Kraken MTF (Crypto Facilities Ltd) offers European-style options which are cash-settled in USD, and the underlying of every contract is a futures contract.
Options are contracts that give the holder the right, but not the obligation, to buy or sell an underlying asset at a set price (the strike) on or before a set date (the expiration). The buyer pays a premium to the seller for this right.
Every option contract is defined by four terms: type, strike price, expiration date and premium.
| Pair | XBT/USD | ETH/USD |
|---|---|---|
| Style | European, cash-settled in USD | European, cash-settled in USD |
| Maturities | Weekly, Monthly, Quarterly, Semi-annual | Weekly, Monthly, Quarterly, Semi-annual |
| Min Order | 0.01 Contracts | 0.1 Contracts |
| Max Position Size | 25 BTC | 100 ETH |
| Tick Size | 1 USD | 0.1 USD |
| Settlement | BTCOPTRR – 30 minute observation window before 8 UTC | ETHOPTRR – 30 minute observation window before 8 UTC |
| Fee Structure | Same fee structure as Linear contracts, based on notional but capped at 12.5% of the premium paid | Same fee structure as Linear contracts, based on notional but capped at 12.5% of the premium paid |
| Collateral | Same as our Linear offering | Same as our Linear offering |
| Symbol schema | OF_{PAIR}_{YYMMDD}_{STRIKE}_{C,P} – i.e. a Bitcoin/USD 20k CALL for 27th Dec 2024 would be OF_XBTUSD_241227_20000_C while an Ethereum/USD 20k PUT would be OF_ETHUSD_241227_20000_P | OF_{PAIR}_{YYMMDD}_{STRIKE}_{C,P} – i.e. a Bitcoin/USD 20k CALL for 27th Dec 2024 would be OF_XBTUSD_241227_20000_C while an Ethereum/USD 20k PUT would be OF_ETHUSD_241227_20000_P |
Mark pricing
Similar to our other Derivative products, a mark price will be calculated for options and used for margining purposes.
This mark price will be based on various factors and calculated using a SABR volatility model. Namely, the term structure of the underlying market, the IV curve available across multiple markets as well as other anti-manipulation factors.