Similar to single staking vaults, SSOVs allow users to lock up tokens for a specified period of time and earn yield on their staked assets. Users will be able to deposit assets into a contract which then sells your deposits as call options to buyers at fixed strikes that they select for end-of-month expiries.
SSOV call options are either at the money, out of the money, or far out of the money.
Prior to the beginning of a new epoch, strikes are set for the month-end.
Users lock assets into this vault and select fixed strikes that you’d like to sell calls at.
The contract deposits the users' tokens into a single staking pool for farming rewards and also earns a yield from selling covered calls.
In essence, users will be selling covered calls at low risk with no need for intensive knowledge on option Greeks.
Buyers will be able to purchase calls from the vaults using the base asset. On the platform frontend, users will be able to use stablecoins or $ETH for purchases but they will be routed through Sushiswap on Arbitrum and swapped to the base asset of the SSOV.
As it’s European options purchasers will have to wait until expiry to exercise
SSOV depositors will receive yield proportional to how close to ATM strikes are being locked into. Users don’t lose any USD notional value, however, they do have a chance of losing a % of staked assets.
SSOV will appeal to USD denominated traders and will also give incentives for users to raise prices higher.
8:00 AM UTC
Base Asset (DPX, rDPX etc)
Black-scholes based on 30 day RV from oracles
Margin requirements (writing)
Fully backed by collateral
Calls - Base asset
Option Token Standard
Exercise & Settlements
All SSOV options expire at 8:00 AM UTC and can be exercised during a 1 hour window before the expiry time i.e between 7:00 AM UTC to 8:00 AM UTC.
Settlements on option exercises happen without requiring the underlying asset and hence are net settlements. The PnL (Profit & Loss) of the option is calculated and if it is +ve then the exercise can go through which burn the option tokens and transfer the PnL in the settlement asset to the user.
PnL is calculated in the following manner:
Here Price is the current price of the asset and Amount is the amount of options being exercised.
The settlement price is a TWAP (Time-Weighted Average Price) of the Sushiswap DPX/ETH pool combined with a chainlink pricefeed of ETH/USD to compute the final price of DPX in USD. The time period of the TWAP is 2 hours.
The settlement price is a TWAP (Time-Weighted Average Price) of the Sushiswap rDPX/ETH pool combined with a chainlink pricefeed of ETH/USD to compute the final price of rDPX in USD. The time period of the TWAP is 2 hours.