Samneet Chepal @samchepal Twitter profile

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Samneet Chepal

@samchepal

3 years

1. Spent the past few weeks going down a rabbit hole learning about MEV and Flashbots — very cool stuff! I was surprised to learn that beneath the surface, Ethereum is lurking with sniper bots waiting for any opportunity to make money. Here’s a TLDR on some research + findings.

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Samneet Chepal

@samchepal

2 years

1. Over the past few months, DeFi ecosystems have witnessed a surge in structured product platforms - notably option vaults. While the current yields on these vaults can be enticing, we take a closer look at the long-run performance of these strategies:

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Samneet Chepal

@samchepal

3 years

1. After spending the past few weeks studying the @terra_money eco-system I’ve been quite impressed with the protocol’s vision and its growing community. The goal of this thread is to showcase how $LUNA directly benefits from Terra's growing stablecoin market (notably $UST).

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Samneet Chepal

@samchepal

3 years

1. This legendary $36k call trade led me down a rabbit hole into the world of higher order option greeks to analyze this trade using past historical data. This was a good learning opportunity and I wanted to share some stuff I've been exploring.

AD Derivatives (formerly GVol)

@genesisvol

3 years

#bitcoin $36k calls which saw whale buying at 87% IV are finally seeing a large drop in OI... Sales coming in at 136% @CanteringClark @7ommyZero @samchepal @OptionPit @Options @DeribitExchange

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Samneet Chepal

@samchepal

2 years

1. A few weeks ago we witnessed a duel between @stablekwon and @AlgodTrading in a public wager on LUNA's future price action. In this piece written with @tradeparadigm we analyze how this bet could be priced using options pricing theory + who got rugged on this trade…

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Samneet Chepal

@samchepal

10 months

1. Selling BTC vol has been a decent performer in 2023 given BTC’s choppy price action. Yet, justifying net short vol at these levels is becoming challenging from a risk-reward view.

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Samneet Chepal

@samchepal

3 years

2. Full research report and repo for those interested in the details:

The Hidden World of Ethereum Snipers

Ethereum is currently the most well established blockchain where users swap tokens, trade NFTs, and form DAOs among a plethora of other on-chain activities. A lot of the innovations we’ve seen in...

www.samchepal.com

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Samneet Chepal

@samchepal

3 years

1. The past few weeks have been heads down focused on researching @_Dave__White_ 's and @SBF_Alameda 's everlasting option (EO) paper. The goal with this research was to understand how this product would trade in real-world markets. Detailed writeup here:

A Theoretical and Empirical Analysis of Everlasting Options

Exploring a new financial derivative

www.samchepal.com

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Samneet Chepal

@samchepal

3 years

1. Been working on some research related to tail-risk hedging and downside protection in crypto. The goal of this research piece is to utilize quantitative approaches using options and stablecoins to hedge downside risk. Full article:

Quantitative Financial Risk Management For Crypto Projects and Investors

Motivation Imagine you’re a cryptocurrency entrepreneur working on the next big DeFi startup. It’s a raging bull-market and you’re sitting on $100M worth of tokens on your treasury balance sheet....

www.samchepal.com

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Samneet Chepal

@samchepal

18 days

We all know that YTD performance in spot BTC has been pretty much carried by spot ETF demand. However, it wasn't as obvious to me until I visualized cumulative ETF flows alongside price return. Just looking at this makes me giga-bullish on ETH.

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Samneet Chepal

@samchepal

3 years

1. I’ve been spending some time exploring systematic trading strategies for #BTC options on @DeribitExchange . I’ll go over a yield-generation strategy which showed some interesting results from the initial backtest phase. This is not investment advice.

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Samneet Chepal

@samchepal

4 years

1. This is one of the best resources I've come across for implementing emergency hedges using options in a cost effective manner. Now more than ever I think Hari's wisdom can be applied to manage risk within the crypto options space especially before things get interesting...

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Samneet Chepal

@samchepal

8 months

Remarkably, BTC spot-vol correlation has surged to all-time highs since 2020. As discussed in this thread, dealer positioning, with MMs short vega up to year-end, is a key driver of the current spot/vol dynamics.

