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Price calls, puts and multi-leg structures on crypto assets. The models use stochastic volatility with self-exciting jumps, because crypto price jumps arrive in clusters. Positions are fully collateralized in USDC. Options trading opens with the public testnet.
Structures matching your view, ranked by probability of profit (risk-neutral, from the model's digital option price), total risk, and reward relative to risk. Select one to edit it in the builder below.
| CALLS | STRIKE | PUTS | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Δ | Γ | ν | IV | mark | mark | IV | ν | Γ | Δ | |
| side | type | strike | qty | mark |
|---|
There is no traded options market for these contracts yet, so there is no implied volatility surface to calibrate to. Parameters are estimated from the underlying's price history. Diffusion volatility comes from returns with jumps removed. Jump size and rate come from the returns classified as jumps. The Hawkes branching ratio comes from the overdispersion of jump counts: a Poisson process has Var/Mean = 1, clustering gives more, and n = 1 − √(Mean/Var).
Black-Scholes assumes constant volatility and no jumps. Neither holds for crypto. The difference is largest for deep out-of-the-money puts.
Each point is the Black-Scholes volatility that matches the model's price at that strike. Under Black-Scholes this line would be flat.
Each position locks its maximum possible loss as collateral before it opens. There is no margin, so options positions are never liquidated.
A naked short call has no maximum loss, so it cannot be fully collateralized and is rejected. To sell upside, buy a higher strike to form a spread. You can try this in the builder above.
Collateral covers the maximum loss of every position, so there is no settlement price at which payouts exceed collateral. Options need no insurance fund and no auto-deleveraging.
Full collateral uses more capital than margin. The total to post is shown before you open a position.
Collateral is computed in micro-USDC: collateral = ⌈ max_lossμUSD ⌉ + 1. Amounts posted round up and amounts paid out round down, so collateral always covers the payout.
The payoff at expiry is piecewise linear, so the maximum loss is at one of the strikes or at the ends of the price range. It is computed exactly, without simulation.
Status: the pricing, risk and collateral engine is built and tested. Onchain options are step 19 of the build plan. See the roadmap.