100. The key is the lower bound of the delta range that we use that spillage param for

refer to BeyondPricer.sol

Xe18

collateralLendingRate

the lending rate of collateral used to collateralise short options by the DHV. denominated in 6 decimals

refer to BeyondPricer.sol

Xe6

deltaBorrowRates

when someone buys or sells from the dhv we need to rent delta to hedge the options DeltaBorrowRates { int sellLong; // when someone sells puts to DHV (we need to long to hedge) int sellShort; // when someone sells calls to DHV (we need to short to hedge) int buyLong; // when someone buys calls from DHV (we need to long to hedge) int buyShort; // when someone buys puts from DHV (we need to short to hedge) }

refer to BeyondPricer.sol

Xe6

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