Product Recipe

Perpetual Option

Points:

• Options with strike prices based on Uniswap ticks.

• Strangle and Spread can be composed.

• Option is curved and has a slow Gamma.

Call/Put Option

Describe the basic positions that can be expressed using Uni LPT. $Example: x = ETH, y = USDC, \sqrt{s} = \sqrt{P_{twap}}$

①: exchange USDC for ETH and mint LPT.

②: mint LPT with USDC.

③: borrow ETH and mint LPT.

④: borrow ETH and mint LPT.

⑤: borrow ETH, exchange it for USDC, and mint LPT.

⑥: borrow LPT, exchange ETH in LPT for USDC, and use the USDC as Margin for LPT.

⑦: borrow LPT and use the USDC in LPT as Margin.

⑧: borrow LPT and use the ETH in LPT as Margin.

Strangle/Spread Position

⑥ + ⑦: Simply combine ⑥ and ⑦. By having a range (described below), it will be close to the Predy v2 gamma long (Delta Neutral).

① + ⑧: By using ① as Margin for ⑧, the required margin can be minimized.

• Borrow $LPT_{k1}$ at ⑧ and burn.
• Exchange USDC in $LPT_{k1}$ for ETH.
• Mint $LPT_{k2}$ using ETH in ①.
• $LPT_{k2}$ as Margin for ⑧.

④ + ⑤:

• Borrow $LPT_{k2}$ at ⑤ and burn.
• Exchange ETH in $LPT_{k2}$for USDC.
• Mint $LPT_{k1}$using USDC in ④.
• $LPT_{k1}$ is used as Margin for ⑤.

Option Curve

By having a range, a gradual change in gamma can be achieved in ① ~ ⑧ above.