FBA Process

The FBA process is similar to traditional auction models implemented in many market places across different asset classes.

The main difference to traditional auction processes is the duration of each auction cycle. Frequent Batch Auction cycles are very short and are immediately followed by the next FBA cycle.

Order Submission Period

During the Order Submission Period of an FBA, new orders can be submitted into the order book, existing orders can be canceled, however no orders are being matched and no match prices are being generated.

Matching (computation) Period

At the end of the Order Submission Period, the Matching Period starts. At this point new orders are not accepted into the current auction cycle any more but are instead placed into a temporary queue outside the orderbook until the next Order Submission Period opens.

During the Matching Phase, IME will evaluate all live Buy and Sell orders including conditional orders.

At the conclusion of the Matching Period the Matching Engine determines a single price for forwards and a single price for call and put options.

Digital options; any linear combinations of risk sharing building blocks get implicitly submitted as RFQs with limit prices associated with them and therefore could be associated with different prices within the same auction cycle, while respecting submitted limit pricing.

Ithaca Strikes

1 central strike: closest rounded to nearest 100$ ETH price

4 strikes, 100,200,300,400$ lower than central strike

4 strikes, 100,200,300,400$ higher than central strike

Barrier strikes ( Knock-In / Knock-Out ) will only be chosen among these 9 strikes.

Ithaca Reference Price

Next auction forward settled on 1st focal auction on expiry Friday + average of uniswap pool settled 10 mins around that same auction. If NA forward more than 0.01% different that Uniswap VWAP, reference fixing is Uniswap.

Ithaca Expiries

• Every Friday within same month

• Every Friday that is less than 31 days away

Ithaca Settlement

Exercise Style: European, auto-exercised

Premium Currency: USDC

Settlement Currency: Depending on user’s portfolio subject to collateral optimization contracts follow partially physical settlement, defined as settlement in the asset of the locked-up collateral and remaining amount as the underlying