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Add 2610 options, add long and short options at once (#22)
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* Update option adding to add long and short at once

* Add 2610 options
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@tensojka
tensojka authored Sep 20, 2023
1 parent b4d3f14 commit 3a7475a
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3 changes: 1 addition & 2 deletions prompts.txt
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Original file line number Diff line number Diff line change
@@ -1,6 +1,5 @@
Please check the code in a language you don't yet know (developed after your knowledge cutoff) for consistency on the following:
- function add_ddmm_options should add options that expire at 23:59:59 GMT+0000 (last second GMT) on the given day
- every short option must have a corresponding long option and vice versa. Both options in a pair must have the same volatility.
- function add_ddmm_options (where ddmm mean day day month month) should add options that expire at 23:59:59 GMT+0000 (last second GMT) on the given day
- there are three call options and two put options for each maturity. Put options have lower strike prices than call options.
- volatilities closer to current spot price (in between highest put option and lowest call option) usually have the lowest implied volatility, more OTM options have higher volatility.
- the strike price in the name of the option is the same as the one in the strike_price parameter.
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6 changes: 3 additions & 3 deletions src/contract.cairo
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Expand Up @@ -30,7 +30,7 @@ trait IGovernance<TContractState> {

// OPTIONS

fn add_0510_options(ref self: TContractState);
fn add_2610_options(ref self: TContractState);
}


Expand Down Expand Up @@ -153,8 +153,8 @@ mod Governance {
Airdrop::claim(address, amount, proof)
}

fn add_0510_options(ref self: ContractState) {
Options::run_add_0510_options()
fn add_2610_options(ref self: ContractState) {
Options::run_add_2610_options()
}
}
}
153 changes: 64 additions & 89 deletions src/options.cairo
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Original file line number Diff line number Diff line change
Expand Up @@ -37,6 +37,7 @@ mod Options {
const VOLATILITY_34: Math64x61_ = consteval_int!(34 * 2305843009213693952);
const VOLATILITY_35: Math64x61_ = consteval_int!(35 * 2305843009213693952);
const VOLATILITY_35_5: Math64x61_ = 81857426827086135296;
const VOLATILITY_36: Math64x61_ = consteval_int!(36 * 2305843009213693952);
const VOLATILITY_38: Math64x61_ = 87622034350120370176;
const VOLATILITY_38_5: Math64x61_ = 88774955854727217152;
const VOLATILITY_39: Math64x61_ = consteval_int!(39 * 2305843009213693952);
Expand Down Expand Up @@ -84,8 +85,8 @@ mod Options {
// TODO add auto generation of FutureOption structs once string contacenation exists
#[derive(Copy, Drop, Serde)]
struct FutureOption {
name: felt252,
option_side: OptionSide,
name_long: felt252,
name_short: felt252,
maturity: felt252,
strike_price: Math64x61_,
option_type: OptionType,
Expand All @@ -112,21 +113,20 @@ mod Options {
+ o.strike_price
+ o.maturity
+ o.option_type
+ o.option_side
+ o.lptoken_address.into()
+ o.initial_volatility;

let proxy_class_hash: ClassHash = proxy_class.try_into().unwrap();
let opt_class_hash: ClassHash = opt_class.try_into().unwrap();
let optoken_addr: ContractAddress = deploy_via_proxy(
let optoken_long_addr: ContractAddress = deploy_via_proxy(
proxy_class_hash, opt_class_hash, custom_salt
);

IOptionTokenDispatcher {
contract_address: optoken_addr
contract_address: optoken_long_addr
}
.initializer(
o.name,
o.name_long,
'C-OPT',
governance_address,
amm_address,
Expand All @@ -135,21 +135,56 @@ mod Options {
o.option_type,
o.strike_price,
o.maturity,
o.option_side
TRADE_SIDE_LONG
);

IAMMDispatcher {
contract_address: amm_address
}
.add_option(
o.option_side,
TRADE_SIDE_LONG,
o.maturity,
o.strike_price,
quote_token_address,
base_token_address,
o.option_type,
o.lptoken_address,
optoken_addr,
optoken_long_addr,
o.initial_volatility
);

let optoken_short_addr: ContractAddress = deploy_via_proxy(
proxy_class_hash, opt_class_hash, custom_salt + 1
);

IOptionTokenDispatcher {
contract_address: optoken_short_addr
}
.initializer(
o.name_short,
'C-OPT',
governance_address,
amm_address,
quote_token_address,
base_token_address,
o.option_type,
o.strike_price,
o.maturity,
TRADE_SIDE_SHORT
);