Joshua Lim

@joshua_j_lim

8 months

1/ high positive spot-vol correlation clearly indicative of dealer positioning as spot rallies to strikes where dealers are short in Nov and Dec, market gets shorter vega and vol follows as dealers are forced to cover

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Samneet Chepal

@samchepal

9 months

Simplicity often trumps complexity in finance, and one of my go-to tools for analyzing data in crypto is the rolling z-score. It's not only handy for spotting outliers during data cleaning but also for identifying when certain trends deviate significantly from the norm.

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Samneet Chepal

@samchepal

3 years

7. It’s important to note that only one bot can capture this trade — all other bots will have their trades fail. These failed txs take up space in the block which crowds out users. Furthermore, this competitive gas bidding pushes the price of gas up for everyone in the network.

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Samneet Chepal

@samchepal

8 months

It's official - BTC skew (puts over calls) has recently hit its lowest value for 2023. Mean-reversion tendencies often follow such lows, which makes me somewhat skeptical. However, it's worth noting previous occurrences were in a choppy market. Hoping for a continued decline in…

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Samneet Chepal

@samchepal

1 month

1. Thrilled to see that @Arbelosxyz is now public! I've had the privilege of collaborating with the team to conduct in-depth research in the crypto derivatives space, with one of our first pieces on analyzing yield strats on @pendle_fi . Dive into our findings here:…

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Samneet Chepal

@samchepal

3 years

4. Suppose XYZ token is $100 on Uniswap but $120 on Sushiswap. A simple arb is to buy XYZ on Uniswap and sell on Sushiswap for $20 profit. When this tx hits the public mempool, a sniper bot will notice this trade and immediately jump at the opportunity to front-run the trader.

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Samneet Chepal

@samchepal

3 years

22. Overall, I think new protocols will need to think carefully about how they protect their users from MEV. @mistXlabs , @Keeper_DAO , @MEVprotection and Flashbots are several solutions out there and I expect more to emerge as this space grows further.

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Samneet Chepal

@samchepal

3 years

24. A special thank you to goofyballer (anon in Flashbots discord) for technical coding help and @ishanvermaiv and @bertcmiller for proof-reading and providing valuable feedback + teaching me more about this niche.

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Samneet Chepal

@samchepal

3 years

1. Huge thanks to @BrandonRochon_ for teaching me how to use @Covalent_HQ 's powerful API. We were able to pull some data on the recently issued @SushiSwap call options built on @UMAprotocol and analyzed some cool stuff by looking at on-chain greeks.

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Samneet Chepal

@samchepal

4 years

1. @HegicOptions 's token has been on a tear for the past month! Given its recent attention I thought it'd be useful to analyze how the options are priced w.r.t centralized venues such as @DeribitExchange .

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Samneet Chepal

@samchepal

3 years

3. Whenever a tx is made on ETH, before it is fully mined it sits in a pending pool of txs called the mempool. The mempool is public - this is a problem b/c snipers are looking through these unconfirmed txs for opportunities to re-arrange the txs in the block for their benefit.

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Samneet Chepal

@samchepal

6 months

Thrilled to join @lyrafinance as an advisor, just as they roll out their impressive V2 protocol! Among the many DeFi options projects I've seen, Lyra stands out with its order book based liquidity platform and top-tier on-chain margining system. I'm particularly keen to observe…

Lyra

@lyrafinance

6 months

Summon ye traders, the V2 rollout begins. 𝘽𝙏𝘾 𝙀𝙏𝙁 𝙋𝙑𝙋 now LIVE! Start trading:

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Samneet Chepal

@samchepal

3 years

23. Shoutout to @paradigm 's awesome testnet faucet (thank you @_anishagnihotri !) - this was used extensively for testing Flashbot relaying txs on the Goerli network.

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Samneet Chepal

@samchepal

3 years

6. The max tx fee a sniper would pay to the miner would essentially be the arb profit ($20). This is what we refer to as Maximal Extractable Value (MEV).

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Samneet Chepal

@samchepal

3 years

1. Had a chance to work on some crypto options quant research with @epsilonsized and @Tristan0x from @ZetaMarkets . In this piece we extract probabilities implied from the @DeribitExchange BTC options market and study the characteristics of this signal.

