Strategy Breakdown

Options-based vault with on-chain settlement

USDC Vault

Options-based vault, also known as the Synthetic Liquidity Provider (LP) Impermanent Loss (IL) Hedged Strategy, is constructed upon a suite of call and put options (with different strike prices and weights) designed to replicate the payout structure of a Uniswap v3 liquidity pool (LP) within a pre-determined maturity.

The key advantage of this strategy lies in the ability to secure a fixed yield (in the form of option premiums) while simultaneously mitigating potential losses (hedging the downside). Moreover, given the option-based nature of the strategy, the returns are not constrained by Vault TVL - increasing/decreasing liquidity in the vault does not impact the APR.

The yield, or coupon, accrues daily and is distributed upon reaching maturity, which typically spans from 1 to 5 weeks.

Users are afforded flexibility in depositing and withdrawing their assets within a defined time frame, all while the vault undergoes a transition between two distinct epochs. Each epoch corresponds to a specific time window during which the vault strategy, along with its associated parameters, is implemented.

ETH Vault

Similar to the USDC Vault, the ETH Vault replicates the payoff of a position in Uniswap v3 liquidity pool while hedging against Impermanent Loss on ETH/USD.

By depositing into the ETH Synthetic LP IL-hedged Vault, users gain directional exposure and generate yield in wstETH (yield-bearing ETH token). As the benchmark is ETH, the Vault is best suited for users looking to accumulate ETH in the long term.

BTC Vault

Similar to the ETH Vault, the BTC Vault replicates the payoff of a position in Uniswap v3 liquidity pool while hedging against Impermanent Loss on BTC/USD.

By depositing into the BTC Synthetic LP IL-hedged Vault, users gain directional exposure and generate yield in wBTC. As the benchmark is BTC, the Vault is best suited for users looking to accumulate BTC in the long term.