Settlement

Automatic Settlement

By default, all contracts are auto-exercised at maturity if and only if the contract has exercisable intrinsic value. Contracts cannot be exercised early.

All contracts are ‘cash settled’ in the sense that no party has to provide any additional funds during settlement.

All settlement payouts to holders of contracts are made from locked-up collateral amounts.

Settlement Currency

Due to the collateral optimization mechanism, the currency of the locked-up collateral amount can be either the underlying asset or USDC. Thus the payouts during the settlement process could happen in either asset.

However, users will be able to specify their preference settlement currency and will be able to enter into spot transactions to exchange the settlement currency into their preferred currency should they be different.

An optimal asset auction will be set up right after each expiry auction.

Ithaca Reference Price

Next auction forward settled on first focal auction on expiry Friday + average of uniswap pool settled 10 mins around that same auction.

If the next auction forward is more than 0.01% different from the Uniswap volume-weighted average price (VWAP), reference fixing is Uniswap.

---

Determining Settlement

If a contract has no exercisable intrinsic value, the Final Settlement Amount is 0.

A contract has exercisable intrinsic value according to the table below.

Product Type	Exercisable Intrinsic Value
Vanilla Call Option	Ithaca Reference Price > Strike
Vanilla Put Option	Ithaca Reference Price < Strike
Call Spread Option	Ithaca Reference Price > Lower Strike
Put Spread Option	Ithaca Reference Price < Upper Strike
Binary Call Option	Ithaca Reference Price > Strike
Binary Put Option	Ithaca Reference Price ≤ Strike
Up-And-Out Call Option	Ithaca Reference Price < Barrier Level & Ithaca Reference Price ≥ Strike
Up-And-In Call Option	Ithaca Reference Price ≥ Barrier Level & Ithaca Reference Price ≥ Strike
Down-And-In Put Option	Ithaca Reference Price < Barrier Level & Ithaca Reference Price ≤ Strike
Down-And-Out Put Option	Ithaca Reference Price ≥ Barrier Level & Ithaca Reference Price ≤ Strike Price
Forward Contract	Ithaca Reference Price > 0

Calculating the Settlement Amount

If a contract has exercisable intrinsic value, the calculation of the Final Settlement Amount follows the below set steps:

Step 1 - Calculation of the Intrinsic Value

Product Type	Intrinsic Value
Vanilla Call Option	Ithaca Reference Price minus Strike Price
Vanilla Put Option	Strike Price minus Ithaca Reference Price
Call Spread Option	Min (Upper Strike, Ithaca Reference Price ) minus Lower Strike
Put Spread Option	Upper Strike minus Max (Lower Strike, Ithaca Reference Price )
Binary Call Option	1
Binary Put Option	1
Up-And-Out Call Option	Ithaca Reference Price minus Strike Price
Up-And-In Call Option	Ithaca Reference Price minus Strike Price
Down-And-In Put Option	Strike Price minus Ithaca Reference Price
Down-And-Out Put Option	Strike Price minus Ithaca Reference Price
Forward Contract	Ithaca Reference Price

Step 2 – Calculation of the Scaled Intrinsic Value

The Scaled Intrinsic Value is calculated by multiplying the Intrinsic Value with the position size