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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