Infrastructure
Exchange
Time-Weighted Average Price (TWAP) settlement for options expiry and derivatives settlement. Aggregated from 30+ exchange sources over a 30-minute observation window, with USD normalisation and data quality validation for institutional-grade settlement pricing.
When a derivatives contract expires, the settlement price determines who gets paid. If that price comes from a single snapshot on a single exchange, it’s contestable. Thin liquidity at expiry, flash wicks, and venue-specific microstructure can all produce settlement prices that don’t reflect the broader market. For exchanges settling billions in notional monthly, this isn’t a theoretical risk — it’s an operational one.
Settlement prices are calculated using a Time-Weighted Average Price (TWAP) across a 30-minute observation window leading up to expiry. Rather than relying on a single price at a single moment, the TWAP weights each observed price by the duration it persisted. Prices that held for longer periods contribute proportionally more to the final settlement value — smoothing out momentary spikes and flash wicks that would distort a point-in-time snapshot.
Price data is aggregated from 30+ sources at tick-level granularity. For each second within the observation window, prices from all reporting exchanges are collected. The composite index takes priority over individual exchange prices when available — ensuring the settlement reflects an exchange-weighted market view rather than any single venue’s conditions.
Not all exchanges denominate in USD. Prices quoted in USDC or USDT are normalised to USD using real-time conversion rates, ensuring the final settlement price is consistent regardless of which stablecoin a venue uses for its spot market.
Raw price data is filtered for NaN values, out-of-range prices, and non-numeric entries before entering the TWAP calculation. If more than 5% of minutes within the observation window lack data from any source, quality alerts trigger for manual review.
A settlement price is marked as final only when data beyond the expiry timestamp is confirmed from all contributing exchanges. This ensures the TWAP window is complete and no late-arriving data would change the calculation. Until finality is confirmed, the settlement price is provisional.
Options contracts settle against the TWAP price at expiry. The 30-minute averaging window and multi-exchange aggregation produce a reference price resistant to manipulation and representative of the broader market during the settlement period.
Between settlement dates, calibrated implied volatility surfaces provide mark prices for any strike and expiry combination, including OTC positions that don’t correspond to listed contracts.
Exchanges offering cross-margin across options, futures, and perpetuals need consistent reference pricing. TWAP-based settlement pricing from a composite index ensures the reference is internally consistent across instrument types.
Settlement pricing draws from 30+ sources including Deribit, Bybit, OKX, GateIO, and additional major venues. Tick-level data is aggregated and weighted across the full 30-minute observation window. Historical settlement prices are available via REST API for reconciliation and audit.
