# Asset Parameters

# Option Settlement

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

Parameter | Contract Variable | Value | Bounds | Description |
---|---|---|---|---|

SETTLEMENT_TWAP | `SETTLEMENT_TWAP_DURATION` | 30 minutes | No bounds | Length 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.

Parameter | Contract Variable | Value | Bounds | Description |
---|---|---|---|---|

IMPACT_NOTIONAL | N/A (a relevant parameter, but not on the contract layer) | 4000 | No bounds | This controls the perpetual price slippage when computing the funding rate. |

PERP_TWAP_LENGTH | N/A (a relevant parameter, but not on the contract layer) | 30 minutes | No bounds | This 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_DIFF | `feed.spotDiffCap` | [0.94, 1.06] | No bounds | This 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_RATE | `staticInterestRate` | 0.0000125 (i.e. 0.00125%) per hour | No bounds | This is a static amount of funding paid from longs to shorts per hour. |

PERP_MAX_FUNDING | `maxRatePerHour` | 0.004 (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_FUNDING | `minRatePerHour` | -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_PERIOD | `fundingConvergencePeriod` | 8 | [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.

Parameter | Contract Variable | Value | Bounds | Description |
---|---|---|---|---|

SVI_MAX_SCALE | `SVI_MAX_SCALE` | 4 | No Bounds | This is used to set the strikes after which volatility from the SVI curve is flattened out. Not configurable post launch |

SVI_MIN_SCALE | `SVI_MIN_SCALE` | -4 | No Bounds | As above |

MAX_TOTAL_VOL | `MAX_TOTAL_VOL` | 24.0 | No Bounds | This is the maximum value of the total variance that can be used in the Black76 formula Not configurable post launch |

MAX_TOTAL_VAR | `MAX_TOTAL_VAR` | 144.0 | No Bounds | This is the maximum value of the total implied variance that can be used in the Black76 formula. Not configurable post launch |

MAX_EXPIRY | `MAX_EXPIRY` | 400 days | No bounds | This is the longest dated expiry that can be supported. Not configurable post launch |

INTEREST_RATE | `staticRateFeed.rate` | 0.00 | No Bounds | Interest 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.

Feed | Value | Justification |
---|---|---|

Forward (difference from spot) | 60 minutes | Forward difference to spot shouldn’t be too large, so a long heartbeat exposes minimal risk |

Forward (settlement period) | 10 minutes | Settlement period is 30 minutes, so not receiving data for a third of this time should warrant a revert. |

Spot | 20 minutes | Prices are sensitive to spot. |

Volatility | 30 minutes | Volatility doesn’t move too quickly and prices are not as sensitive (compared to spot) |

Perpetual (difference from spot) | 30 minutes | This 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 minutes | This only determines funding which is implicitly TWAPed, so a longer heartbeat is ok. |

Stable feed (USDC) | 60 minutes | Feed will most of the time not move, but needs to be responsive when it does |

Updated 5 months ago