L-21·

Missing slippage protection in strike price calculation for options

Not reportedoptionsleverageblack-scholes

TL;DR

The protocol's option creation process lacks protection against price slippage between the time a user submits a transaction and when it's executed.

Severity

LOW

Method

MManual review

CAT.

The protocol's option creation process lacks protection against price slippage between the time a user submits a transaction and when it's executed. Here's the problematic flow:

solidity

// In OperationalTreasury.sol
function buy(
    IStrategy strategy,
    address holder,
    uint256 amount,
    uint256 period,
    uint256 relativeStrike,  // User inputs relative strike
    uint256 iv,
    IvSignerRecovery.SplitSig memory sig
) external virtual override nonReentrant whenNotPaused {
    _checksOnBuy(strategy, period, relativeStrike, iv, sig);
    _buy(holder, strategy, amount, period, relativeStrike, iv);
}

// In Call.sol
function _calculateStrike(uint256 preciseCurrentPrice, uint256 relativeStrike)
    internal
    view
    override
    returns (uint256)
{
    uint256 calculatedStrike = preciseCurrentPrice + ((preciseCurrentPrice * relativeStrike) / 100);
    return _roundPrice(calculatedStrike);
}

// In Put.sol
function _calculateStrike(uint256 preciseCurrentPrice, uint256 relativeStrike)
    internal
    view
    override
    returns (uint256)
{
    uint256 calculatedStrike = preciseCurrentPrice - ((preciseCurrentPrice * relativeStrike) / 100);
    return _roundPrice(calculatedStrike);
}

The issue arises because:

Users specify a relativeStrike percentage for their desired strike price.
The actual strike price is calculated using the currentPrice at execution time.
Between transaction submission and execution:
- The underlying asset price may change significantly.
- This leads to a different strike price than what the user intended and users have no control over the final strike price.

For example:

User wants a 10% call when ETH is $2000.
Expected strike: $2200.
If the price moves to $2100 before execution.
Actual strike: $2310 (10% above $2100).

This could make the option much more expensive or less profitable, and this could lead to a bad user experience.

Recommendations:

Implement slippage protection for strike price calculation.

02Section · Report provenance

Report provenance

Published by Pashov Audit Group, with Carlos (Bloqarl) participating as a contractor. The source report states that its fixes review was not fully completed; no final remediation disposition is recorded for this finding. Read the full report.