Products Supported

Paradigm’s block-trading solution enables institutions to privately negotiate crypto-derivative trades via chat with counterparties of their own choosing. Once agreed, the trade will be automatically executed, margined and cleared at the following venues and displayed on the public tape as a block trade, eliminating any execution risk associated with the order book.

Products

US Cleared Products

Execution Venue
Product Code
Instrument
Inst Sub Type
Settlement Type
Underlying Asset
OG
CME
Options
European
Deliverable
CME BTC Future
BTC
CME
Futures
-
Financial
CME CF Bitcoin Reference Rate (BRR)

Non-US Cleared Products

Execution Venue
Product Code
Instrument
Inst Sub Type
Settlement Type
Underlying Asset
DO
Deribit
Options
European
Financial
Deribit BTC Index
EH
Deribit
Options
European
Financial
Deribit ETH Index
CF
Deribit
Futures
-
Financial
Deribit BTC Index
AZ
Deribit
Futures
-
Financial
Deribit ETH Index

Minimum Block Trade Sizes

Product/Instrument
Venue
Min Block Size
CME Group
BTC - BTC Future
OG - BTC Option - European
25 BTC (5 Contracts)
25 BTC (5 Contracts)
Deribit
CF - BTC Future
DO - BTC Option - European
AZ - ETH Future
EH - ETH Option - European
200,000 USD
25 BTC
100,000 USD
500 ETH

For the sake of clarity, the block size minimums are per block package, so for an "n" legged strategy the minimum quantity per leg will be Min Block Size/n

Instruments and Strategies

US Cleared Instruments and Strategies

Type1
Instrument / Strategy
Syntax
Example
Outright
/XX Call MmmYY Strike Qty
/OG Call Mar20 9000 50x
Outright
/XX Put MmmYY Strike Qty
/OG Put Mar20 8000 50x
Outright
/XX2 Future MmmYY3 Size
/BTC Future Mar20 50x

1 Definitions:

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

2 XX = product code, i.e. OG for Options and BTC for Futures

Non-US Cleared Instruments and Strategies

Type1
Instrument / Strategy
Syntax
Example
Outright
/XX Call DDMmmYY Strike Qty
/DO Call 27Sep19 8000 50x
Outright
/XX Put DDMmmYY Strike Qty
/DO Put 27Sep19 8000 50x
Spread
/XX Strangle DDMmmYY Strike1/Strike2 Qty
/DO Strangle 27Sep19 8000/16000 50x
Spread
/XX Straddle DDMmmYY Strike Qty
/DO Straddle 27Sep19 11000 50x
Spread
/XX CSpd DDMmmYY Strike1/Strike2 Qty
/DO CSpd 27Sep19 12000/14000 50x
Spread
/XX PSpd DDMmmYY Strike1/Strike2 Qty
/DO PSpd 27Sep19 10000/8000 50x
Spread
/XX CFly DDMmmYY Strike1/Strike2/Strike3 Qty
/DO CFly 27Sep19 12000/14000/16000 50x
Spread
/XX PFly DDMmmYY Strike1/Strike2/Strike3 Qty
/DO PFly 27Sep19 5000/7000/9000 50x
Spread
/XX RRCall DDMmmYY Strike1/Strike2 Qty
/DO RRCall 27Sep19 8000/14000 50x
Spread
/XX RRPut DDMmmYY Strike1/Strike2 Qty
/DO RRPut 27Sep19 8000/14000 50x
Outright
/XX2 Future DDMmmYY3 Size
/CF Future 27Sep19 200000USD
Spread
/XX FSpd DDMmmYY/DDMmmYY USD
/CF FSpd 27Dec19/27Mar19 200000USD
Spread
/XX CCal DDMmmYY1 Strike1/DDMmmYY2 Strike2 Qty
/DO CCal 27Mar 9000/26Jun 10000 50
Spread
/XX PCal DDMmmYY1 Strike1/DDMmmYY2 Strike2 Qty
/DO PCal 27Mar 9000/26Jun 8000 50

1 Definitions:

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

2 XX = product code, i.e. DO or EH for Options and CF or AZ for Futures

3 To quote Perpetual contract, replace “DDMmmYY” with “Perp” (i.e. /CF Future Perp 200000USD)

4 Perpetual contract is accepted and syntax to quote is “Perp” (i.e. /CF FSpd Perp/27Dec19 200000USD)

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

Deribit Leg Pricing Assignment Methodology

Paradigm’s leg pricing methodology attempts to take the quoted strategy prices as entered by the maker and calculate individual leg prices subject to the following broad constraints:

1

Calculate leg prices as close to the mark as possible

2

Leg prices must be in increments of minimum tick size

3

Leg prices must be within the Min and Max prescribed by the exchange for each leg

4

For options strategies, leg prices must preserve delta relationships:

  1. Higher strike puts > Lower strike puts
  2. Higher strike calls < Lower strike calls

Important Pricing Points to Consider

Trade rejection due to timing differences between initial Price Band check (on Paradigm) and final price band check (on Deribit)

  1. After the Maker enters executable prices, Paradigm conducts a price band check for the quoted strategy to ensure that the price(s) entered by the Maker are within the permissible price bands set by the exchange. These price bands are calculated by Paradigm using the Min and Max of the individual legs in the strategy.
  2. However, Deribit performs its own price-band check at the time of trade execution i.e AFTER the trade message is submitted to Deribit.
  3. Consequently, there is a time lag between the initial price band check performed by Paradigm (after Maker enters executable prices) and the price band check performed by Deribit (at the time of trade submission). This time lag may vary depending upon when the Taker decides to confirm the price, but is capped at a max of 20* seconds (plus a minimal amount of time it takes for Deribit to receive the trade message transmitted by Paradigm
  4. During this time, there is a chance that the price bands for the individual legs (have changed meaningfully enough to cause the executed price to be outside the new price bands for the quoted strategy. If this is true, Deribit will reject the trade.

* 20 seconds corresponds to the longest setting for the trade execution window on Paradigm, configurable via the web dashboard.

Manual entry for individual leg prices when Paradigm is unable to calculate leg prices that are “sensical”

  1. Deribit’s Min/Max values for certain strikes in the option chain can overlap (i.e. Max of lower strike put can be higher than Min of higher strike put). As a result certain strategies prove difficult to calculate leg prices that satisfy conditions stated above (1,2,3) and also specifically preserve delta relationships (4).
  1. In these rare instances, Paradigm will ask the Maker to input individual leg prices and submit those prices to Deribit. Note that in such cases, Paradigm DOES NOT do any checks to ensure that the leg prices preserve delta relationships and prices will be submitted on an “as is” basis.

Currently, Paradigm does not allow zero or negative prices for the following strategies

  1. Straddles
  2. Strangles
  3. Non-ratio, single-expiration Put and Call Spreads