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macrocephalopod's profile
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@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. macrocephalopod‏ @macrocephalopod 17 Aug 2021

      macrocephalopod Retweeted Dave White

      Prediction - when the option gurus have finished going through the math, the ETH^2 version of this will turn out to be equivalent to chaining short-term variance swaps, without the delta hedge that gives variance swaps a zero delta.https://twitter.com/_Dave__White_/status/1427652305009004545 …

      macrocephalopod added,

      Dave White @_Dave__White_
      I've been working on a new financial product with @danrobinson and the team @opyn_: the power perpetual. If the price of ETH doubles, the ETH^2 power perp 4Xs, the ETH^3 power perp 8Xs, and the ETH^5 power perp 32Xs. https://www.paradigm.xyz/2021/08/power-perpetuals/ … pic.twitter.com/Cf2XX4QQjR
      Show this thread
      10 replies 2 retweets 71 likes
    2. Quantian‏ @quantian1 17 Aug 2021
      Replying to @macrocephalopod

      The eth^2 version is just a constantly rebalanced frictionless trades 2x levered long position tho

      4 replies 0 retweets 9 likes
    3. nihilist trader‏ @NihilistTrader 17 Aug 2021
      Replying to @quantian1 @macrocephalopod

      Agreed -once you effectively eliminate T (because it's equivalent to a daily settle) it looks like an nX daily-leveraged? I may be tired and/or buzzed but I'm failing to see the "optionality" in that paper (like a "max/min" payoff), just an expected drift to zero

      1 reply 0 retweets 0 likes
    4. macrocephalopod‏ @macrocephalopod 17 Aug 2021
      Replying to @NihilistTrader @quantian1

      The optionality is in the phrase “constantly rebalanced” — if it was rebalanced daily I agree there would be no optionality.

      1 reply 0 retweets 0 likes
    5. nihilist trader‏ @NihilistTrader 17 Aug 2021
      Replying to @macrocephalopod @quantian1

      I may be missing it but don't they say (kind of) at the outset that this is margined/reset daily? May not be giving this too much attention but most of that paper seemed to describe a way to formulate a (term) power option under BS?

      1 reply 0 retweets 0 likes
      macrocephalopod‏ @macrocephalopod 17 Aug 2021
      Replying to @NihilistTrader @quantian1

      I don’t think they do? It’s not a leveraged token (which are backed by a portfolio of real tokens that needs to be rebalanced) it’s just a derivative, with a price and a payout. Only need to think about rebalancing if you’re trying to hedge it.

      3:12 PM - 17 Aug 2021
      • 1 Like
      • Robot James 🤖🏖
      2 replies 0 retweets 1 like
        1. New conversation
        2. Speculator‏ @TheSpeculator0 17 Aug 2021
          Replying to @macrocephalopod @NihilistTrader @quantian1

          one thing i really think about whenever i look at crypto markets is that there's not enough forced positioning blowouts

          1 reply 0 retweets 4 likes
        3. Speculator‏ @TheSpeculator0 17 Aug 2021
          Replying to @TheSpeculator0 @macrocephalopod and

          give me the ETH var cap/uncapped. i bet the yield is sick

          0 replies 0 retweets 6 likes
        4. End of conversation
        1. nihilist trader‏ @NihilistTrader 17 Aug 2021
          Replying to @macrocephalopod @quantian1

          Might be my priors of the ideas coming from the author, but this made me think that they do "For any power p, the ETH^p power perpetual is kept in line by means of a funding fee paid at a regular interval, say, daily."

          0 replies 0 retweets 1 like
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