Settlement - Rails Trading Developer API Documentation

The formulas Rails uses to settle contracts at expiry. For a conceptual overview, see the Settlement & Expiry guide.

Notation

Symbol	Meaning
`S`	Settlement price of the underlying at expiry
`K`	Strike price
`qty`	Position quantity — positive for long, negative for short
`value`	Position value (positive for long, negative for short)
`payoff`	Total payoff for the position
`Index`	Index price at settlement

Per-contract payoff, settled against the settlement price S:

Option type	Per-contract payoff
Call (`C`)	`MAX(S − K, 0)`
Put (`P`)	`MAX(K − S, 0)`

Total payoff scales by the absolute position size:

payoff = perContractPayoff × |qty|

Side	Formula
Long (`qty > 0`)	`payoff − value`
Short (`qty < 0`)	`	value	− payoff`

A delivery fee applies to profitable long positions at settlement, capped at the payoff:

deliveryFee = MIN(0.00015 × Index × qty, payoff)

Settlement results — including per-position payoff, settlementPrice, and realizedPnl — are delivered on the Settlements Stream.

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