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Instruments and Strategies

A list of instruments and strategies supported by Paradigm

Predefined

Type1
Instrument / Strategy
Venues Supported
Outright
CME Group
Deribit
Outright
CME Group
Deribit
Spread
CME Group
Deribit
Spread
CME Group
Deribit
Spread
CME Group
Deribit
Spread
CME Group
Deribit
Spread
CME Group
Deribit
Spread
CME Group
Deribit
Spread
CME Group
Deribit
Spread
CME Group
Deribit
Outright
CME Group
Deribit
Spread
CME Group
Deribit
Spread
CME Group
Deribit
Spread
CME Group
Deribit

1 Type Descriptions:

  1. An Option Spread is defined as any multi-legged strategy made up of only calls or puts
  2. A Futures Spread is defined as any multi-legged strategy made up of outright futures

Custom

Type1
Instrument / Strategy
Venues Supported
Custom
Custom
CME Group
Deribit
Predefined + "Add Future"
Custom
CME Group
Deribit

1 Type Descriptions:

  1. A Custom Combination is defined as any multi-legged strategy made up of calls, puts and/or futures

Instrument and Strategy Descriptions

1

Future
Paradigm Strategy Code = Future
An outright futures instrument obligates both parties (the buyer and seller) to transact an asset according to predefined contract specifications. For Deribit futures and those given contract specifications, the buyer (seller) is obligated to purchase (sell) the underlying asset at a predetermined future date and price.

Pay-off Scenarios:

Long Futures Contract
Short Futures Contract
Max Gain
ST - K
K - ST
Max Loss
ST - K
K - ST
Breakeven
ST = K
ST = K

ST = underlying price at time of maturity

K = delivery price

2

Call
Paradigm Strategy Code = Call
A call option gives the buyer (seller) of the call the right to buy (sell), but not the obligation, to buy (sell) the option’s underlying product at the strike price at the contract’s time of expiration.

Pay-off Scenarios:

Long Call
Short Call
Max Gain
1 BTC - Paid Option Price (Unlimited in USD)
Option Premium Collected
Max Loss
Option Premium Paid
1 BTC - Paid Option Price (Unlimited in USD)
Breakeven
Strike / (1 - Premium Paid)
Strike / (1 - Premium Collected)
3

Put
Paradigm Strategy Code = Put
A put option gives the buyer (seller) of the put the right to sell (buy), but not the obligation, to sell (buy) the option’s underlying product at the strike price at the contract’s time of expiration.

Long Call
Short Call
Max Gain
Strike - Premium Paid
Premium Collected
Max Loss
Premium Paid
Strike - Premium Collected
Breakeven
Strike / (1 + Premium Paid)
Strike / ( 1 + Premium Collected)
4

Strangle
Paradigm Strategy Code = Strangle
The Strangle is an options strategy in which the same action (buy/sell) is transacted simultaneously to the put at a lower strike price and the call at a higher strike price of the same product and expiration.

Strangle Properties:

  1. One product
  2. Two legs
  1. Same expiration
  2. Different strikes: accepting in ascending or descending order.The first strike is always the put leg and the second strike is always the call leg. Thus allowing to quote for normal strangle structures or gut strangle structures.

Terminology/Actions:

  1. “Buying the Strangle” buys both the put and the call legs
  2. “Selling the Strangle” sells both the put and the call legs

Pricing:
Strangle Price = Leg1 (put leg) Price + Leg2 (call leg) Price
Cannot be priced at or less than zero.

5

Straddle
Paradigm Strategy Code = Straddle
The Straddle is an options strategy in which the same action (buy/sell) is transacted simultaneously to the put and the call at the same strike price of the same product and expiration.

Straddle Properties:

  1. One product
  2. Two legs, consisting of one put and one call, having the same expiration and same strike

Terminology/Actions:

  1. “Buying the Straddle” buys both the put and the call legs
  2. “Selling the Straddle” sells both the put and the call legs

Pricing:
Straddle Price = Leg1 (put leg) Price + Leg2 (call leg) Price
Cannot be priced at or less than zero.

6

(Vertical Non-ratio) Call Spreads
Paradigm Strategy Code = CSpread
A Call Spread is an options strategy within the same expiration, which two call options of equal ratio but different strikes are bought and sold verse each other.

Call Spread Properties:

  1. One product
  2. Same expiration
  3. Two legs, both calls of different strike with equal ratios

Terminology/Actions:

  1. “Buying the Call Spread” buys the lower strike and sells the higher strike
  2. “Selling the Call Spread” sells the lower strike and buys the higher strike

Pricing:
Call Spread Price = Lower Strike Call Price - Higher Strike Call Price
Cannot be priced at or less than zero.

7

(Vertical Non-ratio) Put Spreads
Paradigm Strategy Code = PSpread
A Put Spread is an options strategy within the same expiration, which two put options of equal ratio but different strikes are bought and sold verse each other.

