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Trading Information

Contract Specifications: Options

Options

UnderlyingBitcoinEthereum
Ticker CallBTC-DDMMMYY-STRIKE-CETH-DDMMMYY-STRIKE-C
Ticker PutBTC-DDMMMYY-STRIKE-PETH-DDMMMYY-STRIKE-P
IndexThalex BTCUSDThalex ETHUSD
Contract Size1 BTC valued at 1 USD per Index Point1 ETH valued at 1 USD per Index Point
QuotationUSDUSD
TypeEuropean styleEuropean style
Minimum Order Size0.1 BTC1 ETH
Tick Size5 USD1 USD
CollateralBTC, ETH, USDt, USDCBTC, ETH, USDt, USDC
Settlement CoinUSDtUSDt
Daily SettlementAt 08:00 UTCAt 08:00 UTC
Daily Settlement ProcedureFutures-style settlement at the Mark PriceFutures-style settlement at the Mark Price
Final SettlementAt 08:00 UTC on the day of expirationAt 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 expirationTime-weighted average ETH Index between 07:30 and 08:00 UTC on the day of expiration
Final Settlement ProcedureAutomatic exercise and cash settlement in the Settlement Coin based on the EDSPAutomatic 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.

MaturityLifetimeIntroduction
Daily48 hoursDaily
Weekly3 weeksFriday
Monthly2 monthsLast Friday of the month
Quarterly4 monthsLast Friday of February, May, August and November

Examples:

InstrumentMaturityIntroduced at 08:00 UTC onExpires at 08:00 UTC on
BTC-19MAY22-55000-CDailyTuesday May 17th, 2022Thursday May 19th, 2022
BTC-20MAY22-55000-CWeeklyFriday May 6th, 2022Friday May 20th, 2022
BTC-27MAY22-55000-CMonthlyFriday March 25th, 2022Friday May 27th, 2022
BTC-30DEC22-55000-CQuarterlyFriday August 26th, 2022Friday 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.