This is the value of the risk-free rate (r) used in the Black Scholes formula. It varies by asset and over time.
GWAVSkewCap
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.
GWAVSkewFloor
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.
OptionValueSkewGWAVPeriod
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.
OptionValueIvGWAVPeriod
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.
StaleUpdateDuration
Value
StaleUpdateDuraton: 0.5 hours
Meaning/Justification
How much time has passed since last update before deposits/withdrawals are blocked.
VarianceIvGWAVPeriod
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.
VarianceSkewGWAVPeriod
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.