GWAV Parameters

IV/SkewVarianceCBThreshold

Values
  • ivVarianceCBThreshold: 10 points (0.10)
  • skewVarianceCBThreshold: 10 points (0.10)
Meaning/Justification
  • Fire the volatility circuit breaker when either the baseline or skew of a listing deviates too far from its respective GWAV.
  • Too small a threshold means the circuit breaker always fires, meaning users will be frequently be locked out from depositing/withdrawing.
  • Too large a threshold means the CB won’t detect possible attacks/large spikes.

LiquidityCBThreshold

Value
  • LiquidityCBThreshold: 5% of NAV
Meaning/Justification
  • This is the percentage of the NAV the pool must have in free liquidity before the liquidity circuit breaker fires.
  • I.e. if the pool is worth $50M, then if LiquidityCBThreshold = 5%, the pool must have at least $2.5M in USD available to trade, otherwise the circuit breaker fires.
  • The value needs to be sufficiently high so that the AMM has enough funds to arbitrage down volatility spikes/attacks, but not too high so as to always fire.

IV/SkewVarianceCBTimeout

Values
  • ivVarianceCBTimeout: 36 hours
  • skewVarianceCBTimeout: 36 hours
Meaning/Justification
  • After the volatility circuit breaker stops firing there is a timeout, during which deposits/withdrawals are still blocked.

LiquidityCBTimeout

Value
  • LiquidityCBTimeout: 72 hours
Meaning/Justification
  • After the liquidity circuit breaker stops firing there is a timeout, during which deposits/withdrawals are still blocked.
  • This prevents an attacker from preparing a deposit/withdrawal to occur immediately after the circuit breaker fires.
  • The liquidity circuit breaker should very rarely fire. The times when it does fire should be treated with caution. A long cooldown period means that any volatility surface manipulation will have ample time to be arbitraged down by the market.

GuardianDelay

Value
  • GuardianDelay: 7 days
Meaning/Justification
  • This is a failsafe to ensure that if either circuit breaker continuously fires, Guardians have the ability to process deposits/withdrawals that have been signalled for at least 7 days.

BoardSettlementCBTimeout

Value
  • BoardSettlementCBTimeout: 6 hours
Meaning/Justification
  • When a board is liquidated (i.e. expires), deposits and withdrawals will be locked out while all positions on this board are settled.

AcceptableSpotPricePercentMove

Value
  • AcceptableSpotPricePercentMove: 0.5% change from previous value
Meaning/Justification
  • If the spot price (as measured by a ChainLink oracle) moves by more than this percentage, then all deposits/withdrawals are blocked until cache is called again.

WithdrawalFee

Value
  • WithdrawalFee: 0.003 (0.3%)
Meaning/Justification
  • This is a small fee charged on withdrawn USD.
  • I.e. if a user withdraws funds worth $1000, they will receive $996. The $4 fee returns to the pool (and shared amongst remaining LPs).
  • This encourages users to stay in the pool and further reduces the possibility of any manipulation.

DepositDelay/WithdrawalDelay

Values
  • DepositDelay: 7 days
  • WithdrawalDelay: 7 days
Meaning/Justification
  • When a user signals to deposit/withdraw, there has to be a delay between signalling and processing. If this delay is not present, then LPs would exit when the pool is doing well, hurting continuing LPs.
  • These delays introduce uncertainty which nullifies the edge entering/exiting LPs have with current information.
  • After the launch of Avalon, DepositDelay can be lowered to ~ 2 days.
  • Withdrawal delay can always be moderately long (~ 3 days).