Pricing (Live on CSOVs)
Our CSOV on mainnet uses the AMM pricing to fetch option prices.
Arrow uses market-derived implied volatility curves for a baseline "benchmark" price. It adjusts the bid-ask spreads around the benchmark as a function of hedging costs for its current inventory. For options that do not have reliable implied volatility quotes from outside venues, we extrapolate implied volatility curves using features derived from the underlying price data. Each of these procedures is described in detail in the following pages.
Last modified 12d ago