Vincent LuStructured Savings Design in CryptosThere are more and more crypto derivatives in cryptos these years. You can easily trade options on Deribit.com, or you can trade in a…Aug 16, 20221Aug 16, 20221
Vincent LuThetaNuts StrongholdThetanuts stronghold is an index of put selling/covered call portfolios. It is a new type of structured products in option market. In…Jun 14, 2022Jun 14, 2022
Vincent LuEstimating TVL’s PnL in Lyra.Finance of Each RoundLyra.finance is an option trading platform in DeFi. Lyra makes a great TVL in the last months in 2021 but in 2022, its TVL shrinks as the…May 31, 2022May 31, 2022
Vincent Lu一文讀懂Lyra Finance(四):Vega風險溢價的計算Vega是期權價格對於隱含波動率的一階偏導數,在Lyra中,表示當隱含波動率上升1%的時候,期權價格的變化(也就是LP池子的損益),計算Vega的風險和時間密切相關。簡單來說,我們必須先考慮那些即將到期的Vega風險,對於那些遠未到期的Vega風險則可以暫時不管,在這裏,Lyra…Dec 23, 2021Dec 23, 2021
Vincent Lu一文讀懂Lyra Finance(三):對沖策略Lyra的對沖池Hedge Pool進行了有效的Delta對沖以保證Delta中性,盡最大程度避免了LP的Delta風險暴露。那麼Lyra是如何進行Delta對沖的呢?Dec 23, 2021Dec 23, 2021