BTCUSD Warrant Contract Product Specifications

Product Name

BTCUSD Call / Put Warrants

Product Issuer

CRO DAS Limited

Symbol

[Underlying]-[Expiry in YYMMDD]-

CW[Strike]

[Underlying]-[Expiry in YYMMDD]-PW[Strike]

e.g.

BTCUSD-210625-CW50000

BTCUSD-210625-PW40000

Product Description

Call / Put Warrants are derivative instruments, where the payoff is settled based on the price difference between the underlying instrument and the Call / Put Warrants’ Strike Price at Expiry.

Underlying

Crypto.com BTCUSD Index

Exercise Style

European (rights are only exercised on Expiry Date)

Rights

Call (right to buy) or Put (right to sell)

Strike & Expiry Date

As stipulated by the contract details of the specific Warrant listed on Crypto.com Exchange

Conversion Ratio

BTCUSD: 10,000 (equivalent to 1/Contract Size).

Contract Size is 0.0001 BTC, each contract has 0.0001 BTC as the underlying asset.

Min Price Tick

0.001 USD per 1 BTCUSD Warrant Contract

Min Quantity Tick

10 (Quantity of Warrant Contracts)

Crypto.com reserves the sole discretion to decrease the min quantity tick to 1 if the Call/ Put Warrants price goes up by 100 times

Maximum Order Quantity

Subject to the Warrant Issuance Size determined by the Issuer

Expiry Time

08:00 UTC

Last Trading Time

1 hour before Expiry Time

Margin Policy

No margin

Warrant purchases are fully funded

I.e. You cannot open a Warrant position on margin.

Any open Warrant position value cannot be used as margin to support other open positions

Maximum Leverage

No leverage permitted

Warrant purchases are fully funded

Liquidation Arrangement

No liquidation arrangement

i.e Open warrant positions are not subjected to liquidation

(Above is subject to change in the future)

Trading Bandwidth

  • Intrinsic Value

    • Call Warrants Intrinsic Value = max[0, (Index Price - Strike Price)] / Conversion Ratio

    • Put Warrants Intrinsic Value = max[0, (Strike Price - Index Price)] / Conversion Ratio

  • Call Warrants Price Bound = [ Call Warrants Intrinsic Value, Index Price / Conversion Ratio ]

  • Put Warrants Price Bound = [ Put Warrants Intrinsic Value, Strike Price / Conversion Ratio ]

  • Warrants Trading Bandwidth = max(1 x Price Tick, Price Bound +/- 10%)

Settlement Price

Call Warrant Settlement Price = max[0, (Index Settlement Price - Strike Price)] / Conversion Ratio

Put Warrant Settlement Price = max[0, (Strike Price - Index Settlement Price)] / Conversion Ratio

Index Settlement Price = TWAP of Index Price of last 60 mins before expiry, measured between 07:00 and 08:00 UTC. The calculation uses Index Price snapshots per minute.

Settlement Method

USDC Settled

Settlement Currency

USDC Stablecoin

Session Settlement

Expiration Settlement: At Expiry, all open positions are marked to the Settlement Price. Realised PnL will automatically settle in USDC on User’s wallet.

No mark to market realized PnL for normal session settlement cycle

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