XMR futures/options OTC thread | Bitcointalksearch.org

vokain

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Quote from: rpietila on March 11, 2015, 08:37:23 AM

Quote from: vokain on March 11, 2015, 03:41:35 AM

Is anyone selling any options?

Is anyone willing to open a trustless, decentralized way of doing this?

The current way that options are bets against my solvency and trustworthiness is not the optimal way.

... What kind of options were you interested in? Wink

I'm sure developers in the Bitcoin 2.0 field are working on ways, and I was just curious since only one new option has been listed since last year and I was wondering what puts and calls were now available, if any...but, I am a bit biased towards calls at the moment

rpietila

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Quote from: vokain on March 11, 2015, 03:41:35 AM

Is anyone selling any options?

Is anyone willing to open a trustless, decentralized way of doing this?

The current way that options are bets against my solvency and trustworthiness is not the optimal way.

... What kind of options were you interested in? Wink

vokain

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Is anyone selling any options?

smooth

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Quote from: rpietila on February 27, 2015, 05:08:57 PM

Quote from: smooth on February 27, 2015, 05:01:12 PM

A price formula can't possibly be worse than posting prices manually on an infrequent basis with a lot of extra effort. After all a fixed price is a "formula" too. I bet you can do better.

The price is of course based on a formula.

No that was not my point. It was that a price you post manually is a formula. The formula is "Price = constant." I think you can do better in terms of the tradeoff between your valuable time and allowing for the possibility of some element of manipulation (questionable given the implied spreads in your offerings previously).

But in any case there is not really a good reason for there to be an options market at all for something this small. Bitcoin options barely exist and that's 1000x bigger. If you want to do it for personal reasons or to subsidize activity, you can do that however you want or not of course.

rpietila

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Quote from: smooth on February 27, 2015, 05:01:12 PM

A price formula can't possibly be worse than posting prices manually on an infrequent basis with a lot of extra effort. After all a fixed price is a "formula" too. I bet you can do better.

The price is of course based on a formula. But there is a huge BUT, and it is the "market price". I don't see that the "market price" could be deduced automatically from the market information, because of the illiquidity. If it were the last price, the vwa, or any combination, with a known formula, it would be way too easy to game the system by manipulating the price first and then executing the options trade. Of course this problem does not go away solely by determining the "market price" manually, but at least the manipulator is not guaranteed a free lunch.

Last time I used a "market price" that was an arithmetic average of 3 components, none of which was the "last trade", "spot price", or "midprice". I think it worked reasonably well but unfortunately cannot be automated.

smooth

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Quote from: rpietila on February 27, 2015, 04:50:18 PM

Quote from: smooth on February 27, 2015, 04:24:03 PM

Quote from: rpietila on February 27, 2015, 04:17:25 PM

Quote from: smooth on February 27, 2015, 04:10:35 PM

Quote from: rpietila on February 27, 2015, 08:21:13 AM

Quote from: ArticMine on February 26, 2015, 05:29:04 PM

Maybe this time there is a market for puts.

Hmm... offering the whole palette of options like last time, requires quite much upkeep and the volume is probably low.

How about offering a pricing formula where you are willing to write options?

The problem with pricing formulas is that they take the market price as their input.

As we know, XMR's market price can be moved 5% to either direction with a $1,000 effort (sometimes even less), and as a result, the option price can move up to 15%-20%. It is clear that in this situation you cannot use an automatic formula, it would be gameable too easily.

You could use a volume-weighted price. The volume per day is more like 50K USD, so 1K can't move that much at all.

No. With options you have to have a reliable price feed, using any old price leads to same kind of gameable situation if there is volatility.

A price formula can't possibly be worse than posting prices manually on an infrequent basis with a lot of extra effort. After all a fixed price is a "formula" too. I bet you can do better.

rpietila

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Quote from: smooth on February 27, 2015, 04:24:03 PM

Quote from: rpietila on February 27, 2015, 04:17:25 PM

Quote from: smooth on February 27, 2015, 04:10:35 PM

Quote from: rpietila on February 27, 2015, 08:21:13 AM

Quote from: ArticMine on February 26, 2015, 05:29:04 PM

Maybe this time there is a market for puts.

Hmm... offering the whole palette of options like last time, requires quite much upkeep and the volume is probably low.

