The rule
The crypto contract terms say:
“If no data is available or incomplete on the Expiration Date at the Expiration Time, then affected strikes resolve to No.”
If the index fails to publish, or publishes incompletely, over the settlement minute, every YES position loses and every NO position wins, wherever the price actually was.
Who carries the risk
- A YES holder carries a small chance of total loss that has nothing to do with the market. A NO holder carries the mirror image, a small chance of a windfall.
- It bites hardest where it looks safest. Buy YES at 98 cents to collect 2 cents, and an outage costs 98 cents on a trade that could only ever pay 2.
- It hits everything at once. The crypto series settle on CF Benchmarks indices, so one outage at the same expiry would push every open YES position the same way.
What does not protect you
Refusing to trade on stale data stops you opening a position during an outage. It does nothing for a position that was already open when the data stopped. Only the size of the YES positions you hold into expiry limits this loss.
How to think about it
Treat every YES position held into expiry as carrying an extra loss term you cannot measure well, because outages are rare and their frequency is unknown. When two trades look equally good, the NO side does not carry it.