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Single Staking Options Vault (SSOV)

What are SSOVs?

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 or PUT options to buyers at fixed strikes that they select for different expiries.

How do they work?

  1. 1.
    Prior to the beginning of a new epoch, strikes are set for the expiry of the vault.
  2. 2.
    Users lock collateral into this vault and select fixed strikes that they want to sell their options at.
  3. 3.
    The contract deposits the collateral locked into a protocol for additional yield.
In essence, users will be selling covered options at low risk with no need for intensive knowledge on option Greeks.

Option Specs

Attribute
Value(s)
Style
European
Expiries
Monthly, Weekly, Quarterly
Expiry Time
Friday, 8:00 AM UTC
Settlement
Cash-settled
Margin requirements (writing)
Fully backed by collateral
Calls - Base asset Puts - Quote asset
Option Token Standard
ERC20

Exercise & Settlements

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:
For calls:
PnL=((PriceStrike)Amount)/PricePnL = ((Price - Strike) * Amount) / Price
For puts:
PnL=(StrikePrice)AmountPnL = (Strike - Price) * Amount
Here Price is the current price of the asset and Amount is the amount of options being exercised.

Fees

Fee Multiplier
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.
Example:
  • 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:
SSOVs
Structure
ETH SSOV
Purchase → 0.10% of Underlying * Amount
rDPX SSOV
Purchase → 0.25% of Underlying * Amount
DPX SSOV
Purchase → 0.125% of Underlying * Amount
gOHM SSOV
Purchase → 0.125% of Underlying * Amount
GMX SSOV
Purchase → 0.125% of Underlying * Amount
BTC SSOV
Purchase → 0.125% of Underlying * Amount
CRV SSOV
Purchase → 0.125% of Underlying * Amount
The above mentioned structure and distribution will be continuously monitored and evaluated and updated
For more information check out our blog posts:
Last modified 14d ago