Mark price | Paradex | Documentation

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:

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) — the external IV fit from a reference exchange (see below). 3. Risk-free rate (r) — used only for discounting the option payoff from expiry back to present value. Currently set to 0%.

Under Black-76, the synthetic forward $F$ is the level the option is priced against. The spot oracle price $S$ enters only through $F$ ; any expectations about funding, dividends, or carry are absorbed into the externally calibrated annualized forward rate $f$ . The risk-free rate $r$ and the annualized forward rate $f$ are separate inputs and serve different roles — $f$ shapes the forward, $r$ discounts the payoff.

Mark Implied Volatility

Mark IV is calculated directly by fitting the implied volatility surface from a reference exchange:

Underlying	Reference exchange
BTC	Deribit
ETH	Deribit
HYPE	Derive

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%.