Investigating Bitcoin Market Crashes With Option Probabilities

This research piece was conducted in conjunction with @epsilonsized [https://twitter.com/epsilonsized] and @tristan0x [https://twitter.com/tristan0x?lang=en] from Zeta Markets [https://zeta.markets...

www.samchepal.com

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Samneet Chepal

@samchepal

9 months

After a systematic review of @DeribitExchange 's BTC and ETH options orderbooks, some intriguing observations surface. Notably, there's a noteworthy imbalance between bids and offers across most strikes for both BTC and ETH.

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Samneet Chepal

@samchepal

3 years

15. The dev can use a sponsored tx using Flashbots to save his NFT. This involves making a tx from account A but paying for the tx fees using account B. He would submit 2 txs in a bundle - one paying for the fees to transfer the NFT and the other actually transferring the NFT.

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Samneet Chepal

@samchepal

3 years

5. The sniper will copy the trader’s tx but bribe the miner with a higher tx fee. If the trader paid a $5 tx fee, the sniper may pay a $10 fee. Ironically the sniper may get sniped by another bot willing to pay a $15 tx fee.

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Samneet Chepal

@samchepal

3 years

1. The BTC options term structure is exhibiting some strange patterns which may lead to some interesting trading opportunities. Specifically, the May / June expiry currently has nearly a 6 vol point spread as indicated by @GenesisVol 's analytics. This is not investment advice.

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Samneet Chepal

@samchepal

3 years

1. The @coinbase IPO last week was amazing to watch. From an options perspective, we now have a glimpse of how tradfi MMs (ie: Citadel/SIG) are pricing vol in crypto. Given $COIN options started trading on April 20, I spent some time looking into the first day of market data.

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Samneet Chepal

@samchepal

3 years

8. Flashbots is arguably the best solution out there to reduce the impact of these snipers. Rather than relaying txs directly to the mempool, users are able to send their txs directly to miners and avoid the limelight of snipers.

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Samneet Chepal

@samchepal

3 years

1. Dollar-cost averaging (DCA) has been a popular way for long term hodlers to accumulate their core position in BTC. I’ve been thinking about this and modelled out a few backtests with some interesting findings. This is not investment advice.

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Samneet Chepal

@samchepal

3 years

1. The recent rise in BTC spot and implied volatility has led me to re-read @SinclairEuan 's book, “Positional Options Trading”. I found the chapter on volatility positions quite interesting with some useful parallels for crypto vol markets.

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Samneet Chepal

@samchepal

4 years

Using @glassnode 's data, we can determine the relative percentage of UTXOs in profit for each given #BTC price. - 50% of UTXOs have a breakeven at $3.6k - 75% of UTXOs have a breakeven at $9.2k - 95% of UTXOs have a breakeven at $11.8k

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Samneet Chepal

@samchepal

4 years

Played around with @glassnode 's awesome API and found some interesting trends. Ever since the Black Thursday crash, #Bitcoin balances on crypto exchanges have been falling quite fast. On the other hand, #Ethereum exchange balances continue to remain relatively stable.

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Samneet Chepal

@samchepal

3 years

10. Users are able to preserve their pre-tx privacy which is key to avoid getting front-runned. If you’re not revealing your trade before it becomes finalized then there’s no way for a sniper to front-run you. In this case, the tx data is only published after it is fully mined.

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Samneet Chepal

@samchepal

1 year

1. Over the past few day's we've noticed some massive trades on @DeribitExchange . Surprisingly some of these trades were executed against limit orders without using RFQs. This gave inspiration to build an order-book scanner which is now open-sourced:

GitHub - schepal/deribit_orderbook_searcher: A handy tool to quickly analyze the orderbook depth...

A handy tool to quickly analyze the orderbook depth for all Deribit listed options. - schepal/deribit_orderbook_searcher

github.com

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Samneet Chepal

@samchepal

4 years

1. Huge thanks to @digitalbrock and his team at @Round_Block for supporting me with some very useful #BTC @CMEGroup options data for research! I've been focused mostly on @DeribitExchange in the past but CME seems to target institutional folks which should lead to new insights.