How about offering a pricing formula where you are willing to write options?

The problem with pricing formulas is that they take the market price as their input.

As we know, XMR's market price can be moved 5% to either direction with a $1,000 effort (sometimes even less), and as a result, the option price can move up to 15%-20%. It is clear that in this situation you cannot use an automatic formula, it would be gameable too easily.

You could use a volume-weighted price. The volume per day is more like 50K USD, so 1K can't move that much at all.

No. With options you have to have a reliable price feed, using any old price leads to same kind of gameable situation if there is volatility.

smooth

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Quote from: rpietila on February 27, 2015, 04:17:25 PM

Quote from: smooth on February 27, 2015, 04:10:35 PM

Quote from: rpietila on February 27, 2015, 08:21:13 AM

Quote from: ArticMine on February 26, 2015, 05:29:04 PM

Maybe this time there is a market for puts.

Hmm... offering the whole palette of options like last time, requires quite much upkeep and the volume is probably low.

How about offering a pricing formula where you are willing to write options?

The problem with pricing formulas is that they take the market price as their input.

As we know, XMR's market price can be moved 5% to either direction with a $1,000 effort (sometimes even less), and as a result, the option price can move up to 15%-20%. It is clear that in this situation you cannot use an automatic formula, it would be gameable too easily.

You could use a volume-weighted price. The volume per day is more like 50K USD, so 1K can't move that much at all.

rpietila

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Activity: 1722

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Quote from: smooth on February 27, 2015, 04:10:35 PM

Quote from: rpietila on February 27, 2015, 08:21:13 AM

Quote from: ArticMine on February 26, 2015, 05:29:04 PM

Maybe this time there is a market for puts.

Hmm... offering the whole palette of options like last time, requires quite much upkeep and the volume is probably low.

How about offering a pricing formula where you are willing to write options?

The problem with pricing formulas is that they take the market price as their input.

As we know, XMR's market price can be moved 5% to either direction with a $1,000 effort (sometimes even less), and as a result, the option price can move up to 15%-20%. It is clear that in this situation you cannot use an automatic formula, it would be gameable too easily.

smooth

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Activity: 2968

Merit: 1198

Quote from: rpietila on February 27, 2015, 08:21:13 AM

Quote from: ArticMine on February 26, 2015, 05:29:04 PM

Maybe this time there is a market for puts.

Hmm... offering the whole palette of options like last time, requires quite much upkeep and the volume is probably low.

How about offering a pricing formula where you are willing to write options?

rpietila

donator

Activity: 1722

Merit: 1036

Quote from: ArticMine on February 26, 2015, 05:29:04 PM

Maybe this time there is a market for puts.

Hmm... offering the whole palette of options like last time, requires quite much upkeep and the volume is probably low.

What if I offered just one PUT, a long-term (matures end-of-2015) option with a strike at 0.00115, which was the market price when I announced the start of the uptrend 4 days ago?

So if you believe in me and the uptrend, don't buy the option.

If you want to hedge, buy it (it cuts about 15% of your upside, (have not calculated exact terms yet) and hedges all downside below the double-bottom @0.001), for almost a year.

If you don't believe, sell all your coins now, at the height of the pump.

ArticMine

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Monero Core Team

Quote from: rpietila on February 25, 2015, 03:12:03 AM

Bump for easier recollection.

The options market may open again if there is enough interest.

Last time the downtrend just started and all the options bought were calls.

Maybe this time there is a market for puts.

rpietila

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Bump for easier recollection.

The options market may open again if there is enough interest.

Last time the downtrend just started and all the options bought were calls.

rpietila

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Code:

