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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

AlphaOptionHandler - (OTC Trading contract)

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

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

OptionRegistry (dhv collateral management params)

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

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

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