Pricing

Four surfaces, three jobs#

A perp exchange has one index price and one mark. This venue trades a whole options surface, so the same roles are surfaces: an oracle bid and ask, and a mark bid and ask. The venue never calls any of them an "index". The oracle says what the listed market thinks, the front says what our makers will actually do, and the mark values what you hold. Nothing trades at the oracle or at the mark.

The oracle: the listed market, fitted#

The oracle starts from a listed options market — Deribit for BTC, Derive for HYPE, the CBOE for SPX. It takes the listed mid and fits a Kou model to it (a smooth volatility plus up and down jumps, which gives a clean curve in strike and in decay). It then interpolates the listed bid/ask spread around that fitted mid.

The result is two surfaces, a bid and an ask, at every strike and decay. Because both are built around one mid they cannot cross: the bid is never above the ask. Listed markets stop at about a year, so the long decays (24, 55 and 120 months) are the model's extension of the listed shape, not a quote anybody has posted.

The front: the best quote across the makers standing#

Each maker quotes its own curve. The front is the highest bid and the lowest ask among the makers standing, at each strike and decay. Within one price level a fill splits across makers by standing size (pro-rata) — there is no time priority, so nobody's arrival order is recorded or rewarded. Every open and every close trades at the front.

A maker is either AUTO or CUSTOM. An AUTO maker quotes the oracle's bid and ask plus its own bias, described next. A CUSTOM maker posts its own curve, from its own model or agent.

AUTO's bias: the lean#

An AUTO maker with an empty book quotes the oracle exactly. As it fills, its quotes lift. At each strike and decay, both its bid and its ask move up by the share of its cap it has used there, times the narrower of the listed call and put half-spreads (and never past the oracle's own room at that point). Nothing is ever lowered, a flat book has no lean, and put-call parity holds exactly.

The effect: what the maker has been selling gets dearer to buy from it, so the flow slows before the cap is reached. The lean is a venue switch (default on); with it off, an AUTO maker quotes the oracle and simply stops a side at its cap.

The corridor decides who may set the front#

The corridor is the oracle's bid and ask pushed outward until each is twice as far from the mid as it was. It permits a maker to quote wider than the oracle. What it forbids is crossing: a bid above the oracle's ask, or an ask below the oracle's bid, is not admitted.

The mark: what a position is valued at#

The mark is the raw front's relevant side — the front bid for a long position, the front ask for a short — with no fitting, clamped into the corridor. Where nobody stands on that side at that strike, the mark is the oracle's side there. It is never a mid, and an option price is never called a mark.

The mark has four jobs and only four: valuing a position, the margin test, the liquidation flag and the withdraw test. It clears nothing. The clamp means one maker alone cannot move everyone's margin.

What sits under a CUSTOM or AUTO curve#

A maker's price is the expected payoff of the claim under one probability law for the asset: a Kou double-exponential jump-diffusion, run through a perpetual American closed form and a CARA utility-indifference price. Its six numbers, the worldview Θ, are a lean per year, a smooth volatility, and for crashes and rallies how often each jumps and how big. Because every price is one law's expectation, put-call parity holds exactly and no butterfly is negative anywhere in the tradable window.

What it costs#

A maker's half-spread is its revenue, and it rides the extrinsic only: ask = intrinsic + extrinsic × (1 + h), bid = intrinsic + extrinsic × (1 − h). The moneyness floor is never crossed.

The venue charges a taker fee on an option open and on its close: 3 basis points of the option's notional, capped at 12.5 % of the premium. Makers pay none for now. It comes out of the deposit and the held premium first, and a remainder is booked as a shortfall on the account itself — never pulled from your wallet. The ticket shows it as one FEE row.