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Samneet Chepal

@samchepal

3 years

12. If the trader from above relayed his tx through a Flashbots relayer he would bypass the public mempool. As a result, a sniper bot would not be able to detect his trade until it's fully mined into the blockchain at which point it would be too late to copy the trade.

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Samneet Chepal

@samchepal

3 years

9. Txs are sent as bundles through a Flashbots relayer which are then sent off to miners directly without hitting the public mempool. From there miners can choose to accept a Flashbots bundle just like any normal Ethereum tx.

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Samneet Chepal

@samchepal

3 years

11. At the same time this brings forth a more efficient market for gas auctions — rather than bots outbidding each other, gas fees are paid based on market demand.

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Samneet Chepal

@samchepal

3 years

1. Congrats to the @opyn_ team for launching V2 - very exciting! I’m happy that the new V2 dashboard has a clean layout with greeks and implied vols for each respective option. It’s also a pleasant surprise to see the prices are closely in line with @DeribitExchange 's options.

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Samneet Chepal

@samchepal

1 month

1. As one of the youngest and largest option liquidity providers in the market, the team at @Arbelosxyz is continually exploring efficient ways to trade volatility. A few days ago @joshua_j_lim shared a trade idea which profited from collapsing vols amidst choppy price action.…

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Samneet Chepal

@samchepal

3 years

1. Huge thanks to the devs at @RealHxro for helping me pull data for TIX contracts - really grateful for the responsive team! This is one of the first times I've been able to build out relatively liquid vol curves not only for BTC/ETH but also for alts such as LINK, UNI, and YFI.

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Samneet Chepal

@samchepal

6 months

It bears repeating — BTC @CMEGroup markets are a major player in the evolving landscape of crypto, gaining more prominence as the market leans towards institutionalization. In both absolute and normalized terms, CME's OI for BTC futures has seen impressive growth, nearly…

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Samneet Chepal

@samchepal

4 years

Excited to be joining @ledger_prime as a quant analyst. I look forward to work with a world-class team led by @ShiliangTang . I’m incredibly grateful to the support of several mentors who guided me along and the lively discussions we’ve all had here - look forward to next steps!

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Samneet Chepal

@samchepal

3 years

1. I’ve been looking at how tradfi markets are pricing options for public co’s with large exposures to crypto relative to the BTC options market on @DeribitExchange . For this analysis, I focused on @MicroStrategy (MSTR) and Marathon Group (MARA).

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Samneet Chepal

@samchepal

3 years

16. Both of these txs are submitted in a bundle to the Flashbots relayer which will pass along these txs to a miner. These txs remain hidden from the mempool and will only be revealed until after miners include these txs in a block.

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Samneet Chepal

@samchepal

4 years

1. To stay in the game all option market-makers must actively manage their greeks. One of the challenging tasks is aggregating the portfolio vega across different maturities. While we can aggregate the delta/gamma/theta fairly easily, vega is trickier to manage. Let’s see why…

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Samneet Chepal

@samchepal

4 years

Fantastic session with the folks from @UMAprotocol . Within < 1hr you can build a synthetic gold token on testnet w/o the need for a price oracle. This can be a game changer for DeFi derivatives and also welcome more sophisticated players in this space.

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Samneet Chepal

@samchepal

3 years

13. Another example - consider a dev who accidentally uploaded his ETH private key to a public repo on Github. Within minutes bots would immediately sweep his entire ETH balance. The dev also had a valuable NFT stored in this particular address which the bot did not detect.

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Samneet Chepal

@samchepal

7 months

In the 2020/2021 bull run, @DeribitExchange BTC futures basis reached 30-40% annualized, a highly profitable delta-neutral trade. Many found it hard to believe that the basis could soar that high again. Yet, as I write this, we're already seeing the basis approach 10% for…

Skew Δ

@52kskew

7 months

Highest deribit funding rate in a long time Funding rate APR spiked to 133% during the initial squeeze above $40K Current deribit funding rate apr is 64%

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Samneet Chepal

@samchepal

4 years

#BTC daily returns are not normal! After running a Gaussian kernel density estimation and comparing this to its respective normal distribution, we can see that #BTC has a lot of kurtosis as shown by the "peakedness" near the centre.

