Binance Options Mark Price and Position Limits
2022-09-08 09:49
Spot Price Index
In options trading, the unrealized profit/loss mainly comes from the cost of opening an option position and the calculation of the Mark Price. The Options Mark Price is calculated using the Spot Index price and other parameters, making it especially important for the Spot Index to be stable.
The Binance Options Spot Price Index is the same as the price index used for USDⓈ-Margined Perpetual Futures contracts. The Spot Price Index used for Binance Options contracts can be regarded as a Fair Spot Price.
Options Mark Price
The Options Mark Price is the value of the options reported by the risk control system, which calculates the position margin and the unrealized profit/loss. It is used in the risk control system and can be considered the reasonable theoretical price of the Options contract at the current time.
Options Mark Price is calculated in real-time by using the Black-Scholes model. The implied volatility used to calculate Options Mark Price is derived from the best bid and best ask price for the Options contract, along with the volatility cap and volatility floor set in the system.
Implied Volatility = {max[min(implied volatility of best bid, volatility cap), volatility floor] + max[min(implied volatility of best ask, volatility cap), volatility floor]} * 0.5
The volatility cap and volatility floor might be adjusted without notification during severe market volatility.
The underlying price of an option contract comes from the corresponding Spot Price Index before settlement. For Options contracts that will be settled in 0.5 hour, the underlying price is the arithmetic mean of the Spot Price Index during the 0.5 hour preceding the expiration time as indexed by the platform.
Example:
BTC-211230-50000-C contract will be settled in 0.5 hour, the underlying price = 1/1,800 * (Price_t1 + Price_t2 + ...... + Price_t1,800)
Position Limit
| Contract Type | Position Limit |
| Single Contract | Simultaneous open orders cannot exceed 10 |
| Total position number cannot exceed 400 contracts | |
| Contracts with the Same Underlying Index | Simultaneous unfilled orders cannot exceed 30 |
| Total number of open positions cannot exceed 1,000 contracts | |
| Contracts with the Same Underlying Asset | Positions in the buying direction cannot exceed 1,000 contracts |
| Positions in the selling direction cannot exceed 1,000 contracts |