Thread by @hutchonthego

Ser @Route2FI is onto something here with his "Quasi-Delta Neutral" tactic using $mSPY & $mVIXY.

There is so much potential with variants of @DrCle4n's original "Looped-Short" strategy if we can get some new legos onto @mirror_protocol

Here's the problem & SOLUTION in the 🧵👇

https://twitter.com/Route2FI/status/1495465959682977799

1) SPY goes⬆️wen VIXY goes⬇️and vice versa. BUT...

SPY is an ETF owning stocks to tracking the S&P 500 index (linear)

VIXY is an ETF owning futures contracts tracking the VIX, which measures market sentiment through rolling 30-day put-option pricing on the S&P 500 (non-linear).

2) SPY is stable since ETFs owning stock don't have to roll contracts every month

VIXY on the other hand is an ETF owning derivatives tracking yet another set of derivatives.

So it would be nearly impossible to find the right ratio to be delta neutral, and even if you did...

3) Derivative ETFs like VIXY are meant to closely track daily movements for traders.

Long term investors experience tracking error with since inside these ETFs constantly juggle & roll futures contracts

Even if you start w/the right Delta Neutral ratio, skew will ensue shortly.

4) The solution = E-mini S&P 500 Futures (/ES)

Why?
- Little to no long-term skew to pricing
- Trades 23 hours/day Sunday-Friday PM
- Have long & short versions of $mES

So you can loop $aUST or $LUNAx in either direction.

Short like normal
or short-the-short to go net long

5) Round the clock trading is HUGE:

- Better access for global traders
- More volume & trading fees 4 @mirror_protocol
- Allows degens more hours to manage positions

Sun-Jan 23: $LUNA was⬇️& my Anchor-LTV⬆️. Had profit in short $mSPY, but couldn't unlock it until Monday 😬😰🥴

6) @BandProtocol or @chainlink can build oracles tracking the price of the S&P 500 "continuous contract".

This blends all the different open contracts from different timeframe's while prioritizing the current month.

Examples 👇

marketwatch.com/investing/futu…

tradingview.com/symbols/CME_MI…

7) See SPY price (orange line) overlaid onto the /ES1! continuous contract (in hour candles).

Note the straight line deviations for 17.5 periods wen ETFs don't trade followed by 6.5 periods of correlation.

So many opportunities to trade and/or better manage your positions!

8) What if we had the capability to manicure collateral around the clock on net long or short futures positions with:

- $mES = S&P 500
- $mNQ = Nasdaq 100
- $mGC = Gold
- $mCL = Oil
- $mBTC = Bitcoin

Attach your $aUST or $LUNAx to an asset class + direction & loop away frens!

9) $mKO is great since the collateral requirement got lowered to a 110% LTV before liquidation vs $mSPY at 130%.

But single stocks still have quarterly earnings reports & indexes don't.

Note the nearly 3% move that happened 30 minutes at the open on 2/10 after earnings:

10) @mirror_protocol could base their Liquidation-LTV% based on implied volatility (a metric used by investors to estimate future fluctuations).

90-day mean implied volatility:
0.1544 = IAU
0.1951 = KO
0.2259 = SPY
0.4268 = USO
0.4384 = NFLX
1.0849 = GME

alphaquery.com/stock/SPY/vola…

11) Since Mirror is decentralized, anyone who stakes $MIR tokens can post governance proposals on @mirror_protocol and/or vote with your stake.

There is an upcoming @TwitterSpaces with some anon members of Mirror's Steering Committee Mon @ 5:00pm PST

twitter.com/i/spaces/1OdJr…

12) If your inner-degen agrees w/ these proposed enhancements to revitalize @mirror_protocol, please retweet the 1st tweet in this thread.

@Route2FI
@DrCle4n
@rebel_defi
@Cephii1
@Shigeo808
@SumoLuna
@CryptoKnight944
@YieldFoundryDAO
@NexusProtocol
@staderlabs
@TeamKujira