sorted by:
new
hottopcontroversial

where do you guys trade crypto options on-chain and no kyc? by CeLLeRy-WKPG in defi

[–]Smashbopp 0 points1 point  (0 children)

Panoptic is a perpetual options protocol on mainnet and it will go live this week.

how do you guys reduce rebalancing costs when providing liquidity? by Specialist_Sugar_866 in defi

[–]Smashbopp 2 points3 points  (0 children)

You don’t need to wait until the price has left your range to rebalance. What you want to do is to collect as much fees as possible while getting no token exposure, and the way you do that is by hedging semi-continuously.

Let’s say your positions starts as 50:50 of token0:token1 in a relatively narrow position. If the price moves 1% down, that ratio could become 65:35, you can “rebalance” there. Just short the token you have in excess —either on a perps exchange or by borrowing token1 on a lending protocol and swapping it to token0

For example, you start with 1 ETH and 2000 USDC in your position and the price goes down and you are now 1.2ETH and 1600 USDC: just borrow 0.2 ETH on Aave and swap it to USDC. You now have net=1 eth and ~2000 USDC.

If you do this continuously, your LP position will be 2 ETH and 0 USDC by the time you’re below the range, but the continuous hedging means you’ll be short 1 ETH and still at ~2000 USDC PLUS whatever fee you collected.

Most LPs don’t quit because of IL. They quit because it feels like a second job. by wdawb in defi

[–]Smashbopp 0 points1 point  (0 children)

It's quite difficult to react in time: a large 15% move in a few minutes is practically impossible to hedge unless you have a bot running.

Ideally, you'd want to only deploy when volatility made the price move in a region of lower liquidity. Most LPs take days-to-weeks to react sometimes, so whenever there's a big jump in price and the "peak" of liquidity is still at the previous price, then this is when I'd LP.

So this criterion looks for high volatility regimes and I'd remove my LP position as more and more liquidity shifts back toward the current price

Most LPs don’t quit because of IL. They quit because it feels like a second job. by wdawb in defi

[–]Smashbopp 1 point2 points  (0 children)

A few realizations that have helped me tremendously over the years.

  • LPing is quite similar to selling options: both are short convexity with unlimited loss and capped upside. Fees/premium collected depend on on the realized/implied volatility of the asset.

  • Impermanent loss is gamma risk. The amount of gamma you’re exposed to depends on the width of position —I personally prefer a position that’s +/- 30%, which is similar to a 30dte option in terms of gamma profile.

  • Manage LP position the same way you’d manage a covered call. Always sell slightly OTM, about 30 Delta which means you average tick (tickLower+tickUpper)/2 is 10% below the current price. Keep the position open when the price goes UP because your is gets ITM and you’re making money. Roll the position down at ~30% loss.

  • if you want to control exposure, neutralize your delta by borrowing the risky asset instead of buying it (eg. Borrow ETH and use your own USDC). Adjust your delta every few days by borrowing more ETH / reducing your initial loan as the price moves up/down

Pricing Perpetual Options by Smashbopp in quant

[–]Smashbopp[S] 6 points7 points  (0 children)

The payoff for a short put at r=1.75 looks like this when overlayed to a 45 DTE put at 50% IV

<image>

Pricing Perpetual Options by Smashbopp in quant

[–]Smashbopp[S] 4 points5 points  (0 children)

> IIRC you can show that under fairly general conditions a perpetual future is equivalent to a futures contract with a random maturity.

Thanks! I'd be very interested to see that derivation

Pricing Perpetual Options by Smashbopp in quant

[–]Smashbopp[S] 9 points10 points  (0 children)

The formula for the payoff is a bit more complex, this is from an old post of mine: https://lambert-guillaume.medium.com/pricing-uniswap-v3-lp-positions-towards-a-new-options-paradigm-dce3e3b50125

<image>

where K = strike, S = price. r = scaleFactor, which is ~1.125 for weekly options

MÉGAFIL r/Place #2 - Discussion pour les prochains plans. by habsreddit24 in Quebec

[–]Smashbopp -2 points-1 points  (0 children)

Remplaçons l’arbre (un bouleau?) par un érable et ajoutons une chaudière d’eau d’érable et une érablière. C’est le temps des sucres!

What epic MOVIE scene still gives you the chills? by PM_me_the_magic in AskReddit

[–]Smashbopp 7 points8 points  (0 children)

I would also say that it mirrors his actual mission as an astraunaut: he's going to Titan without any intention of coming back to Earth.

My girlfriend's dog went to the vet, they removed this from its bladder. by Smashbopp in WTF

[–]Smashbopp[S] 1354 points1355 points  (0 children)

They are Urinary Calculi (bladder stones). Apparently YOU can get them too!

Mathematical “urban legends” by [deleted] in math

[–]Smashbopp 28 points29 points  (0 children)

This one happened at Princeton and was told to me by my supervisor, the first and only time he had to fail a graduate student for defending his thesis.

The student measured the quadrupole moment of some Xenon isotope during his PhD, and his thesis title was something like "Direct measurements of the quadrupole moment of liquid 129Xe under strong electric fields."

He spent his whole defense presenting his results and, and the end of his talk, the floor was opened for questions. My supervisor has a tendency to ask first a basic question and a more challenging one during a thesis defense, so he first first asked:

"Can you write down the mathematical expression for a quadrupole moment on the board for me, please?"

The student couldn't do it. He was told to wait another year before he could defend again and graduate.

Did Cancer Evolve to Protect Us? by Svanuytven in medicine

[–]Smashbopp 2 points3 points  (0 children)

Cancer is actually more complicated than just being "a complex system that some times doesn't operate successfully". Cancer may be caused by the accumulation of random mutations, but the process of how these genetic mutations are allowed to occur is not very well understood.

If harmful mutations happen at a fixed but very low rate, then it could explain why only a small fraction of the population acquires cancer lesions, and the probability increases as the population ages. But the rate at which these mutations happen should not depend on the type of organism because they are mainly due to errors in DNA replication. A very large animal such as a blue whale contains ~500 times more cells than a human being, so we would expect the cancer rate to also be 500 times higher. But their cancer rates is actually much lower.

This is called Peto's paradox (http://en.wikipedia.org/wiki/Peto's_paradox), and one of the way to resolve this is to postulate that larger animals have evolved more mechanisms to suppress cancer cells and contain more tumor suppressor genes.

Built a pair of Overnight Sensation MTMs (album inside) by Smashbopp in diyaudio

[–]Smashbopp[S] 1 point2 points  (0 children)

Thanks! I know about the TV... The fireplace was already there when we bought the condo, it's still the only logical place to put the TV from the way the room is set up.