Introducing SqueethLab

A simple way to track you squeeths

Squeeth is a contract from opyn that tracks the squared ethereum price. The squeeth system works by by transferring funding payments typically from longs to shorts.

The flows look like this:

Squeeth flows

• Longs pay shorts funding
• Shorts pay longs 2* (eth return) + (eth return)²
• Longs and shorts exchange implied volatility
• Shorts gets collateral return from deposited eth

Long squeeth return

There is an easy way to think about the daily return from a squeeth position (if no change in implied volatility).

Long squeeth return ≈ 2 * (eth return) + (eth return)²-funding

If the funding rate is 0.24% (see below) and the eth return over a day is 5%, the return will be (approximately):

2 * (5%) + (5%)² -0.24% = 10.01%

Daily funding is 0.24%

Short squeeth return

Long squeeth return is the opposite of short squeeth return, with an added term for returns on ETH collateral.

Short squeeth return ≈ -2 * (eth return) - (eth return)²+ funding + CR*(eth return)

(where CR is the collateral ratio). If the collateral ratio is 2, the return is

-(eth return)² +funding

If the funding rate is 0.24% and the eth return on over a day is 5%, the return is

-(5%)² +0.24% = -0.01%

Squeeth greeks (squeeks)

Another useful way to think about squeeth returns is as a combination of payoffs to different sensitivities.

Squeeth payoff = delta * (change in eth price) + ½ gamma * (change in eth price)² + theta * (change in time) + vega * (change in implied volatility)

We have an example in the spreadsheet here

So if one day passes and the eth price goes up by $100 and implied volatility increases by 10% the total increase in value is approximately

44.91 * (100) + 0.5* 0.01878 * (100)² + 4651.02 * (0.1) + -43653.3 * (1/365) =$4930.4

SqueethLab

SqueethLab is the state-of-the-art in Squeeth calculation spreadsheets. It has a streamlined interface, two attractive colors for charts, and input cells marked by pleasingly bright green cells.

SqueethLab is state-of-the-art spreadsheet design

Put your own portfolio into the spreadsheet here to see how your squeeth varies with price, volatility, and time.

Happy squeething! 🎉