ParaapeGrid
Six drops. Five terms. LPs pick a drop. Buyers pick a drop and a term.
Liquidity sits on a fixed grid so buyers and underwriters meet in a few cells instead of a custom market for every number.
Drops
50, 60, 70, 80, 90, and 95 percent below the entry average.
95 percent is the deepest line. A 100 percent line would require the average to reach zero, which a TWAP almost never does, so it would never pay.
The buyer buys one drop. The underwriter deposits into one drop. Duration is not an LP axis.
Terms
1, 3, 7, 14, and 30 days.
The term sets expiry and the premium horizon. It does not slice the cells. An LP who backs 70 percent can fill a 1-day policy and a 30-day policy at that drop.
expiry is purchase time plus the term. Cover is only enforceable after activeFrom, which is 30 minutes later. The clock and the live window are not the same length.
Who can fill whom
A cell can back a policy when the policy needs a drop at least as deep as the cell agreed to pay.
cell backs policy when policy drop >= cell dropA 90 percent buyer can be filled by both cells, strictest first. A 70 percent buyer cannot touch the 90 percent cell. That LP never agreed to pay on a smaller fall.
Example. Cell A is 90 percent. Cell B is 70 percent.
| Buyer asks | A | B | Fill |
|---|---|---|---|
| 90% | Yes | Yes | A first, then B |
| 80% | No | Yes | B |
| 60% | No | No | Purchase reverts |
Strictest cell first keeps deep-only capital available for deep policies.
The buyer sets a minimum coverage. If eligible cells cannot supply at least that much, the purchase reverts.