Dated Options

Mark price

Dated Option pricing and risk metrics are computed using the Black-Scholes model. The mark price depends on three dynamic inputs:

  1. Spot Oracle Price - the current underlying price from the Paradex oracle
  2. Mark Implied Volatility (Mark IV) - derived from the Mark Variance
  3. Risk-free interest rate - derived from SOFR and US Treasury rates

Mark Implied Volatility

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

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

where:

Mark Variance=Median(Median(Ask Variance EWMA, Bid Variance EWMA,Last Trade Variance EWMA),Mid Variance EWMA,External Variance EWMA)\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. External variance inputs are calibrated to reference data from Deribit.