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Samneet Chepal

@samchepal

2 years

At @ledger_prime we recently built a public telegram bot which allows users to access important crypto options / derivs metrics [powered by @GenesisVol 's powerful API]. Check it out here: h/t @Dirmes1 for being the big brains to put this together

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Samneet Chepal

@samchepal

2 years

9. The ETH covered call PNL is not that great. We can see the strategy faced a massive loss in early 2021. This was due to an “upside” tail-risk event which caused significant losses.

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Samneet Chepal

@samchepal

3 years

1. This awesome tweet by @FadingRallies led me to explore related trading strategies with BTC perpetuals on @DeribitExchange . Although this tweet is for the S&P500, we can still leverage his high-quality thought process and apply it to crypto.

Stretching Spreads

@FadingRallies

3 years

Turned $SPX 1StdDev weekly expected move into a custom study on BBG. Not as precise as the one I manually calculate & draw –– uses 3:50PM option IVOL as opposed to 4:15 settlement, but still provides a great historic visual. The clustering breaches highlight market instability...

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Samneet Chepal

@samchepal

2 years

20. DeFi option vaults are still early and have lots of room to grow into offering products which account for this flexibility. Overall, these vaults offer yield which is backed by option MMs and IMO is a more sustainable source of yield relative to excessive token emissions.

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Samneet Chepal

@samchepal

25 days

1. One of the most promising and under-explored areas of DeFi is structured products. Unlike traditional finance, the capital allocated to structured products in crypto is minimal compared to the total circulating capital. In this piece, @Arbelosxyz collaborated with the @cega_fi …

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Samneet Chepal

@samchepal

3 years

14. Here’s the problem - in order to transfer the NFT to a safe address, the dev needs to send ETH in the exploited address to pay for the gas fees. The moment any new ETH touches the exploited address, bots will step in and withdraw these funds - ie: the NFT is stuck.

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Samneet Chepal

@samchepal

4 months

Nice to see the basis on @DeribitExchange well in the green for both BTC and ETH. Historically, these basis values don't seem over-extended, as evidenced by a rolling z-score indicating we haven't yet reached extreme values. I'll be keeping an eye on the ETH-BTC basis spread as I…

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Samneet Chepal

@samchepal

3 months

Amazing how the BTC basis trade on @DeribitExchange is now making its way back as one of the most promising delta-neutral trades out there. Nearly 20-30% annualized and there's still room to go!

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Samneet Chepal

@samchepal

3 years

19. This is where things get really scary/interesting... As shown in the animation below, when the naive exploiter calls the `withdraw` function this tx call data will be publicly available in the mempool.

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Samneet Chepal

@samchepal

2 years

Thanks to @kenchangh for discussing some of the intricacies of these vaults and teaching me more about @ribbonfinance .

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Samneet Chepal

@samchepal

3 years

30. Going through these Twitter pages / articles really helped throughout this research project: @LearnTerra @WestieCapital @danku_r @larry0x @stablekwon @sungjae_han @terra_money

From the terraluna community on Reddit

Explore this post and more from the terraluna community

www.reddit.com

José Maria Macedo

@ZeMariaMacedo

3 years

Few realise it, but #TerraAutumn is coming 🌖🍂 The pieces will start falling into place once Columbus 5 goes live in late September In this thread, I share my mental model for @terra_money and guide to the end of year setup as I see it 👇

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Samneet Chepal

@samchepal

2 years

19. The key difference, however, is these investors don’t systematically sell the same weekly deep OTM covered calls, rather they analyze the market and have more discretion on which option type, strike, and maturity to trade.

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Samneet Chepal

@samchepal

2 years

2. Let’s start with a brief overview of the DeFi options space - TVL in 2020 was virtually non-existent but blew up to nearly $1B at the start of 2022. This was primarily due to the surge of activity within the DeFi structured products space. Data Source: @DefiLlama

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Samneet Chepal

@samchepal

4 years

**Not financial advice** I've been working on a Python screener which helps identify potential arbitrage opportunities between the price differences of @FTX_Official MOVE contracts and their corresponding @DeribitExchange straddles on #BTC . Check it out:

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Samneet Chepal

@samchepal

2 years

10. The key thing to note is each party entered into this bet with an equal 50:50 bet with the same payouts. In other words: - Do bought the call at $0.50 when it is actually worth $0.30 - Algod bought the binary put at $0.50 when it is actually worth $0.70

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Samneet Chepal

@samchepal

2 years

12. From a USD ROI% standpoint, the covered call strategy underperformed by nearly 400% relative to just buying/holding spot ETH.