Sell Buyback Contract full name Maturity Type Strike B.E Lev Imp vol Open interest
0,00005 0,00002 140930-CALL-0.0200 30.9.2014 CALL 0,02000 0,02004 8196 % 550 %
0,00006 0,00003 140930-CALL-0.0150 30.9.2014 CALL 0,01500 0,01505 6751 % 500 %
0,00009 0,00005 140930-CALL-0.0100 30.9.2014 CALL 0,01000 0,01007 4638 % 430 %
0,00011 0,00006 140930-CALL-0.0080 30.9.2014 CALL 0,00800 0,00809 3614 % 390 %
0,00018 0,00011 140930-CALL-0.0060 30.9.2014 CALL 0,00600 0,00615 2166 % 350 %
0,00027 0,00017 140930-CALL-0.0050 30.9.2014 CALL 0,00500 0,00522 1462 % 330 % 8000
0,00046 0,00031 140930-CALL-0.0040 30.9.2014 CALL 0,00400 0,00438 838 % 320 %
0,00086 0,00061 140930-CALL-0.0030 30.9.2014 CALL 0,00300 0,00374 433 % 330 %
0,00225 0,00169 140930-PUT-0.0050 30.9.2014 PUT 0,00500 0,00303 162 % 300 %
0,00177 0,00131 140930-PUT-0.0045 30.9.2014 PUT 0,00450 0,00296 208 % 300 %
0,00136 0,00100 140930-PUT-0.0040 30.9.2014 PUT 0,00400 0,00282 271 % 320 %
0,00101 0,00072 140930-PUT-0.0035 30.9.2014 PUT 0,00350 0,00264 370 % 340 %
0,00067 0,00046 140930-PUT-0.0030 30.9.2014 PUT 0,00300 0,00243 565 % 345 %
0,00041 0,00027 140930-PUT-0.0025 30.9.2014 PUT 0,00250 0,00216 936 % 360 %

0,00012 0,00007 141031-CALL-0.0200 31.10.2014 CALL 0,02000 0,02009 3478 % 300 %
0,00017 0,00010 141031-CALL-0.0150 31.10.2014 CALL 0,01500 0,01514 2303 % 290 %
0,00028 0,00018 141031-CALL-0.0100 31.10.2014 CALL 0,01000 0,01023 1411 % 270 % 5000
0,00036 0,00024 141031-CALL-0.0080 31.10.2014 CALL 0,00800 0,00830 1060 % 260 %
0,00053 0,00036 141031-CALL-0.0060 31.10.2014 CALL 0,00600 0,00645 719 % 250 %
0,00065 0,00045 141031-CALL-0.0050 31.10.2014 CALL 0,00500 0,00555 585 % 240 %
0,00088 0,00063 141031-CALL-0.0040 31.10.2014 CALL 0,00400 0,00475 425 % 240 %
0,00127 0,00093 141031-CALL-0.0030 31.10.2014 CALL 0,00300 0,00410 291 % 250 %
0,00244 0,00185 141031-PUT-0.0050 31.10.2014 PUT 0,00500 0,00286 149 % 190 %
0,00198 0,00148 141031-PUT-0.0045 31.10.2014 PUT 0,00450 0,00277 185 % 190 %
0,00164 0,00121 141031-PUT-0.0040 31.10.2014 PUT 0,00400 0,00257 224 % 210 %
0,00133 0,00097 141031-PUT-0.0035 31.10.2014 PUT 0,00350 0,00235 278 % 230 %
0,00098 0,00070 141031-PUT-0.0030 31.10.2014 PUT 0,00300 0,00216 380 % 235 %
0,00071 0,00050 141031-PUT-0.0025 31.10.2014 PUT 0,00250 0,00190 531 % 250 %

0,00023 0,00014 141130-CALL-0.0200 30.11.2014 CALL 0,02000 0,02018 1742 % 260 %
0,00030 0,00019 141130-CALL-0.0150 30.11.2014 CALL 0,01500 0,01524 1311 % 250 %
0,00046 0,00031 141130-CALL-0.0100 30.11.2014 CALL 0,01000 0,01038 831 % 240 %
0,00055 0,00038 141130-CALL-0.0080 30.11.2014 CALL 0,00800 0,00847 688 % 230 %
0,00075 0,00053 141130-CALL-0.0060 30.11.2014 CALL 0,00600 0,00664 500 % 225 %
0,00089 0,00063 141130-CALL-0.0050 30.11.2014 CALL 0,00500 0,00576 420 % 220 %
0,00112 0,00081 141130-CALL-0.0040 30.11.2014 CALL 0,00400 0,00496 332 % 220 %
0,00149 0,00110 141130-CALL-0.0030 30.11.2014 CALL 0,00300 0,00430 247 % 230 %
0,00266 0,00202 141130-PUT-0.0050 30.11.2014 PUT 0,00500 0,00266 137 % 180 %
0,00220 0,00166 141130-PUT-0.0045 30.11.2014 PUT 0,00450 0,00257 166 % 180 %
0,00190 0,00142 141130-PUT-0.0040 30.11.2014 PUT 0,00400 0,00234 193 % 200 %
0,00160 0,00119 141130-PUT-0.0035 30.11.2014 PUT 0,00350 0,00211 229 % 220 %
0,00124 0,00090 141130-PUT-0.0030 30.11.2014 PUT 0,00300 0,00193 298 % 225 %
0,00096 0,00068 141130-PUT-0.0025 30.11.2014 PUT 0,00250 0,00168 390 % 240 %

