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Asset Parameters

Option Settlement

This parameter control the duration of the time-weighted-average-price (TWAP) used to settle options.

ParameterContract VariableValueBoundsDescription
SETTLEMENT_TWAPSETTLEMENT_TWAP_DURATION30 minutesNo boundsLength of the TWAP of the spot price to which all options will settle.

Perpetual Asset

These control the pricing of perpetual assets, as well as how the associated funding rate is computed.

ParameterContract VariableValueBoundsDescription
IMPACT_NOTIONALN/A (a relevant parameter, but not on the contract layer)4000No boundsThis controls the perpetual price slippage when computing the funding rate.
PERP_TWAP_LENGTHN/A (a relevant parameter, but not on the contract layer)30 minutesNo boundsThis is the length of the TWAP of the difference between spot and perpetual price. The perpetual itself is marked to the spot price plus this TWAPed difference.
PERP_MAX_PERCENT_DIFFfeed.spotDiffCap[0.94, 1.06]No boundsThis is the maximum percentage of the spot price the perpetual can be marked to. I.e. the perpetual cannot be marked any higher than 5% higher/lower than the current spot price.
PERP_STATIC_RATEstaticInterestRate0.0000125 (i.e. 0.00125%) per hourNo boundsThis is a static amount of funding paid from longs to shorts per hour.
PERP_MAX_FUNDINGmaxRatePerHour0.004 (i.e. 0.4% per hour)[0,1]This is the absolute value of the maximum funding rate per hour. I.e. the maximum funding paid from longs to shorts per hour is 0.4%.
PERP_MIN_FUNDINGminRatePerHour-0.004 (i.e. -0.4% per hour[0,-1]This is the absolute value of the minimum funding rate per hour. I.e. the minimum funding paid from longs to shorts per hour is -0.4%.

Must be the negative of PERP_MAX_FUNDING.
CONVERGENCE_PERIODfundingConvergencePeriod8[0.05, 240]This scales the difference between the spot (index) price and relevant impact prices (bid/ask) when computing the funding rate.

Volatility Feed/Option Asset

These parameters control the pricing and marking of the option asset.

ParameterContract VariableValueBoundsDescription
SVI_MAX_SCALESVI_MAX_SCALE4No BoundsThis is used to set the strikes after which volatility from the SVI curve is flattened out.

Not configurable post launch
SVI_MIN_SCALESVI_MIN_SCALE-4No BoundsAs above
MAX_TOTAL_VOLMAX_TOTAL_VOL24.0No BoundsThis is the maximum value of the total variance that can be used in the Black76 formula

Not configurable post launch
MAX_TOTAL_VARMAX_TOTAL_VAR144.0No BoundsThis is the maximum value of the total implied variance that can be used in the Black76 formula.

Not configurable post launch
MAX_EXPIRYMAX_EXPIRY400 daysNo boundsThis is the longest dated expiry that can be supported.

Not configurable post launch
INTEREST_RATEstaticRateFeed.rate0.00No BoundsInterest rate used for discounting.

HeartBeats

Each feed has an associated heartbeat. If data is not received for longer than the associated heartbeat, all trades will revert until said data is received.

FeedValueJustification
Forward (difference from spot)60 minutesForward difference to spot shouldn’t be too large, so a long heartbeat exposes minimal risk
Forward (settlement period)10 minutesSettlement period is 30 minutes, so not receiving data for a third of this time should warrant a revert.
Spot20 minutesPrices are sensitive to spot.
Volatility30 minutesVolatility doesn’t move too quickly and prices are not as sensitive (compared to spot)
Perpetual (difference from spot)30 minutesThis is the difference between spot and the perpetual mark price, so should be small in the vast majority of times.
Perpetual (used to compute impact ask/bid prices)30 minutesThis only determines funding which is implicitly TWAPed, so a longer heartbeat is ok.
Stable feed (USDC)60 minutesFeed will most of the time not move, but needs to be responsive when it does