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Samneet Chepal

@samchepal

3 years

17. Let’s consider another example but this time we’re the exploiter. Suppose there’s a broken smart contract which allows anyone to withdraw funds from the contract.

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Samneet Chepal

@samchepal

1 year

1. Ask any quant and they'll salivate at the prospect of digging into historical trade-flow data. As such, I'm grateful to have worked with @tradeparadigm on some research analyzing 100k+ historical BTC option trades executed on the platform. Link:

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Samneet Chepal

@samchepal

7 months

I've been diving into what @ethena_labs is up to and their project is pretty interesting. They're wisely tapping into centralized exchanges for handling basis and perpetual funding trades. This move makes sense, especially since DeFi derivatives are currently facing liquidity…

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Samneet Chepal

@samchepal

3 years

18. A naive exploiter would simply run the `withdraw` function of this smart contract through a normal tx, however, this will likely get front-runned by other snipers.

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Samneet Chepal

@samchepal

2 years

1. One of the best decisions I’ve been lucky to make in 2021 was enrolling in the @TeamChainShot ETH dev bootcamp. Learned a ton of valuable skills which gave me a new appreciation for how all this stuff works. Some thoughts on my experience and advice to those starting out...

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Samneet Chepal

@samchepal

4 years

Interesting to see the evolution of #BTC volatility over the past 8 years. We can see Bitcoin's vol has gradually declined over time, similar to a traditional financial asset. 10 years from now its vol will likely fall further if serious inst. investor money enters this space.

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Samneet Chepal

@samchepal

8 months

As discussed in @Amberdataio 's recent note, BTC puts are currently trading relatively cheap compared to historical standards. Consider the ratio between 25 delta and ATM 30DTE IV. Since 2022, it's been rare for puts to trade below ATM IV for an extended period of time...…

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Samneet Chepal

@samchepal

5 months

Option markets are positioned for a bullish trend post the BTC halving in April, as reflected in the skew (put-call IV). This is in line with the ETH overwriter flows: wisely avoiding longer-dated upside selling post April and instead sticking to short-term maturities. It's clear…

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Samneet Chepal

@samchepal

10 months

Observing an intriguing scenario unfold on @DeribitExchange - a surge in liquidations has coincided with a rapid 10% BTC drop in under 10 min while @volmexfinance 's BVIV has shot up by nearly 30%. Gamma sellers are feeling the pain as market dynamics shift swiftly.

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Samneet Chepal

@samchepal

4 years

Thanks to my friend @gane5h for letting me try out @Covalent_HQ 's awesome API. With a few lines of code I was able to analyze the total USD locked in @opyn_ options. With ~$1.5M USD in these options, a bulk of DeFi traders seem to be hedging their ETH from prices < $360.

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Samneet Chepal

@samchepal

2 years

4. Investors sell covered calls when they expect the spot price to stay choppy or slightly bearish. If the goal is to collect yield, then investors do not want the spot price to rise past the strike as they’d be better off just holding the underlying coin.

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Samneet Chepal

@samchepal

7 months

As sentiment shifts, with a BTC ETF expected in a couple of months, attention is now turning towards rotating into ETH for higher beta exposure on the upside. Notice how the BTC/ETH 30DTE ATM IV ratio has dipped the most YTD since mid-October - the market is starting to show a…

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Samneet Chepal

@samchepal

9 months

Over the past year, the correlation between BTC and ETH IV has been steadily deteriorating. Notably, the last few months have witnessed a significant decline in correlation between changes in BTC and ETH implied vols.

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Samneet Chepal

@samchepal

4 years

1. It's always fascinating to see different types of exotic derivatives in the crypto space. I was pretty interested to come across @RealHxro 's TIX contracts which are crypto binary options. These are similar to vanilla options but the payouts and pricing are slightly different.

