How it works

Put mathematical formula into real action

  • Using the Black-Scholes model, we price a 2-Week At-the-money ETHUSD long straddle structure at Vault initiation, considering the latest ETHUSD spot price, strike price, implied volatility, and interest rate.

  • At each delta hedging period, we gather the latest ETHUSD spot price and volatility to recalculate the straddle's delta, determining the "delta-to-hedge." We then execute buy or sell hedging orders using ETHUSDT perpetual contracts on Perpetual Protocol v2 (ETH Layer 2 Optimistic network).

  • This process repeats for each hedge rebalance period until the vault's expiration date, which is two weeks. At that point, we close all open hedging positions

  • Vault users stake USDC to receive a similar payoff to that of a Long Straddle on ETHUSD at the end of the vault settlement, benefiting from ETHUSD's volatile price movements during the period.

Vault Fee Structure:

  • 10% fee applied on profits earned from the vault, designed to align our interests with users

  • No fees applied if vault does not generate profit

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