Options Settlement

Settlement price

Currently, we are relying on Opyn's infrastructure for option settlement. Opyn uses Chainlink's spot prices as a data source to settle options.

After a few improvements and learnings, we have decided to use Pyth's oracle for settlement price when options expire in-the-money. The reasons as follows:

• Chainlink's data source is not designed to be used for expiries because it uses data sources such as aggregators (CoinGecko or CoinMarketCap) which are often delayed.

• Pyth provides a more accurate view of the price data due to how it fetches real-time price data from exchanges.

wstBNB and rBNB options

Synthetic Realities's vaults writes options that are collateralized with liquid staking derivative tokens such as wstBNB (Wrapped Staked BNB) and rBNB (Rocket Pool BNB).

There are some core differences for how settlement price is calculated for these options. How the settlement price is calculated is as below:

1. We figure out how much stBNB each wstBNB can be unwrapped for.

2. We treat 1 stBNB as 1 BNB from a price perspective.

3. We set the expiry price to the price of BNB.