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Samneet Chepal

@samchepal

2 years

17. Key point: if an investor is seeking to earn yield with options, he should be cautious on selling calls when a particular crypto is expected to pump up fast. There is a higher probability that spot > strike at expiry resulting in losses.

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Samneet Chepal

@samchepal

7 months

After weeks of waiting, ETH volatility has now surpassed BTC in multiple maturities. If this signals the start of the next bull market, I can anticipate this spread turning even more negative, with ETH expected to outperform and maintain greater call skew than BTC. The table…

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Samneet Chepal

@samchepal

3 years

20. The tx hex data (ie: 0x3ccfd60b) will be available for any sniper to see. Despite not knowing what this call data may be, sophisticated snipers may still front-run by replicating the original trade w/ same tx hex data but just paying higher tx fees so they get priority.

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Samneet Chepal

@samchepal

9 months

Over the past year, BTC implied volatility has consistently taken a hit after weekly expirations. Check out the data below, showing that 80% of the time, IV experiences a drop 24 hours after Friday's 8 AM UTC expiry.

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Samneet Chepal

@samchepal

2 years

1. Wanted to post a followup thread from the recent DeFi options piece. I feel there’s some confusion in regards to covered calls which should have been better communicated in the research piece. Here’s a few additional points…

Samneet Chepal

@samchepal

2 years

1. Over the past few months, DeFi ecosystems have witnessed a surge in structured product platforms - notably option vaults. While the current yields on these vaults can be enticing, we take a closer look at the long-run performance of these strategies:

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Samneet Chepal

@samchepal

2 years

3. Most of these structured products revolve around covered call options. As a refresher, this strategy involves being long the underlying spot asset and selling a call. This effectively caps the upside price action in exchange for an option premium.

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Samneet Chepal

@samchepal

7 months

This was a fun project - hope some of you find it useful!

Deribit Insights

@DeribitInsights

7 months

Check out the #Deribit Option Block Tracker flows on GitHub! 🔍 Big shoutout to @samchepal for this insightful contribution. Dive into the details ⬇

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Samneet Chepal

@samchepal

2 years

18. All of this above may suggest covered calls aren’t ideal for crypto, however, this is not the conclusion we want to convey. In many cases selling covered calls is an excellent strategy used by sophisticated investors and institutions.

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Samneet Chepal

@samchepal

5 months

Great to see the vol spreads on @lyrafinance 's BTC and ETH orderbooks narrowing over the past month. Although there's a way to go before reaching Deribit's liquidity levels, this offers a valuable chance for institutions and market makers to benefit from wider spreads while they…

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Samneet Chepal

@samchepal

8 months

Fascinating visual on spot/vol correlations using @volmex 's BVIV index and perp prices. Most of Sept to early Oct had a flat spot-vol relationship. However, after the recent rally, highlighted by brighter colors, volatility surged alongside higher prices.

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Samneet Chepal

@samchepal

8 months

Surprisingly, despite the recent bullish run, ETH volatility has been consistently lagging behind BTC. This phenomenon was rare before 2023, but this year has seen a shift with prolonged periods of BTC outperformance in volatility as showcased by @volmexfinance 's indices.

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Samneet Chepal

@samchepal

3 years

21. As a result, the exploiter is better off submitting the tx through the Flashbots relayer where the tx will be submitted directly to miners.

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Samneet Chepal

@samchepal

2 months

Despite the various pullbacks since the initial stages of this bull-market, systematically selling puts (especially 7dtes) on @DeribitExchange has been a surprisingly smooth ride over the past several months. I would have expected a bit more variance in returns especially given…

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Samneet Chepal

@samchepal

2 years

8. We'll model an ETH covered call strategy that sells weekly 10 delta calls (these have a low probability of expiring ITM (ie: spot > strike) and most option vaults target this delta. A rule of thumb: lower delta = lower chance of expiring ITM.

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Samneet Chepal

@samchepal

2 years

14. TLDR: never agree to a 50:50 binary bet on alts with high vol until you can calc the fair value. Although the expected payout is equal in each case, because the price can pump up so much, the probability of LUNA going up must also be proportionally lower to make the bet fair.

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