Early Close

Trade Closure Mechanism:

If the trade closes automatically upon expiration and is a winning position (select 'Up' with a strike price < close price or 'Down' with a strike price > close price), the user receives the entire trade size and reward (based on the user's payout). In the case of an early close, the amount received is calculated using the Black-Scholes model. However, if the trade closes automatically upon expiration and results in a loss, the user loses the entire trade size.

Calculation Parameters:

• trade size: The size of the trade entered for the 'Up'/'Down' position

• lockedAmount: Trade size * (1 + %payout)

• isAbove: True if selecting 'Up', false if selecting 'Down'

• factorIv: If win, factorIv = iv * 10; If lose, factorIv = iv * 0.5

• strike: Strike price

• closePrice: Close price

• period: Expiration time – Close time

• t: period / 31536000

• d1: (log(closePrice / strike) + factorIv * factorIv * t / 2) / (factorIv * sqrt(t))

• d2: d1 – factorIv * sqrt(t)

• CDF_0: 2260 / 3989

• CDF_1: 6400 / 3989

• CDF_2: 3300 / 3989

• If isAbove = true, d3 = d2; conversely, if isAbove = false, d3 = - d2

• Value: exp(- d2 * d2 / 2) / (CDF_0 + CDF_1 * abs(d2) + CDF_2 * sqrt(d2 * d2 + 3))

• If d3 > 0, Black-Scholes = 1 – value; otherwise, if d3 <= 0, Black-Scholes = value

Early Closure Amount Calculation:

• When closing early, the amount the user receives: profit = lockedAmount * Black-Scholes

• PnL: profit - trade size