| Parameter | Value | Description |
|---|---|---|
| MAX_EXPIRY | 400 days | The longest dated option that can be listed. |
| SETTLEMENT_TWAP_PERIOD | 30 minutes | Options settle to a TWAP of the market’s base asset price over this window. The published settlement divides the aggregated feed by the actual seconds aggregated, not by 1,800. |
| FEED_HEARTBEAT | 3,600 s | Maximum age of a spot, perp, vol, rate or forward feed print. |
| CONFIDENCE_THRESHOLD | 0.55 | Feed confidence beneath which extra initial margin applies, in both engines. |
| CONFIDENCE_SCALE (PM) | 0.4 | Percentage of spot added per contingent contract by the PM oracle contingency. |
| CONFIDENCE_SCALE (SM) | 1.0 | As above, for Standard Margin. |
| (MIN_SCALE, MAX_SCALE) | (4, 4) | Moneyness clamp on the SVI smile: k is clamped to ± SCALE x sqrt(a + b x sigma). |
| MAX_TOTAL_VOL | 24.0 | Cap on total volatility read off the surface. |
| MAX_TOTAL_VAR | 144.0 | Cap on total variance read off the surface. |
Parameters