Options
| Underlying | Bitcoin | Ethereum |
|---|---|---|
| Ticker Call | BTC-DDMMMYY-STRIKE-C | ETH-DDMMMYY-STRIKE-C |
| Ticker Put | BTC-DDMMMYY-STRIKE-P | ETH-DDMMMYY-STRIKE-P |
| Index | Thalex BTCUSD | Thalex ETHUSD |
| Contract Size | 1 BTC valued at 1 USD per Index Point | 1 ETH valued at 1 USD per Index Point |
| Quotation | USD | USD |
| Type | European style | European style |
| Minimum Order Size | 0.1 BTC | 1 ETH |
| Volume Tick Size | 0.1 BTC | 1 ETH |
| Price Tick Size | 5 USD | 1 USD |
| Collateral | BTC, ETH, USDt, USDC | BTC, ETH, USDt, USDC |
| Settlement Coin | USDt | USDt |
| Daily Settlement | At 08:00 UTC | At 08:00 UTC |
| Daily Settlement Procedure | Futures-style settlement at the Mark Price | Futures-style settlement at the Mark Price |
| Final Settlement | At 08:00 UTC on the day of expiration | At 08:00 UTC on the day of expiration |
| Exchange Delivery Settlement Price (‘EDSP’) | Time-weighted average BTC Index between 07:30 and 08:00 UTC on the day of expiration | Time-weighted average ETH Index between 07:30 and 08:00 UTC on the day of expiration |
| Final Settlement Procedure | Automatic exercise and cash settlement in the Settlement Coin based on the EDSP | Automatic exercise and cash settlement in the Settlement Coin based on the EDSP |
Examples of option tickers:
- BTC-14OCT22-55000-C: Bitcoin call with $55K strike expiring on 14 October 2022 at 08:00 UTC
- BTC-14OCT22-55000-P: Bitcoin put with $55K strike expiring on 14 October 2022 at 08:00 UTC
- ETH-25NOV22-4000-P: Ethereum put with $4K strike expiring on 25 November 2022 at 08:00 UTC
Mark Price
Option mark prices are calculated using Black-Scholes with a zero risk-free interest rate, the relevant future mark price, and mark volatility as inputs. Mark volatility is determined by Thalex on a per strike and maturity basis and tracks the active order book.
Expiration Introduction
Options are introduced at 08:00 UTC on the day of introduction.
Every option expiration will have a corresponding future expiration.
| Maturity | Lifetime | Introduction |
|---|---|---|
| Daily | 48 hours | Daily |
| Weekly | 3 weeks | Friday |
| Monthly | 2 months | Last Friday of the month |
| Quarterly | 7 months | Last Friday of February, May, August and November |
Examples:
| Instrument | Maturity | Introduced at 08:00 UTC on | Expires at 08:00 UTC on |
|---|---|---|---|
| BTC-19MAY22-55000-C | Daily | Tuesday May 17th, 2022 | Thursday May 19th, 2022 |
| BTC-20MAY22-55000-C | Weekly | Friday May 6th, 2022 | Friday May 27th, 2022 |
| BTC-27MAY22-55000-C | Monthly | Friday March 25th, 2022 | Friday May 27th, 2022 |
| BTC-30DEC22-55000-C | Quarterly | Friday May 27th, 2022 | Friday December 30th, 2022 |
Strike Introduction
Strikes are introduced based on an extension - densification algorithm. The algorithm extends the strike range until the deltas of the lowest and highest strike meet a target range. It then densifies by introducing a strike in between adjacent strikes whose deltas are too far apart. For options with time to expiry shorter than two weeks, the introduced strikes have wider and denser delta intervals.