Subject to fluctuations. When you want to trade, have your money and mobile phone at hand and shoot me a PM.

rpietila

donator

Activity: 1722

Merit: 1036

XMR exchange rate has stabilized, which means that historical volatility is down, and implied volatility is also down a lot.

Options have become much cheaper as a result!

Code:

Sell Buyback Contract full name Maturity Type Strike B.E Lev Imp vol Open interest
0,00010 0,00005 140930-CALL-0.0200 30.9.2014 CALL 0,02000 0,02008 5055 % 400 %
0,00012 0,00006 140930-CALL-0.0150 30.9.2014 CALL 0,01500 0,01509 4273 % 360 %
0,00015 0,00009 140930-CALL-0.0100 30.9.2014 CALL 0,01000 0,01012 3203 % 300 %
0,00022 0,00013 140930-CALL-0.0080 30.9.2014 CALL 0,00800 0,00818 2156 % 280 %
0,00036 0,00023 140930-CALL-0.0060 30.9.2014 CALL 0,00600 0,00629 1313 % 250 %
0,00053 0,00035 140930-CALL-0.0050 30.9.2014 CALL 0,00500 0,00544 878 % 240 % 8000
0,00086 0,00060 140930-CALL-0.0040 30.9.2014 CALL 0,00400 0,00473 528 % 240 %
0,00142 0,00103 140930-CALL-0.0030 30.9.2014 CALL 0,00300 0,00423 314 % 250 %
0,00155 0,00113 140930-PUT-0.0050 30.9.2014 PUT 0,00500 0,00366 286 % 160 %
0,00111 0,00079 140930-PUT-0.0045 30.9.2014 PUT 0,00450 0,00355 404 % 160 %
0,00071 0,00049 140930-PUT-0.0040 30.9.2014 PUT 0,00400 0,00340 642 % 155 %
0,00046 0,00030 140930-PUT-0.0035 30.9.2014 PUT 0,00350 0,00312 1020 % 170 %
0,00026 0,00016 140930-PUT-0.0030 30.9.2014 PUT 0,00300 0,00279 1872 % 180 %
0,00016 0,00009 140930-PUT-0.0025 30.9.2014 PUT 0,00250 0,00237 3055 % 210 %

0,00022 0,00013 141031-CALL-0.0200 31.10.2014 CALL 0,02000 0,02018 2158 % 280 %
0,00032 0,00020 141031-CALL-0.0150 31.10.2014 CALL 0,01500 0,01526 1498 % 270 %
0,00048 0,00032 141031-CALL-0.0100 31.10.2014 CALL 0,01000 0,01040 971 % 250 % 5000
0,00061 0,00041 141031-CALL-0.0080 31.10.2014 CALL 0,00800 0,00851 754 % 240 %
0,00085 0,00059 141031-CALL-0.0060 31.10.2014 CALL 0,00600 0,00672 534 % 230 %
0,00101 0,00072 141031-CALL-0.0050 31.10.2014 CALL 0,00500 0,00587 445 % 220 %
0,00133 0,00096 141031-CALL-0.0040 31.10.2014 CALL 0,00400 0,00514 337 % 220 %
0,00182 0,00134 141031-CALL-0.0030 31.10.2014 CALL 0,00300 0,00458 244 % 230 %
0,00181 0,00134 141031-PUT-0.0050 31.10.2014 PUT 0,00500 0,00343 245 % 140 %
0,00139 0,00101 141031-PUT-0.0045 31.10.2014 PUT 0,00450 0,00330 321 % 140 %
0,00101 0,00072 141031-PUT-0.0040 31.10.2014 PUT 0,00400 0,00314 446 % 140 %
0,00074 0,00051 141031-PUT-0.0035 31.10.2014 PUT 0,00350 0,00288 616 % 150 %
0,00051 0,00034 141031-PUT-0.0030 31.10.2014 PUT 0,00300 0,00257 905 % 160 %
0,00033 0,00021 141031-PUT-0.0025 31.10.2014 PUT 0,00250 0,00223 1448 % 170 %

