Close Option

You can close any number of options you have. The liquidity pool buys back your options using the exact same Black-Scholes pricing that it used to sell you the options.

For closing an option position, you can submit a market close order. Price-triggered exits are handled through TP/SL orders, not through a separate limit-close order. You can choose to receive either currency of the pool when closing.

Partial and Full Close

A close can consume part of the option position or the full remaining position. For a partial close, the closed contract quantity, premium value, and close fee are applied to the closed fraction. The remaining option position keeps the unclosed quantity.

For a full close, the option position is terminal. The position account is closed and rent is returned to the owner. If the position has a companion TP/SL orderbook, that orderbook can only be closed when no TP or SL orders remain, and the position's tp_sl_orderbook pointer is cleared when the orderbook closes.

Close Price

Closing an option means selling the option back to the liquidity pool at the current Black-Scholes value:

$$V(S, K, r, \sigma, T)= \begin{cases} S\,N(d_1)-K e^{-rT}\,N(d_2), & \text{call option},\\ K e^{-rT}\,N(-d_2)-S\,N(-d_1), & \text{put option}. \end{cases}$$

Where:

• S is the current oracle price
• K is the strike price
• sigma is the current volatility
• T is the remaining time to expiry
• r is the option's fixed-rate input

The option rate depends on option type:

$$r_{\text{option}}= \begin{cases} r_\text{TOKEN-fixed}, & \text{call option},\\ -r_\text{USDC-fixed}, & \text{put option}. \end{cases}$$

The closed premium value is:

$$\text{premium value}_\text{closed} = V(S,K,r,\sigma,T)\cdot q_\text{closed}$$

Close Settlement

The settlement amount is:

$$\text{settlement} = \text{premium value}_\text{closed} -\text{close fee}$$

If settlement is positive, the owner receives the payout in the selected receive currency. If settlement is zero, there is no positive payout to send.

Closing before expiry is different from exercising. A close uses Black-Scholes value and can happen while the option still has time value. Exercise uses intrinsic payoff and is only allowed manually when the option is in the money.