Thread by @samchepal

@opyn_ is awesome because they offer options on DeFi tokens such as #YFI, #COMP, and #BAL. They have created markets for these options which allows us to use traditional option pricing models to figure out how they trade relative to listed options such as #ETH and #BTC.

By using the market prices of @OPYN put options trading on @UniswapProtocol, we can use a model like Black-Scholes (or some other variation) to calculate the implied volatility and various greek values for these DeFi options.

Note: the delta exposure for long puts is always negative. It's interesting to see both the #ETH $340/Sept. 25 put and #YFI $25k/Oct. 2 put trading around the 15-20 delta range. Loosely speaking, this means the market is pricing a 15-20% prob these tokens expire in the money.

Here we have the implied volatility (IV) for the puts. The @OPYN #ETH 340/Sept. 25th put IV trades slightly above its comparable put IV on @deribit by ~ 10%. The other three DeFi tokens all have higher IV values, notably #BAL.

As of now, @OPYN is realistically the only place where you can get a rough quote for IV on DeFi tokens. Knowing this can help us think about how future DeFi options will trade if they ever reach listed exchanges. It's also useful for building models to price these new products.

Note that it isn't completely fair to compare the IVs and deltas across all these different options because they are not all of the same maturity/strike/underlying asset. When we see more DeFi options come into the market this analysis will get easier!