Options are a class of derivtive contracts that give a buyer a right to buy or sell an underlying asset at a specified price prior to or on a specified date. The seller of the options contract has the corresponding obligation to fulfill the transaction (i.e. to sell or buy) if the buyer “exercises” the option.
At Delta Exchange, we offer the following three categories of options contracts:
In this category we offer call and put options on BTC, ETH, BNB, LINK, XRP, LTC, BCH, SOL and ADA. All these are European options (i.e. they can only be exercised on expiry) and are available for a multitude of strikes and expiry dates.
MOVE options are a direct way to speculate on the volatility of the underlying assets. A MOVE contract is essentially a straddle, i.e. an at-the-money call & put option pair. Because of this, the price of a MOVE contract is proportional to the price swings in the underlying, instead of the direction of underlying’s price movement. More details on MOVE options are available here.
Turbo Options (deprecated)
Turbo options are exotic options in which a knockout barrier is attached to vanilla call/ put options. Just like a call option, a Turbo call option increases in value when price of the underlying goes up. And, like put options, a Turbo put option increase in value when price of the underlying goes down. It is the knockout barrier which is differentiates Turbo options from vanilla options. Vanilla options have a fixed expiry date, whereas a Turbo option may expire (or get knocked out) before its expiry date if the underlying’s price touches the knockout barrier.More details on Turbo options are available here.
The symbols of all options contracts on Delta Exchange are based on the following scheme:
ProductSymbol: specifies which product category a given contract belongs to. Currently, it can take the following values:
UnderlyingSymbol: is the symbol of the underlying asset of the options contract. Currently, we offer options on BTC, ETH, BNB, LINK, XRP, LTC, BCH, SOL and ADA.
Strike Price: is the strike price of the option.
ExpiryDate: is the date in ddmmyy format at which the option expires. On Delta, all options expire at 12pm UTC.
C-BTC-50000-200821: this is the symbol for a BTC call option which has a strike price of 50000 and expires on 20th August 2021
MV-BNB-200-300421: this is the symbol for a BNB contract which has a strike price of 200 and expires on 30th April 2021
Options Mark Price
Open positions in option contracts are marked at fair mark price. The fair mark price is computed by averaging the bid and offer price from the order book for a pre-specified order size, aka impact size. The mark price thus obtained is constrained within a band defined by the risk engine of Delta Exchange. The risk engine maintains a proprietary model for implied volatility (IV). The fair mark price band is this computed as:
If the fair mark price computed from the order book lies outside the mark price band, it will be capped at either Fair Price Min or Fair Price Max, whichever is relevant in the situation. The fair mark price band is enforced to prevent manipulation of mark price.
Please note that mark price does not impact realised profit/loss. When you close an open position, a trade happens by matching your close order against orders in the order book. The execution price of this trade determines your realised profit/ loss. However, mark price is used for the calculation of unrealised profit/ loss and consequently is used for decisions on liquidation of short positions.
All options contract settle at 12pm UTC. The settlement price of an options contract is computed using its strike price and the 30 minute TWAP (Time Weighted Average Price) of the index (i.e. spot) price of the underlying asset. The settlement price is determined using the following formulae:
At expiry, all open positions are closed at the settlement price. Settlement prices of expired contracts are available on this page.
Options Expiry and Launch Schedule
We offer daily, weekly (current week and the next week), monthy (current month and the next month) and quarterly (current quarter and the next quarter) options. Please note that for some of the underlying, we currently offer only daily options.
Daily options are lauched at 10am UTC everyday. For other maturities, options with new expiries are launched on Fridays at 10am UTC. For existing maturities, options with new strike prices are launched as the underlying index price moves.