Option Pricing

💸 Option Pricing & Fee Model

The cost of holding a perpetual option on Scall.io is based on a real-time rent model, paid by traders to Liquidity Providers (LPs) in exchange for access to locked liquidity at a specific strike price.

📈 How Pricing Works

When a trader opens an option, they are renting liquidity from LPs. This rent is charged continuously per block, and is calculated based on the Open Interest (the size of the position) and a Annual Percentage Rate (APR) chosen by LPs.

• When providing liquidity, LPs set the APR at which their liquidity can be rented, such as 20%, 30%, or higher.

• At an APR of 20%, for every $100 of notional exposure, the trader renting this liquidity pays $20 per year (pro-rated per block).

• The rent continues as long as the position is open.

💡 The larger the position, the higher the rent.

🧮 Why This Model?

This model ensures that:

• All LPs are free to choose the risk–reward profile for their liquidity, creating a supply-and-demand–driven market for perpetual options.

• Traders can open perpetual call or put options at a fair price determined by the Liquidity Providers.

LPs are compensated fairly:

• They lock assets (e.g., BTC) at predefined strike prices.

• In doing so, they accept the risk that their assets might be exercised (e.g., swapped for USDC at the strike price).

• In return, they receive a stream of yield at the defined APR.

This creates a market equilibrium:

• LPs are incentivized to provide liquidity where there is demand.

• Traders may find cheaper liquidity for strike prices that are farther from the current market price, similar to a traditional (non-perpetual) options market.