Option Settlement

This parameter control the duration of the time-weighted-average-price (TWAP) used to settle options.

Parameter	Contract Variable	Value	Bounds	Description
SETTLEMENT_TWAP	`SETTLEMENT_TWAP_DURATION`	30 minutes	No bounds	Length of the TWAP of the spot price to which all options will settle.

Perpetual Asset

These control the pricing of perpetual assets, as well as how the associated funding rate is computed.

Parameter	Contract Variable	Value	Bounds	Description
IMPACT_NOTIONAL	N/A (a relevant parameter, but not on the contract layer)	4000	No bounds	This controls the perpetual price slippage when computing the funding rate.
PERP_TWAP_LENGTH	N/A (a relevant parameter, but not on the contract layer)	30 minutes	No bounds	This is the length of the TWAP of the difference between spot and perpetual price. The perpetual itself is marked to the spot price plus this TWAPed difference.
PERP_MAX_PERCENT_DIFF	`feed.spotDiffCap`	[0.94, 1.06]	No bounds	This is the maximum percentage of the spot price the perpetual can be marked to. I.e. the perpetual cannot be marked any higher than 5% higher/lower than the current spot price.
PERP_STATIC_RATE	`staticInterestRate`	0.0000125 (i.e. 0.00125%) per hour	No bounds	This is a static amount of funding paid from longs to shorts per hour.
PERP_MAX_FUNDING	`maxRatePerHour`	0.004 (i.e. 0.4% per hour)	[0,1]	This is the absolute value of the maximum funding rate per hour. I.e. the maximum funding paid from longs to shorts per hour is 0.4%.
PERP_MIN_FUNDING	`minRatePerHour`	-0.004 (i.e. -0.4% per hour	[0,-1]	This is the absolute value of the minimum funding rate per hour. I.e. the minimum funding paid from longs to shorts per hour is -0.4%. Must be the negative of `PERP_MAX_FUNDING`.
CONVERGENCE_PERIOD	`fundingConvergencePeriod`	8	[0.05, 240]	This scales the difference between the spot (index) price and relevant impact prices (bid/ask) when computing the funding rate.

Volatility Feed/Option Asset

These parameters control the pricing and marking of the option asset.

Parameter	Contract Variable	Value	Bounds	Description
SVI_MAX_SCALE	`SVI_MAX_SCALE`	4	No Bounds	This is used to set the strikes after which volatility from the SVI curve is flattened out. Not configurable post launch
SVI_MIN_SCALE	`SVI_MIN_SCALE`	-4	No Bounds	As above
MAX_TOTAL_VOL	`MAX_TOTAL_VOL`	24.0	No Bounds	This is the maximum value of the total variance that can be used in the Black76 formula Not configurable post launch
MAX_TOTAL_VAR	`MAX_TOTAL_VAR`	144.0	No Bounds	This is the maximum value of the total implied variance that can be used in the Black76 formula. Not configurable post launch
MAX_EXPIRY	`MAX_EXPIRY`	400 days	No bounds	This is the longest dated expiry that can be supported. Not configurable post launch
INTEREST_RATE	`staticRateFeed.rate`	0.00	No Bounds	Interest rate used for discounting.

HeartBeats

Each feed has an associated heartbeat. If data is not received for longer than the associated heartbeat, all trades will revert until said data is received.

Feed	Value	Justification
Forward (difference from spot)	60 minutes	Forward difference to spot shouldn’t be too large, so a long heartbeat exposes minimal risk
Forward (settlement period)	10 minutes	Settlement period is 30 minutes, so not receiving data for a third of this time should warrant a revert.
Spot	20 minutes	Prices are sensitive to spot.
Volatility	30 minutes	Volatility doesn’t move too quickly and prices are not as sensitive (compared to spot)
Perpetual (difference from spot)	30 minutes	This is the difference between spot and the perpetual mark price, so should be small in the vast majority of times.
Perpetual (used to compute impact ask/bid prices)	30 minutes	This only determines funding which is implicitly TWAPed, so a longer heartbeat is ok.
Stable feed (USDC)	60 minutes	Feed will most of the time not move, but needs to be responsive when it does