Every week, a new weekly Ethereum Warrant is created. The Call Warrant grants the right to purchase 0.1 ETH at the Strike Price upon weekly expiration. The Put Warrant grants the right to sell 0.1 ETH upon the weekly expiration. All Warrants are cash settled and automatically exercised.
Each Warrant has a capped maximum gain (from the purchaser's perspective) and, reciprocally, a determined maximum loss (for the writer). These caps are set to be 50% of the Warrant's Strike Price.
For example, if the strike price is 200, an expiring Call Warrant grants the purchaser the right to buy 0.1 ETH for 20TUSD. If the value of the ETH Index is 250, the purchaser of the Warrant will receive (250 - 200) * 0.1 or 5 TUSD. If the value of the ETH index is 350, the purchase of the Warrant receives only (300 - 200) * 0.1 or 10 TUSD as the cap for the Warrant would be set at 300.
On the put side, if the Strike Price is 200, the cap is set to 100. Even if the ETH Index were to fall to 25 at expiry, the purchaser of the Warrant would only receive (200-100) * 0.1 or 10TUSD.
Put another way, the caps set the maximum value of each Warrant contract at 50% times the Strike Price.
The Strike Price for each new Call and Put Warrant is set to the Final Settlement Value of the proceeding week's Warrants rounded to the nearest whole number. For example, if the Final Settlement Value was 202.44, the new Call and Put Warrants would have a Strike Price of 202.
Naming and Symbol Conventions
|Name||Ethereum 26/10/18 210 Call|
All symbols follow the syntax: <ETH><YY><MM><DD>('C' for Call, 'P' for Put)<Strike>
Cash settled in True USD; expires on the next Friday following listing at 10:00:00 AM CT.
Final Settlement Value
The Final Settlement Value is the value of the ETH Index at 10AM on Friday on the Settlement Day.
The ETH Index is calculated in real time by calculating the median Adjusted Mid Price of:
- Binance ETH/USDT combined with the Binance TUSD/USDT to normalize to True USD
- Huobi ETH/USDT combined with the Binance TUSD/USDT to normalize to True USD
- OKex ETH/USDT combined with the Binance TUSD/USDT to normalize to True USD
The Adjusted Mid Price is the simple average of the Liquid Bid and Liquid Ask at that time. The Liquid Bid and Liquid Ask are the prices at which there is liquidity to sell (or buy) 10 Ethereum at that point in time in the exchange's order book. For calculation of the appropriate TUSD/USDT, the mid is calculated against a Liquid Bid and Liquid Ask satisfying a 10,000 USDT requirement.
European-style with automatic exercise; options are executed, if applicable, against the Final Settlement Value on the Settlement Day (Friday 10AM CT).
|Expiration Date||October 26th, 2018 10:00:00 AM CT|
|Listing Date||October 19th, 2018 11:00:00 AM CT|
|Trading Hours||11:00:00 AM CT - 10:00:00AM CT (T+1)|
|Contract Value||0.1 ETH|
|Tick Size||0.01 TUSD|
|Low Cap Price||105 TUSD|
|High Cap Price||315 TUSD|
The purchaser of a Warrant need only post the premium needed to pay for the Warrant. A seller (or writer) of the Warrant must post the difference of the premium and the maximum possible loss. For example, if the Warrant is the ETH181026C210, the maximum loss is (315 - 210) * 0.10 or 10.5 TUSD. If the Warrant premium is 1 TUSD, the purchaser must tie up 1 TUSD of capital, while the seller must tie up 9.5 TUSD of capital. Upon expiration, if the Warrant expires worthless, the seller's capital is unfreezed and the seller receives the 1 TUSD from the purchaser.