# Trade Limiting Parameters

**Value**

**IVTwapPeriod:**6 hours

**Meaning/Justification**

- This is the length of the GWAV used in ForceClose() and liquidations.

**Value**

**SkewTwapPeriod:**6 hours

**Meaning/Justification**

- This is the length of the GWAV used in ForceClose() and liquidations.

**Value**

**ShortVolShock:**1.2

**Meaning/Justification**

- When a user buys back a short using ForceClose(), the price of the option has to be computed. Using the current value of the trading volatility given by the AMM is exploitable, and so a GWAVed value must be used.
- To increase edge for the AMM, the GWAVed volatility is multiplied by ShortVolShock.
- The user then (usually) pays slightly more for the option than what would normally be quoted.

**Value**

**ShortPostCutoffVolShock:**1.5

**Meaning/Justification**

- Increase ShortVolShock when the time to expiry is less than the trading cutoff time (currently 6 hours).
- Trades that occur very close to expiration have a higher chance of being unfavourable to the AMM and so to ensure edge, the penalty to the GWAV volatility should be increased.

**Value**

**LongVolShock:**0.8

**Meaning/Justification**

- When a user sells back a long using ForceClose(), the AMM penalizes them by decreasing the GWAV using LongVolShock. The reasoning is analogous to ShortVolShock.

**Value**

**LongPostCutoffVolShock:**0.5

**Meaning/Justification**

- Increase the penalty given by LongVolShock when the time to expiry is less than the trading cutoff.

**Value**

**LiquidateVolShock:**1.15

**Meaning/Justification**

- When a user is liquidated on a partially collateralized short, they must buy back their option. The GWAV used to compute the price of the option must be penalized to increase edge for the AMM.

**Value**

**LiquidatePostCutoffVolShock:**1.45

**Meaning/Justification**

- Increase the penalty given by LiquidatePostCutoffVolShock when the time to expiry is less than the trading cutoff.

**Value**

**ShortSpotMin:**0.01 (1%)

**Meaning/Justification**

- When a user closes a short with ForceClose(), the AMM will sell back the option at a minimum of ShortSpotMin times the spot price of the option (since Black Scholes breaks down at very large/low deltas).
- This increases the AMM's edge.

**Value**

**LiquidateSpotMin:**0.01 (1%)

**Meaning/Justification**

- As with ForceClose(), when a user is liquidated and has their position closed, the AMM will sell back the option at a minimum of LiquidateSpotMin times the spot price of the option.
- This increases the AMM's edge.

Last modified 8mo ago