Options Guide
Options are a class of derivative 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 four categories of options contracts:
Vanilla Options
In this category we offer call and put options on BTC and ETH. 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.
Option Spreads
Spreads contracts are a combination of two options , one of them is long and other is short. There are two type of spread contracts:
Call Spreads : Lower strike call option is long and higher strike call option is short
Put Spreads: Higher strike put option is long and lower strike put option is short
More details on spreads are available here.
MOVE Options
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.
Options Symbology
The symbols of all options except spread contracts on Delta Exchange are based on the following scheme:
ProductSymbol-UnderlyingSymbol-StrikePrice-ExpiryDate
ProductSymbol: specifies which product category a given contract belongs to. Currently, it can take the following values:
ProductSymbol | Product Type |
C | Call |
TC | Turbo Call |
P | Put |
TP | Trubo Put |
MV | MOVE |
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.
Examples
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
Symbology for spread contracts
Call spreads are denoted by ‘CS’ and put spreads by ‘PS’. General nomenclature is: CS/PS-Underlying-Long strike- Short strike-Maturity
For call spreads, the lower strike is long and is the first strike. For put spreads, the higher strike is long and is the first strike.
Examples Call Spreads: CS-BTC-30000-32000-28Jul23
CS: Call Spread Underlying: BTC
Long Strike : 30000
Short Strike : 32000
Maturity : 28-Jul-23 Put spreads: PS-BTC-30000-28000-28Jul23
PS: Put Spread Underlying: BTC
Long Strike : 30000
Short Strike : 28000
Maturity : 28-Jul-23
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 decisions on liquidation of short positions.
Options Settlement
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:
Call options
Put options
At expiry, all open positions are closed at the settlement price. Settlement prices of expired contracts are available on this page.
Options Launch Schedule
Daily, weekly, monthly and quarterly maturities are available depending on the underlying. Following nomenclature has been used while specifying a particular maturity:
D1 : Option expiring within 24 hours
D2 : Option expiring within 24-48 hours
W1 : Option expiring on the current week’s Friday
W2 : Option expiring on the next week’s Friday
W3 : Option expiring on the next to next week’s Friday
M1 : Option expiring on the current month’s end Friday
M2 : Option expiring on the next month’s end Friday
M3 : Option expiring on the next to next month’s end Friday
Q1 : Option expiring on the current quarter’s end Friday
Q2 : Option expiring on the next quarter’s end Friday
Y1 : Option expiring on the current year’s end Friday
Whenever a new maturity is launched, a specified number of strikes are launched at a given strike difference at 12 PM UTC. e.g. D1 & D2 option chain is launched at 12 PM daily and weekly option chain is launched at Friday 12 PM UTC. Subsequent to the launch, options are put for 5 mins auction for price discovery and order placement.
As the market moves, the new strikes are launched for an existing maturity according to a specified delta range or minimum number of strikes below/above ATM, whichever has a wider range. For example, if BTC has a delta range of 0.1-0.9 and minimum number of strikes of 15, all the unavailable strikes between 0.1-0.9 delta are launched as the market moves. Also, all the strikes within ATM +/- 7*strike differences are launched if not covered by the previous criteria. Strike discovery happens every 5 minutes for all the option chains.
Specifications for BTC
Available Maturities : D1, D2, W1, W2, W3, M1, M2, M3
Delta Range : 0.2-0.8
| Maturity | Strike Difference | Maturity Launch | Min Strikes |
|---|---|---|---|
D1 | 100 | T-2 | 15 |
D2 | 250 | T-1 | 10 |
W1 | 1000 | Fri | 10 |
W2 | 1000 | Fri | 10 |
W3 | 1000 | Fri | 5 |
M1 | 1000 | Month End Fri | 12 |
M2 | 2000 | Month End Fri | 6 |
M3 | 5000 | Month End Fri | 6 |
Specifications for ETH
Available Maturities : D1, D2, W1, W2, W3, M1, M2, M3
Delta Range : 0.2-0.8
| Maturity | Strike Difference | Maturity Launch | Min Strikes |
|---|---|---|---|
D1 | 20 | T-2 | 10 |
D2 | 50 | T-1 | 10 |
W1 | 100 | Fri | 10 |
W2 | 100 | Fri | 10 |
W3 | 100 | Fri | 5 |
M1 | 100 | Month End Fri | 12 |
M2 | 200 | Month End Fri | 6 |
M3 | 500 | Month End Fri | 6 |
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