0,00038 0,00024 141130-CALL-0.0200 30.11.2014 CALL 0,02000 0,02031 1234 % 250 %
0,00049 0,00032 141130-CALL-0.0150 30.11.2014 CALL 0,01500 0,01540 952 % 240 %
0,00072 0,00050 141130-CALL-0.0100 30.11.2014 CALL 0,01000 0,01061 631 % 230 %
0,00085 0,00060 141130-CALL-0.0080 30.11.2014 CALL 0,00800 0,00873 531 % 220 %
0,00113 0,00080 141130-CALL-0.0060 30.11.2014 CALL 0,00600 0,00697 399 % 215 %
0,00131 0,00095 141130-CALL-0.0050 30.11.2014 CALL 0,00500 0,00613 341 % 210 %
0,00160 0,00117 141130-CALL-0.0040 30.11.2014 CALL 0,00400 0,00539 277 % 210 %
0,00206 0,00153 141130-CALL-0.0030 30.11.2014 CALL 0,00300 0,00479 215 % 220 %
0,00205 0,00152 141130-PUT-0.0050 30.11.2014 PUT 0,00500 0,00322 216 % 140 %
0,00163 0,00120 141130-PUT-0.0045 30.11.2014 PUT 0,00450 0,00309 272 % 140 %
0,00125 0,00090 141130-PUT-0.0040 30.11.2014 PUT 0,00400 0,00293 359 % 140 %
0,00090 0,00063 141130-PUT-0.0035 30.11.2014 PUT 0,00350 0,00273 502 % 140 %
0,00067 0,00046 141130-PUT-0.0030 30.11.2014 PUT 0,00300 0,00244 687 % 150 %
0,00046 0,00030 141130-PUT-0.0025 30.11.2014 PUT 0,00250 0,00212 1005 % 160 %

Especially I'd like to pick the following suggestions for different strategies:

I think MEW is right away lifting XMR significantly, or at least 0.006 by the end of the month
0,00086   0,00060   140930-CALL-0.0040   30.9.2014   CALL   0,00400   0,00473   528 %   240 %
If price rises to 0.006, you are already well in the black (2.33x). If it rises to 0.008, you win 4.65x. In this case you have more than double the leverage compared to buying XMR directly (4.65x versus 2x), and it is not worthless as long as the price is higher than 0.004.

I think Bitcoin is about to explode, leaving alts in the dust
0,00033   0,00021   141031-PUT-0.0025   31.10.2014   PUT   0,00250   0,00223   1448 %   170 %
If Bitcoin goes up 10x in 48 days (quite typical of Bitcoin..), but XMR goes up only 2x, it means that XMR/BTC goes to 0.0008 and your option strategy pays back 5.15x. You are also covered against all negative happenings in XMR, which also reduce rate.

I believe that in 3-months, XMR has a 20% possibility of a real moonshot, to about 0.050.
0,00049   0,00032   141130-CALL-0.0150   30.11.2014   CALL   0,01500   0,01540   952 %   240 %
You get a cool 71x return for the investment if the moonshot happens. After taking the probability into account, it is still 14x. This is a good strategy if you think there is a big chance that XMR falls unless it achieves the moonshot. You only participate in the gains.

I think that XMR gains steadily and is likely anything between 0.004-0.006 in the end of November.
You should buy XMR. This way you help the distribution of the coin, support the price, retain better liquidity, and don't lose out on the time value that is inherent on options.

rpietila

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Quote from: BitcoinNational on September 05, 2014, 01:22:36 PM

Quote from: rpietila on September 03, 2014, 03:49:34 PM

I am lending BTC and XMR for speculation, but only against 150% guarantee in the other coin. So there IS an actual opportunity to leverage also without buying the options.

The APR we are talking about is 5-10%, in addition comes a one-time setup fee.

so at 5%
borrower gets 1BTC (time 1 year) and post 1.5BTC worths of altcoin (of what acceptable coins?)
the borrower owes 1.05BTC to get bonded coins back

can we get a hint on the setup fee too

Yes, plus if the value of the collateral goes too low, it will be liquidated.