Put Spread Properties:

  1. One product
  2. Same expiration
  3. Two legs, both puts of different strike with equal ratios

Terminology/Actions:

  1. “Buying the Put Spread” buys the higher strike and sells the lower strike
  2. “Selling the Put Spread” sells the higher strike and buys the lower strike

Pricing:
Put Spread Price = Higher Strike Put Price - Lower Strike Put Price
Cannot be priced at or less than zero.

8

Call Butterfly
Paradigm Strategy Code = CFLY
A Call Butterfly Spread is an options strategy within the combination of a long call spread and a short call spread within the same expiration.

Call Butterfly Properties:

  1. One product
  2. Same expiration
  3. Three legs of equidistance or non-equidistance between strikes

Terminology/Actions:

  1. “Buying the Call Butterfly” buys the highest strike 1x, sells the middle strike 2x and buys the lowest strike 1x
  2. “Selling the Call Butterfly” sells the highest strike 1x, buys the middle strike 2x and sells the lowest strike 1xstrike

Pricing:
Call Butterfly Price = Highest Call Price - (Middle Call Price)x2 + Lowest Call Price

9

Put Butterfly
Paradigm Strategy Code = PFLY
A Put Butterfly Spread is an options strategy within the combination of a long call spread and a short call spread, equidistant and within the same expiration.

Put Butterfly Properties:

  1. One product
  2. Same expiration
  3. Three legs of equidistance or non-equidistance between strikes

Terminology/Actions:

  1. “Buying the Put Butterfly” buys the highest strike 1x, sells the middle strike 2x and buys the lowest strike 1x
  2. “Selling the Put Butterfly” sells the highest strike 1x, buys the middle strike 2x and sells the lowest strike 1x

Pricing:
Put Butterfly Price = Highest Put Price - (Middle Put Price)x2 + Lowest Put Price

10

Risk Reversal (for call)
Paradigm Strategy Code = RRCall
A Risk Reversal (for call) Spread is an options strategy where the buyer (seller) is looking to buy (sell) a call and sell (buy) a put.

Risk Reversal (for call):

  1. One product
  2. Two legs of strikes in ascending or descending order. The first strike is always the put and the second strike is always the call. Thus allowing for gut risk reversals.

Terminology/Actions:

  1. “Buying the Risk Reversal (for call)” buys the call strike and sells the put strike
  2. “Selling the Risk Reversal (for call)” sells the call strike, and buys the put strike

Pricing:
Risk Reversal (for call) Price = Call Price - Put Price

11

Risk Reversal (for put)
Paradigm Strategy Code = RRPut
A Risk Reversal (for put) Spread is an options strategy where the buyer (seller) is looking to buy (sell) a put and sell (buy) a call.

Risk Reversal (for put):

  1. One product
  2. Two legs of strikes in ascending or descending order. The first strike is always the put and the second strike is always the call. Thus allowing for gut risk reversals.

Terminology/Actions:

  1. “Buying the Risk Reversal (for put)” buys the put strike and sells the call strike
  2. “Selling the Risk Reversal (for put)” sells the put strike, and buys the call strike

Pricing:
Risk Reversal (for put) Price = Put Price - Call Price

12

Future Spread
Paradigm Strategy Code = FSpd
A Futures Spread is a futures strategy where the buyer (seller) is looking to buy (sell) a further term futures contract and sell (buy) a closer term futures contract.

Futures Spread:

  1. One product (BTC or ETH)
  2. Two legs of different expirations in chronological order. The first expiration is always the near term and the second expiration is always the farther term.

Terminology/Actions:

  1. “Buying the Future Spread” buys the further term future contract and sells the near term
  2. “Selling the Risk“Selling the Future Spread” sells the farther term future contract and buys the near term Reversal (for put)” sells the put strike, and buys the call strike

Pricing:
Future Spread Price = Further Term Future Price - Near Term Future Price

13

(Horizontal Non-ratio) Call Calendar
Paradigm Strategy Code = CCal
A Call Calendar is an options strategy which two call options of equal ratio, but different expirations and (sometimes) different strikes are bought and sold verse each other.

Call Calendar Properties:

  1. One product
  2. Two legs of equal ration, both calls having different expirations and sometimes different strikes.

Terminology/Actions:

  1. “Buying the Call Spread” buys the call leg in the longer dated option and sells the shorter dated option
  2. “Selling the Call Spread” sells the call leg in the longer dated option and buys the shorter dated option

Pricing:
Call Calendar Price = Longer dated call price - Shorter dated call price

14

(Horizontal Non-ratio) Put Calendar
Paradigm Strategy Code = PCal
A Put Calendar is an options strategy which two put options of equal ratio, but different expirations and (sometimes) different strikes are bought and sold verse each other.

Put Calendar Properties:

  1. One product
  2. Two legs of equal ration, both puts having different expirations and sometimes different strikes.

Terminology/Actions:

  1. “Buying the Put Spread” buys the put leg in the longer dated option and sells the shorter dated option
  2. “Selling the Put Spread” sells the put leg in the longer dated option and buys the shorter dated option

Pricing:
Put Calendar Price = Longer dated put price - Shorter dated put price