Perpetual Options

Perpetual options provide indefinite leveraged delta, gamma, vega, and theta exposure.

Perpetual options are no-expiration options that are subject to Funding. Use them for continuous delta, gamma, vega, and theta exposure without choosing an expiration date.

On Everstrike, perpetual options are priced, margined, and settled in evUSD. They are cash-settled, so no physical delivery of the underlying asset takes place.

The options use a dynamic strike price that is pinned to the 100-hour EMA of the underlier, plus or minus a fixed multiplier that varies by contract. This keeps the contracts relevant in perpetuity.

Specification

Settlement	Cash
Expiration	Perpetual
Pricing Currency	evUSD
Margin Currency	evUSD
Settlement Currency	evUSD
Funding	Hourly
Funding Interval	1h
Max. Funding Rate	10%
Funding Period	10h
Strike Price	EMA₁₀₀ (Underlier) * Multiplier
Strike Price Update Interval	5 seconds

Notes:

• EMA₁₀₀ is the 100-hour Exponential Moving Average.

• Underlier is the Everstrike Index Price of the contract's underlying asset.

• Multiplier is any of [0.90,0.95,0.97,0.99,1,1.01,1.03,1.05,1.10]. Each options contract has a unique Multiplier.

• evUSD refers to Everstrike's internal stablecoin, Everstrike USD.

• Strike Price Update Interval is the interval at which the strike price is updated.

• Max Funding Rate is the maximum funding rate possible for the contract.

• Funding Interval is the interval between each funding exchange. The exchange takes place during the first five seconds of each hour. Trading is disabled during the first ten seconds.

Strike prices

Perpetual options on Everstrike have dynamic strike prices. This removes the need to delist old contracts and list new ones. The default strike price anchor is the 100-hour Exponential Moving Average, or EMA₁₀₀, of the contract's underlier. Contract strike prices cluster around this number using a fixed percentage offset per contract.

This design has several benefits:

• You can trade the same contract in 20 years from now that you are trading today.

• There are no de-listings of contracts. You will never be forced to close out a position due to a contract being de-listed.

• The options chain is completely stable. The same 18 contracts, forever.

The tradeoff is that strike price movement affects P/L. Drift helps you measure that effect.

Example strike price selection

• 1.1 * EMA₁₀₀ (Underlier)

• 1.05 * EMA₁₀₀ (Underlier)

• 1.03 * EMA₁₀₀ (Underlier)

• 1.01 * EMA₁₀₀ (Underlier)

• 1.00 * EMA₁₀₀ (Underlier)

• 0.99 * EMA₁₀₀ (Underlier)

• 0.97 * EMA₁₀₀ (Underlier)

• 0.95 * EMA₁₀₀ (Underlier)

• 0.90 * EMA₁₀₀ (Underlier)

Where EMA₁₀₀ is the 100-hour Exponential Moving Average, and Underlier is the option's underlying asset.

EMA₁₀₀

EMA₁₀₀ refers to the 100-hour Exponential Moving Average. It is calculated using the following formula:

EMA₁₀₀ = EMA_100[Pₜ,Pₜ₋₁,…Pₜ₋₉₉],

where

EMA_100 = 100-length Exponential Moving Average

Pₜ = Everstrike Index Price (right now)

Pₜ₋₁ = Everstrike Index Price (1 hour ago)

Pₜ₋₉₉ = Everstrike Index Price (99 hours ago)

Funding

Funding-based derivatives are subject to Funding. Funding is an hourly exchange of money between longs and shorts.

• Positive funding rate: longs pay shorts.

• Negative funding rate: shorts pay longs.

Funding (Long) = -Funding Rate * Position Size (USD)

Funding (Short) = Funding Rate * Position Size (USD)

Funding takes place during the first five seconds of each hour. During this time, Everstrike takes a snapshot of open positions and debits or credits each trader's margin balance according to the formulas above.

Funding rate

First calculate the premium:

Premium = ((Mark Price - Index Price) / Index Price)

Where:

• Mark Price is the current trading price of the perpetual option.

• Index Price is the spot reference price of the underlying asset.

• Premium is the relative difference between the two.

Next calculate the base funding rate:

Base Funding Rate = Max(dampener, Premium) + Min(dampener, Premium)

For perpetual options, dampener = 1.00.

Finally, calculate the funding rate:

Funding Rate = Base Funding Rate * (Funding Interval/Funding Period)

Funding period

The Funding Period on Everstrike is 10 hours.

Funding interval

The Funding Interval on Everstrike is 1 hour. This makes the gamma and vega profile of options on Everstrike similar to European-style 0DTE options. For more detail, see Perpetual Options: The Greeks.

Drift

Drift is unique to floating-strike options such as perpetual options, Asian options, and floating-strike lookback options. It measures how strike price movement affects intrinsic value. A Drift of 2% means strike price movement increases intrinsic value by 2% per hour. A Drift of -2% means the opposite.

TLDR; Expected hourly percentage change in intrinsic value (from strike price movement only).

Drift is often correlated with the funding rate. A negative Drift will often result in a negative funding rate, and vice versa. Everstrike displays Drift in the frontend UI alongside the funding rate. Unlike funding, Drift is informational only. No transfers ever take place because of Drift.

Read more in Drift.

Settlement

Perpetual options are cash-settled. When you close a position, Everstrike realizes the position P/L and credits it to your cash balance. This happens automatically, usually within one second.

Expiration

Perpetual options do not expire.

Equivalence with perpetual futures

A perpetual call option with strike price zero is functionally equivalent to a perpetual futures contract. They share the same payoff function.

Funding for perpetual futures works in the same way as funding for perpetual options.

Additional notes

• Trading is disabled during the first ten seconds of each hour.

• The hourly funding rate is capped at 10%.

Example 1

A trader buys a perpetual BTC call option for 100 USD. The strike price is pinned to EMA₁₀₀(BTC). At entry, EMA₁₀₀(BTC) is 22,000 and BTC trades at 22,100.

Twelve hours later, EMA₁₀₀(BTC) has risen to 22,100 and BTC trades at 22,500. The trader has paid $100 in funding.

If the trader closes the option now, the net P/L is:

$22,500 - $22,100 - $100 - $100 = $200

This amount is credited to the trader's cash balance on close.

Example 2

A trader buys a perpetual BTC put option for 10 USD. The strike price is pinned to EMA₁₀₀(BTC). At entry, EMA₁₀₀(BTC) is 22,000 and BTC trades at 22,100.

Twelve hours later, EMA₁₀₀(BTC) has risen to 22,100 and BTC trades at 21,500. The trader has paid $300 in funding.

If the trader closes the option now, the net P/L is:

$22,100 - $21,500 - $10 - $300 = $290

This amount is credited to the trader's cash balance on close.