2024/12/31 update: Auto Synthetic Delivery now supports all alcoins in Deribit 👇

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I. Description of Delivery Parameters

At present, Deribit options delivery takes the form of net cash delivery, which is not friendly to users who want to use actual physical delivery, or want to simulate delivery with perpetual contracts.

The Greeks.live Auto Synthetic Delivery Tool currently supports the following delivery methods:

1/ Simulated delivery using perpetual contracts on the Deribit platform;

2/ Physical delivery by linking with the OKX API.

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(i) Settlement Direction

When the expired option is ITM (In The Money), the list of actions to simulate the delivery of the perpetual contract corresponding to the Auto Synthetic Delivery is as follows.

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(ii) Settlement amount

The amount of the specific delivery is determined by multiplying the size of options by strike price. determine the dollar transaction amount. And it should be based on the US dollar denomination, rather than based on BTC or ETH.

For example, if you have 10 BTC Long Calls with an exercise price of $40,000 expiring on September 8, 2021, and the settlement price is around $46,000 on that day. Then these options are ITM options. Then Greeks.Live Auto Synthetic Delivery will use the perpetual contracts to simulate delivery, i.e. buy $40,000 * 10 = $400,000 of perpetual contracts.

(iii) Settlement Price

Since the delivery price of Deribit is the average price during the thirty minutes from 0730-0800 UTC (i.e. 3:30 to 4:00 PM BST), in order to fit this delivery price, we have adopted the following guidelines for Greeks.live.

  1. Observe the EDP (Estimated Delivery Price) at 0733 UTC, and if the option is ITM at this moment, then we assume that the option will expire ITM.
  2. Calculate the dollar amount and direction of the perpetual contracts that need to be traded for the option to expire at value, and split them into 10 equal trades at UTC 0733, UTC 0736…until UTC 0800. The average of the these 10 trades will be close to the delivery price of Deribit.

II. Interface Description

(i) Switching interface