macrocephalopod

Inspired by a @robertmartin88 tweet, my rough framework for understanding the OMG/BOBA airdrop was that OMG behaved like a stock going ex-dividend, ie it would drop by the value of BOBA just after the snapshot was taken for the airdrop.

I only really figured this out about two days before the airdrop, and I didn’t trade it — but it’ll be useful for thinking about similar situations in the future.

Two important differences between OMG and (FTX) perpetuals on OMG — 1. the spot qualified you for the airdrop and the perps didn’t 2. The perps pay funding and the spot doesn’t. With a bit of backward induction and no-arbitrage reasoning you can get an implied value for BOBA.

One hour before the airdrop the perp should trade close to the expected post-airdrop value of OMG. Say OMG is at 18 and the expect value of BOBA is 5, then the perps should trade around 13.

But at such a huge discount you would get a big funding payment for being long — so the perps would actually trade a little higher to account for that, say 13.25 (you can solve to get an exact value)

Two hours before airdrop you have a similar situation, except you would get two hours worth of funding payments, so the perps trade a little higher, say 13.49 (the next funding payment isn’t as much as the one in the final hour)