Greek Cache Parameters
This is the value of the risk-free rate (r) used in the Black Scholes formula. It varies by asset and over time.
Value
- GwavSkewCap: 5.0
Meaning/Justification
- Enforce that the skew GWAV is updated with a value at most 5. This ensures the integrity of the GWAV.
Value
- GwavSkewFloor: 0.5
Meaning/Justification
- Enforce that the skew GWAV is updated with a value of at least 0.5. This ensures the integrity of the GWAV.
Value
- OptionValueSkewGWAVPeriod: 36 hours
Meaning/Justification
- This is the length of the GWAV used to compute the skew of a listing, which is in turn used to calculate the NAV of the pool.
- These values have to be very resilient to manipulation, since they determine the value of the pool and, by extension, the value of each LP token.
- It is easy to see that longer GWAVs are much more resistant to attack, so longer values are favoured. That said, too long a period means it will take substantial periods of time for the GWAV to catch up to market conditions.
Value
- OptionValueIvGWAVPeriod: 36 hours
Meaning/Justification
- This is the length of the GWAV used to compute the baseline IV of a listing, which is in turn used to calculate the NAV of the pool.
- The same reasoning applies as for OptionValueSkewGWAVPeriod.
Value
- StaleUpdateDuraton: 0.5 hours
Meaning/Justification
- How much time has passed since last update before deposits/withdrawals are blocked.
Value
- VarianceIvGWAVPeriod: 6 hours
Meaning/Justification
- A GWAV of recent baseline volatilities is used to determine whether the volatility circuit breaker should fire. VarianceIvGWAVPeriod is the length of this GWAV.
- A sufficiently long look back window is needed to gauge the conditions of the market. Too long a period uses too much information and risks the circuit breaker firing too often, too short ignores the broader context.
Value
- VarianceSkewGWAVPeriod: 6 hours
Meaning/Justification
- A GWAV of recent skews is used to determine whether the volatility circuit breaker should fire. VarianceSkewGWAVPeriod is the length of this GWAV.
Last modified 5mo ago