Expiry Settlement

The Session End Time for Warrant contracts will be 08:00 UTC on the date of expiry (Expiry Date). This is known as the Expiry Settlement.

During the 1 hour prior to the Expiry Settlement, Users’ existing Warrant positions cannot be closed and the pay-off of these positions will be calculated and settled following the Settlement Price at the Session End Time.

Settlement Price

The Settlement Price is calculated as the Time Weight Average Price of the Index Price over the last 60 minutes before the Expiry Settlement measured between 07:00 UTC and 08:00 UTC on the date of expiry (Expiry Date).

Trading Fees

Trading fees for Warrant Contracts will follow the maker-taker fee model.

Warrant Trading Fee = Warrant Trading Volume x Trading Fee% following Level Tier =

((Warrant Contract Quantity / Conversion Ratio) x Underlying Index Price on Position Entry) x Trading Fee% following Level Tier

Refer to this article for more information on fees.

Warrant Pay-off Calculations

Call Warrant Pay-off

Users holding Call Warrant positions can benefit from positive underlier price movements.

On the date of expiry (Expiry Date), if the Settlement Price of the underlier closes above the Call Warrant Strike Price (i.e. Strike Price < Settlement Price), then the Warrant Pay-off will be positive for the User.

Warrant Contract Details

Description

Instrument

BTCUSD-211231-CW70000

[Underlier]-[Expiry Date]-[Call Warrant]-[Strike Price]

Underlier

BTCUSD Index

Expiry Date

31st December 2021

Rights

Call

Strike (USD)

70,000

Conversion Ratio

10,000

Example 1: User purchases Call Warrants and the position expires “in the money” (ITM)

BTCUSD Index at the time of purchase

At the time of Warrant purchase, BTCUSD Index trades at 63,000

Quantity

Purchaser A purchases 100 Call Warrants (BTCUSD-211231-CW70000) at the price of 0.2 USDC per Warrant → Purchaser A’s cost of purchasing 100 Warrants = USD20

BTCUSD Index on Expiry Date

On the Expiry Date (31st December 2021), BTCUSD Index closes at 80,000

Equation for pay-off calculation

Call Warrant Pay-off = (Settlement Price - Strike Price) x (Quantity / Conversion Ratio)

Pay-off calculation

The Call Warrant pay-off is as follows:

  • Strike Price = 70,000

  • Settlement Price = 80,000

  • Quantity of Warrants = 100

Settlement Price > Strike Price → Call Warrant is “in the money” and will be automatically exercised on Expiry.

The pay-off calculation is as follows:

Call Warrant Pay-off = (80,000 - 70,000) x (100 / 10,000)

Call Warrant Pay-off = (10,000) x (100 / 10,000)

Call Warrant Pay-off = 100 USD

User Profit or Loss

= -20 (cost) + 100 (profit) = USD 80 profit (excl. trading fees)

Example 2: User purchases Call Warrants and the position expires “out of the money” (OTM)

BTCUSD Index at the time of purchase

At the time of Warrant purchase, BTCUSD Index trades at 63,000

Quantity

Purchaser B purchases 100 Call Warrants (BTCUSD-211231-CW70000) at the price of 0.2 USDC per Warrant → Purchaser B’s cost of purchasing 100 Warrants = USD20

BTCUSD Index on Expiry Date

On Expiry Date (31st December 2021), BTCUSD Index closes at 60,000

Equation for pay-off calculation

Call Warrant Pay-off = (Settlement Price - Strike Price) x (Quantity / Conversion Ratio)

Pay-off calculation

The Call Warrant pay-off is as follows:

  • Strike Price = 70,000

  • Settlement Price = 60,000

  • Quantity of Warrants = 100

Settlement Price < Strike Price → Call Warrant is “out of the money” and will not be exercised.

User Profit or Loss

Loss of = USD 20 (excl. trading fees)

Put Warrant Pay-off

Users holding Put Warrant positions can benefit from negative underlier price movements.

On the date of expiry (Expiry Date), if the Settlement Price of the underlier closes below the Put Warrant Strike Price (i.e. Strike Price > Settlement Price), then the Warrant Pay-off will be positive for the User.

Warrant Contract Details

Description

Instrument

BTCUSD-211231-PW60000

[Underlier]-[Expiry Date]-[Put Warrant]-[Strike Price]

Underlier

BTCUSD Index

Expiry Date

31st December 2021

Rights

Put

Strike (USD)

60,000

Conversion Ratio

10,000

Example 3: User purchases Put Warrants and the position expiries “in the money” (ITM)

BTCUSD Index at the time of purchase

At the time of Warrant purchase, BTCUSD Index trades at 63,000

Quantity

Purchaser C purchases 100 units of Put Warrants (BTCUSD-211231-PW60000) at the price of 0.1 USDC per Warrant → Purchaser C’s cost of purchasing Warrants = USD10

BTCUSD Index on Expiry Date

On Expiry Date (31st December 2021), BTCUSD Index closes at 50,000

Equation for pay-off calculation

Put Warrant Pay-off = (Strike Price - Settlement Price) x (Quantity / Conversion Ratio)

Pay-off calculation

The Put Warrant pay-off is as follows:

  • Strike Price = 60,000

  • Settlement Price = 50,000

  • Quantity of Warrants = 100

Settlement Price < Strike Price → Put Warrant is “in the money” and will be automatically exercised on Expiry.

The pay-off calculation is as follows:

Put Warrant Pay-off = (60,000 - 50,000) x (100 / 10,000)

Put Warrant Pay-off = (10,000) x (100 / 10,000)

Put Warrant Pay-off = 100 USD

User Profit or Loss

= -10 (cost) + 100 (profit) = USD90 profit (excl. trading fees)

Example 4: User purchases Put Warrant and the position expiries “out of the money” (OTM)

BTCUSD Index at the time of purchase

At the time of Warrant purchase, BTCUSD Index trades at 63,000

Quantity

Purchaser D purchases 100 Put Warrants (BTCUSD-211231-PW60000) at the price of 0.1 USDC per Warrant → Purchaser D’s cost of purchasing Warrants = USD10

BTCUSD Index on Expiry Date

On Expiry Date (31st December 2021), BTCUSD Index closes at 70,000

Equation for pay-off calculation

Put Warrant Pay-off = (Strike Price - Settlement Price) x (Quantity / Conversion Ratio)

Pay-off calculation

The Put Warrant pay-off calculation is as follows:

  • Strike Price = 60,000

  • Settlement Price = 70,000

  • Quantity of Warrants = 100

Settlement Price > Strike Price → Put Warrant is “out of the money” and will not be exercised.

User Profit or Loss

Loss of = USD10 (excl. trading fees)

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