ETH Long Volatility: $ETHv

ETH Long Volatility: $ETHv

Taking advantage of the brand new Lyra Finance integration on Optimism, Toros is launching a suite of new Dynamic Vaults incorporating Options.

The first in this suite of strategies is a product built to long volatility on ETH, with the token name $ETHv.

Strategy

This automated strategy aims to profit from volatility on the ETH price.

It does this by buying out-of-the-money puts and calls on a one-month expiry basis.

Backtesting results below show the strategy performance modelled from Sept 2021 to the end of August 2022. This shows the strategy outperforms when the ETH price volatility spikes, and underperforms when ETH trades within a strategy determined range.

ETHv backtesting Sep 21 - Aug 22

Exiting ETHv close to Option Expiry

Given that a key tenet of dHEDGE pools is that users are always able to access their assets at any time (i.e. no locked up funds), timing a withdrawal carefully from ETHv may be necessary to avoid any force close penalties.

When an option position is within 12hrs of expiry, or out of tradeable range, exiting your ETHv position may result in the options component being ‘force closed’ and incurring a trading penalty.

From the Lyra docs:

📘
Traders will only be able to close existing positions that are outside of the delta cutoff range OR with less than 12 hours to go using the ForceClose mechanism, which incurs a penalty for doing so.

For more on Trading Cutoffs, see: https://docs.lyra.finance/overview/how-does-lyra-work/trading#trading-cutoffs

Automated Options Strategies on Toros Finance

To get started, check out the strategy on Toros here: https://toros.finance/pool/0x44ca2d499e6254dfdc17fdef8c23e7283e7c24e4

Further analytics for this strategy can be found on dHEDGE here:
https://app.dhedge.org/pool/0x44ca2d499e6254dfdc17fdef8c23e7283e7c24e4


About Toros Finance

Toros Finance is a dHEDGE incubated protocol integrating Aave, 1inch, Uniswap and Lyra. Toros Finance aims to simplify access to complex derivative strategies, safely, via offering these strategies through a single token.
Toros Finance offers a suite of on-chain tokenized derivatives products. Toros is currently deployed on Polygon and Optimism.