The payoff, in full.

One ETH, divided at a strike. The floor token holds value up to the strike; the upside token holds everything above it. Here is the arithmetic, the lifecycle, and why nothing gets liquidated.

Worked example

At expiry the series settles at one price, P. The deposited ETH is worth P, and that value splits in two:

floor  = min(P, K) // up to the strike K
upside = max(0, P − K) // everything above
floor + upside = P // always one ETH

Take a series with strike K = $2,000, and say you deposited 1 ETH when ETH was $3,000. You now hold one floor token and one upside token. Here is what each settles to, depending on where ETH lands.

ETH at expiryfloor tokenupside tokensum
$1,200 crash$1,200$0$1,200
$2,000 at strike$2,000$0$2,000
$3,000 flat$2,000$1,000$3,000
$5,000 rally$2,000$3,000$5,000

Read it as two jobs. The floor is flat at $2,000 across the top of the range, a stable dollar claim that only gives way if ETH falls under the strike. The upside is zero until the strike, then tracks ETH one-for-one.

Drag the strike and price on the live chart →

Deposit, settle, redeem

Deposit
Pick a series (a strike and an expiry) and deposit ETH. The vault mints you an equal amount of floor and upside tokens. One ETH in, one of each out.
Hold
Both tokens are ordinary ERC-20s. Sell the floor to lend out your downside; sell the upside to keep a protected floor; or hold both and stay exactly long ETH.
Recombine
Hold one floor and one upside from the same series and burn the pair back into one ETH at any time before expiry. No price needed. The pair is one ETH by construction.
Settle
At expiry the series records a single settlement price. After that, each token redeems for its share of the underlying ETH. That one read is the only time an external price touches the system.

No liquidations

A money-market loan keeps a live oracle and a margin engine running, and seizes your collateral the moment the feed crosses your threshold. It has to: the lender's claim is larger than your buffer, so someone must close the gap in real time.

In Split there is no gap. The floor and upside tokens are carved out of the same ETH already in the vault, and they always sum to it. No one is under-collateralized, so there is nothing to seize and no reason to read a price between deposit and expiry. The worst case for any holder is that their side settles to zero, never more than they hold. There is a settlement oracle, but no real-time oracle.

Precise answers

What sets the settlement price?
A single price read at expiry. It is the only oracle dependency in the system. Between deposit and expiry, price is irrelevant to the contracts.
Where does the floor token's yield come from?
From buying it below the strike. Pay $1,900 for a token that redeems for $2,000 whenever ETH stays above the strike, and the $100 gap is your return, funded by whoever wanted the leveraged upside.
What's the most an upside holder can lose?
Exactly what they paid. If ETH expires at or below the strike, the upside token settles to zero. There is no margin call and no debt, so the loss is capped at entry.
Can I get my ETH back early?
Yes, if you hold both sides. One floor plus one upside from the same series recombine into one ETH on demand, before expiry, with no price involved.
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