This is the length of the GWAV used in ForceClose() and liquidations.
SkewTWAPPeriod
Value
SkewTwapPeriod: 6 hours
Meaning/Justification
This is the length of the GWAV used in ForceClose() and liquidations.
ShortVolShock
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.
ShortPostCutoffVolShock
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.
LongVolShock
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.
LongPostCutoffVolShock
Value
LongPostCutoffVolShock: 0.5
Meaning/Justification
Increase the penalty given by LongVolShock when the time to expiry is less than the trading cutoff.
LiquidateVolShock
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.
LiquidatePostCutoffVolShock
Value
LiquidatePostCutoffVolShock: 1.45
Meaning/Justification
Increase the penalty given by LiquidatePostCutoffVolShock when the time to expiry is less than the trading cutoff.
ShortSpotMin
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.
LiquidateSpotMin
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.