|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|
|Type||European style||European style|
|Minimum Order Size||0.1 BTC||1 ETH|
|Tick Size||5 USD||1 USD|
|Collateral||BTC, ETH, USDt, USDC||BTC, ETH, USDt, USDC|
|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
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.
Options are introduced at 08:00 UTC on the day of introduction.
Every option expiration will have a corresponding future expiration.
|Monthly||2 months||Last Friday of the month|
|Quarterly||4 months||Last Friday of February, May, August and November|
|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 August 26th, 2022||Friday December 30th, 2022|
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.