Mark Price Calculation

The price of a Perpetual Option depends on :

• Type of the option (call/put)
• Spot Oracle Price of the underlying asset
• Strike Price of the option
• The Implied Volatility of the underlying asset (Mark IV)
• Interest Rate : This is derived from Paradex Futures Funding Rate
• The funding period of the option (8 hours)

The price is calculated using the Black Scholes formula for perpetual options with continuous funding

Paradex keeps track of a Mark IV (IV refers to Implied Volatility). Mark IV is a smooth function of best bid/ask, last trade, mid price as well as an external IV calibrated from Deribit dated options. The Mark IV is designed to reflect a fair estimate of implied volatility even when the option is illiquid.