IAMMDispatcher {
contract_address: amm_address
}
.add_option(
TRADE_SIDE_SHORT,
o.maturity,
o.strike_price,
quote_token_address,
base_token_address,
o.option_type,
o.lptoken_address,
optoken_short_addr,
o.initial_volatility
);
}
Expand All @@ -167,7 +202,7 @@ mod Options {
res
}

fn run_add_0510_options() {
fn run_add_2610_options() {
let mut state = Governance::unsafe_new_contract_state();
assert(
!proposal_initializer_run::InternalContractStateTrait::read(
Expand All @@ -179,11 +214,11 @@ mod Options {
ref state.proposal_initializer_run, 30, true
);

add_0510_options();
add_2610_options();
}

fn add_0510_options() {
let MATURITY: felt252 = 1696550399;
fn add_2610_options() {
let MATURITY: felt252 = 1698364799;

let eth_lpt_addr: ContractAddress =
0x7aba50fdb4e024c1ba63e2c60565d0fd32566ff4b18aa5818fc80c30e749024
Expand All @@ -198,124 +233,64 @@ mod Options {
to_add
.append(
FutureOption {
name: 'ETHUSDC-05OCT23-1700-LONG-CALL',
option_side: TRADE_SIDE_LONG,
maturity: MATURITY,
strike_price: STRIKE_PRICE_1700,
option_type: OPTION_CALL,
lptoken_address: eth_lpt_addr,
initial_volatility: VOLATILITY_31_5
}
);
to_add
.append(
FutureOption {
name: 'ETHUSDC-05OCT23-1800-LONG-CALL',
option_side: TRADE_SIDE_LONG,
maturity: MATURITY,
strike_price: STRIKE_PRICE_1800,
option_type: OPTION_CALL,
lptoken_address: eth_lpt_addr,
initial_volatility: VOLATILITY_38
}
);
to_add
.append(
FutureOption {
name: 'ETHUSDC-05OCT23-1900-LONG-CALL',
option_side: TRADE_SIDE_LONG,
maturity: MATURITY,
strike_price: STRIKE_PRICE_1900,
option_type: OPTION_CALL,
lptoken_address: eth_lpt_addr,
initial_volatility: VOLATILITY_46_5
}
);
to_add
.append(
FutureOption {
name: 'ETHUSDC-05OCT23-1500-LONG-PUT',
option_side: TRADE_SIDE_LONG,
maturity: MATURITY,
strike_price: STRIKE_PRICE_1500,
option_type: OPTION_PUT,
lptoken_address: usdc_lpt_addr,
initial_volatility: VOLATILITY_35_5
}
);
to_add
.append(
FutureOption {
name: 'ETHUSDC-05OCT23-1600-LONG-PUT',
option_side: TRADE_SIDE_LONG,
maturity: MATURITY,
strike_price: STRIKE_PRICE_1600,
option_type: OPTION_PUT,
lptoken_address: usdc_lpt_addr,
initial_volatility: VOLATILITY_30
}
);
to_add
.append(
FutureOption {
name: 'ETHUSDC-05OCT23-1700-SHORT-CALL',
option_side: TRADE_SIDE_SHORT,
name_long: 'ETHUSDC-26OCT23-1700-LONG-CALL',
name_short: 'ETHUSDC-26OCT23-1700-SHORT-CALL',
maturity: MATURITY,
strike_price: STRIKE_PRICE_1700,
option_type: OPTION_CALL,
lptoken_address: eth_lpt_addr,
initial_volatility: VOLATILITY_31_5
initial_volatility: VOLATILITY_32
}
);
to_add
.append(
FutureOption {
name: 'ETHUSDC-05OCT23-1800-SHORT-CALL',
option_side: TRADE_SIDE_SHORT,
name_long: 'ETHUSDC-26OCT23-1800-LONG-CALL',
name_short: 'ETHUSDC-26OCT23-1800-SHORT-CALL',
maturity: MATURITY,
strike_price: STRIKE_PRICE_1800,
option_type: OPTION_CALL,
lptoken_address: eth_lpt_addr,
initial_volatility: VOLATILITY_38
initial_volatility: VOLATILITY_36
}
);
to_add
.append(
FutureOption {
name: 'ETHUSDC-05OCT23-1900-SHORT-CALL',
option_side: TRADE_SIDE_SHORT,
name_long: 'ETHUSDC-26OCT23-1900-LONG-CALL',
name_short: 'ETHUSDC-26OCT23-1900-SHORT-CALL',
maturity: MATURITY,
strike_price: STRIKE_PRICE_1900,
option_type: OPTION_CALL,
lptoken_address: eth_lpt_addr,
initial_volatility: VOLATILITY_46_5
initial_volatility: VOLATILITY_41
}
);
to_add
.append(
FutureOption {
name: 'ETHUSDC-05OCT23-1500-SHORT-PUT',
option_side: TRADE_SIDE_SHORT,
name_long: 'ETHUSDC-26OCT23-1500-LONG-PUT',
name_short: 'ETHUSDC-26OCT23-1500-SHORT-PUT',
maturity: MATURITY,
strike_price: STRIKE_PRICE_1500,
option_type: OPTION_PUT,
lptoken_address: usdc_lpt_addr,
initial_volatility: VOLATILITY_35_5
initial_volatility: VOLATILITY_36
}
);
to_add
.append(
FutureOption {
name: 'ETHUSDC-05OCT23-1600-SHORT-PUT',
option_side: TRADE_SIDE_SHORT,
name_long: 'ETHUSDC-26OCT23-1600-LONG-PUT',
name_short: 'ETHUSDC-26OCT23-1600-SHORT-PUT',
maturity: MATURITY,
strike_price: STRIKE_PRICE_1600,
option_type: OPTION_PUT,
lptoken_address: usdc_lpt_addr,
initial_volatility: VOLATILITY_30
initial_volatility: VOLATILITY_32
}
);

add_options(05102383684012, to_add.span())
add_options(261023836812, to_add.span())
}
}

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