Mark price

Dated Option pricing and risk metrics are computed using the Black-76 model, which prices options directly off the forward price of the underlying. The mark price depends on the following dynamic inputs:

1. Synthetic Forward Price (F) — constructed as

$$F = S \times e^{\,f \,T}$$

where $S$ is the Paradex spot oracle price, $f$ is the annualized forward rate for the option’s expiry (calibrated externally from Deribit), and $T$ is the time to expiry in years. 2. Mark Implied Volatility (Mark IV) — derived from the Mark Variance (see below). 3. Risk-free rate (r) — used only for discounting the option payoff from expiry back to present value. Currently set to 0%.

Mark Implied Volatility

Mark IV is derived from the Mark Variance, which blends internal market data with external reference data from Deribit:

$$\text{Mark IV} = \sqrt{\text{Mark Variance}}$$

where:

$$\begin{align*} \small\text{Mark Variance} = \text{Median}\big( & \text{Median}(\text{Ask Variance EWMA},~\text{Bid Variance EWMA}, \\ & \quad\text{Last Trade Variance EWMA}), \\ & \text{Mid Variance EWMA}, \\ & \text{External Variance EWMA}\big) \end{align*}$$

Internal variance values are derived from bid, ask, last trade, and mid prices and are expressed as Black-76 implied variances consistent with the calibrated forward. External variance inputs are calibrated to reference data from Deribit.

Forward rate calibration

The annualized forward rate $f$ is calibrated externally from Deribit for each option expiry and refreshed continuously. It is combined with the Paradex spot oracle to produce the synthetic forward $F = S \times e^{\,f\,T}$.

The risk-free rate $r$ is a separate platform parameter used solely for discounting. It is currently set to 0%.