Market Dynamics

Market Operation

The IVX market acts as the counterparty for all users engaging with the IVX protocol. When a user seeks to purchase an option at a specific strike price, the AMM automatically accepts the trade, thereby exposing itself to a corresponding shot option contract of the same asset on that same strike price. If a user wishes to close the purchased option, the AMM's exposure as a seller will be offset, leading the AMM to exercise the option following the American options methodology.

Every day at 8:00 AM UTC, the IVX market generates option contracts for supported assets with incorporated volatility sources, initiating the trading session and enabling traders to write or purchase option positions that expire at 8:00 AM UTC the following day.

Throughout the 24 hours trading period, (excluding 30 minutes before expiry when trading will be ceased), traders can enter or exit from any position based on a pre-generated list of strike price specific to each asset.

Strike price list

IVX Strike price list will be align with the same strike price list as Deribit, aggregating three strike prices per asset closer to ATM: [OTM , ATM , ITM]

Strike prices will roll out automatically as live price moves below OTM strike or moves above ITM strike, otherwise, the list of strike prices will remain unchanged.

Option pricing

IVX market follows the Black-Scholes pricing methodology while fetching implied volatility for strike prices through specified oracle in collaboration with Stork Network

$$\text{IV(k)} = \text{TWAP}\left(\text{median}\left(\text{mark\_iv}(\text{Deribit, Bybit, Binance})(k)\right), \text{15 min}\right) + \text{spread impact}$$

\text{IV(k)} = \text{TWAP}\left(\text{median}\left(\text{mark\_iv}(\text{Binance}), \text{mark\_iv}(\textBybit}), \text{mark\_iv}(\text{Binance})\right), \text{15 min}\right) + \text{spread impact}

• Min wETH position = 0.1 Contract

• Max wETH position = 200 Contract

• Min wBTC position = 0.01 Contract

• Max wBTC position = 7.5 Contract

• Min wBERA position = 1 Contract

• Max wBERA position = 30,000 Contract

• minPremiumPriceRate(factor * token price): 0.0001 on all assets