Setup fee is based on the time it takes to setup it, if I know the person, the simplicity of terms, collateral etc. BTC0.3 is the lowest that I can imagine. Haggling makes it go higher due to longer setup time.

BitcoinNational

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Join The Blockchain Revolution In Logistics

Quote from: rpietila on September 03, 2014, 03:49:34 PM

I am lending BTC and XMR for speculation, but only against 150% guarantee in the other coin. So there IS an actual opportunity to leverage also without buying the options.

The APR we are talking about is 5-10%, in addition comes a one-time setup fee.

so at 5%
borrower gets 1BTC (time 1 year) and post 1.5BTC worths of altcoin (of what acceptable coins?)
the borrower owes 1.05BTC to get bonded coins back

can we get a hint on the setup fee too

luigi1111

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Attempted clarification in red.
Hope it helps.

Quote from: cacahouette on September 03, 2014, 03:27:59 PM

Quote from: luigi1111 on September 03, 2014, 11:37:53 AM

Long underlying is always higher than any form of theta negative strategy.

could you please elaborate and clarify what you mean here ? thx!
The underlying's chances of going up or down are wrapped around 50/50.
Let's consider directly at the money options for simplicity. Since all non-expired ATM options have extrinsic premium, the underlying's price must rise above (or below for puts) the B/E value given by that extrinsic premium in order to profit. Since there must be some nonzero chance that the underlying finishes between the strike and B/E, the option's probability of profit must be less than 50%.

Theta is just the measure of expected extrinsic (time) premium decay per day, having negative theta just means your position is net long extrinsic premium.

Quote

I think you've really nailed it with the second bolded quote. Other people might not see it that way, particularly OTM call buyers. In the (unlikely) case of underlying --> moon, the long call always outperforms everything else.

same question here could you please clarify ? what is your metric to say that something out(under) performs ?
The long call provides the highest expected return.

Quote

Does underlying + Put k normally have the same risk profile as call k? Yes!

Is one of them therefore mispriced? Yes! (only time will tell; both could certainly be mispriced as well)

the mispricing here is clear because you can replicate the exact same risk profile for cheaper using the decorated put. If you could borrow BTC to build a position you could even reproduce the outright call to achieve the exact same leverage.
But this is the essence of the matter. People don't loan you BTC for free.

Quote

It should not go unnoticed that general sentiment in the XMR community is very bullish. Given normal put/call parity, long call is a superior position to married put.

same question as before, what is your criteria to say something is higher/lower, just leverage ? Yes. Also, in regular trading, it costs less in fees (by extension, selling a put is superior to a covered call).

Quote

Risto is making people pay, which is his prerogative. With how bullish (some) people are, I'd even go as far to argue that it's more about long leverage than anything else. From that perspective, the XMR + Put position is actually the worst of them all.

for leverage metric yes, but again if you could borrow BTC the same leverage could be achieved. Same as above. I think you're underestimating the value of leverage.

Quote

Contrarily, if you're just expecting lots of volatility (relative to IV of the put you'd be buying), then XMR + Put is the best position available (long straddle/strangle could be argued as well depending on your upside bias/vol expectation).

(I think you probably understand these things already, but others may not.)

not sure i understand this last statement, could you please elaborate a bit ? thx!

If you think the IV (implied volatility) of the puts is lower than realized volatility will be (but that the calls' IV is on the mark or too high), you should go long XMR + Put. Note you must still have a bullish bias as you won't make any money on the downside. You could overhedge with puts and create some position you're comfortable with.

If you're confused as to strangles and/or straddles, a straddle is the purchase or sale of a call and a put at the same strike, while a strangle is the purchase or sale of a call and a put at different (usually both out of the money) strike. If you felt that call IV was way too low, you should just buy straddles/strangles.

sparky999

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This sounds interesting - can you elaborate further?

rpietila

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I am lending BTC and XMR for speculation, but only against 150% guarantee in the other coin. So there IS an actual opportunity to leverage also without buying the options.

The APR we are talking about is 5-10%, in addition comes a one-time setup fee.

Topic: XMR futures/options OTC thread (Read 12791 times)