Contract specifications options
- Symbol: The symbol of an option consist of : “underlying-date-strike-c/p”, for example “BTC-5JUL16-650-C” is a call option on 1BTC, with strike 650, excercised on 5th juli 2016
- Underlying: Deribit BTC index. The index is composed of 6 leading BTC-USD exchanges, currently Bitfinex, Gemini, Bitstamp, GDAX, Kraken and Itbit. Every 6 seconds the index is calculated by taking average of bid-ask from those 6 exchanges, removing highest and lowest value, and then take the average of the remaining 4 values. This to reduce the risk of significant impacts of flash-crashes.
- Multiplier: 1 (The usual underlying of stock options is 100 shares. On Deribit exchange there is no multiplier. Each contract has as underlying only 1BTC (priced by Deribit BTC index)
- Strike price intervals: US $25 for weekly options and US $50 for options with expiration dates further away.
- Strike prices: In-, at- and out-of-the-money strike prices are initially listed. New series are generally added when the underlying trades through the highest or lowest strike price available.
- Premium Quotation: In BTC, .minimum tick is 0.0001BTC (1/10000 BTC, or at exchange rate of $1000/BTC that would be $0.10/tick). On the platform the equivalent in USD is shown in the trading table, based on current BTC index price.
- Expiration date: Each Friday, expiration at 08.00 UTC.
- Exercise Style: European style with cash settlement. European style options can only be exercised at expiration date. This happens automatically on Deribit platform at expiration. No action from trader is required.
- Settlement value: Exercise will result in delivery of BTC-cash immediately after expiration. The exercise-settlement value is calculated using the average of the Deribit BTC Index over the last 30 minutes before expiration. The exercise-settlement amount in US $ is equal to the difference between the exercise-settlement value and the exercise price of the option. To get the final amount in BTC, this amount gets divided by the exercise-settlement value (the average of the BTC-Index in last half hour of trading).
- Mark price: Mark price is value given to the option by the risk engine during trading hours. I It is the average between bid and ask price whenever possible, but the price has to fall within limits set by Risk Management of Deribit. This is done by setting a minimum and a maximum of volatility implied by the option price (implied volatility). For example minimum 50% and maximum 80% implied annualised volatility. If the average of bid/ask at any time is above or below those values, those values will be used instead for the relative option. The mark price is also the valuation used for profit/loss calculations for open positions.
- Position limits: Currently no position limits are in effect. Position limits are subject to change. At any moment Deribit could impose position limits.
- Margin: Please refer to Margin Calculation
- Trading hours: 24/7
- Minimum order size: 1 option contract on 1 BTC
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