Single Staking Options Vault (SSOV)
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.
- 1.Prior to the beginning of a new epoch, strikes are set for the month-end.
- 2.Users lock assets into this vault and select fixed strikes that you’d like to sell calls at.
- 3.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.
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.
All options are auto-exercised on expiry by default and can be settled any time after expiry at your convenience.
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 30 minutes.
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 30 minutes.
We have introduced an updated fee structure for SSOVs calling it the Fee Multiplier for all our current and upcoming Single Staking Options Vaults (SSOVs). The Fee multiplier is a simple % based multiplier that multiplies fees for Out of the Money (OTM) strikes to account for higher volatilities.
- Strike - 2000 Current Price of Asset - 1000
- Fee Multiplier = 1 + ((2000/1000) - 1)
- Final Fee = Base Fee * Fee Multiplier
The following Fee Multiplier structures are implemented:
The above mentioned structure and distribution will be continuously monitored and evaluated for the next couple of months.
For more information check out our blog posts: