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Protocol Parameters
Parameterisation (numbers) of the protocol
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 |
|---|---|---|---|
feePerContract | fee per contract traded | $0.3 | 3e5 |
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 |
|---|---|---|---|
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 |
|---|---|---|---|
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 |
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 |
|---|---|---|---|
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 |
|---|---|---|---|
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 |
Last modified 1mo ago