Cash-settled spreads

A capped call spread collateralized in USDG, settled by one price read after expiry.

Payoff

A band has strike K and width W (cap = K + W).

Up   = min( max(S − K, 0), W )
Down = W − Up

Close price S	Up	Down
S ≤ K	0	W
S = K + W/2	W/2	W/2
S ≥ K + W	W	0

Up is a call spread from K to K + W. Down is its complement: a put spread from K + W down to K.

Prices

Because Up + Down = W at every price, the pool signs one Up quote and the contract derives Down:

Down ask = W − Up bid
Down bid = W − Up ask

Both sides read as cents on the dollar of width. A multiple is W ÷ premium.

Collateral

Locked per contract	ceil(qty × W) USDG, at the time of sale
Margin	None
Liquidation	None
Pool limit	At most 80% of pool value committed to open positions
Matched Up and Down	Recombine. One W covers both.

A buy reverts with inventory if free USDG can't cover the collateral, and with alloc cap past the 80% limit. The largest stake at a multiple m is about free pool ÷ m.

The owner cannot withdraw collateral backing open positions, and a round cannot be cancelled once started.

Settlement

• After maturity plus the settle delay (60 s on BTC and ETH), anyone can settle.
• The contract reads Chainlink latestRoundData() once. It requires a positive answer, a complete round, and an update within maxStaleness. Otherwise it reverts and is retried.
• Holders claim USDG with no deadline.

No price is read when buying, selling or claiming.

Limits

Limit	Value	Where
Bands per side per round	8	Contract
Open rounds per pool	1	Contract
Committed share of pool	80%	Contract, per pool
Payout per contract	W	Contract, fixed per band
Protocol fee	0 (max 500 bps)	Contract, per pool

Live values: Contracts.