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inputsThis shows returns to a crab position between hedging periods. Inputs are the current ETH price, the current funding rate, the change in implied volatility, and the number of days that pass.
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(just eth return impact)
(eth return + vol + time)
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funding0.30%ETH returnETH priceBasic returnBumped return
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current eth price1300-20.0%1040-4.0%-4.30%
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change in implied volatility10%-19.0%1053-3.6%-3.90%
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number of days3-18.0%1066-3.2%-3.52%
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transaction cost on oSQTH/ETH (%)0.50%-17.0%1079-2.9%-3.16%
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funding period0.04794520548-16.0%1092-2.6%-2.82%
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implied vol1.046422477-15.0%1105-2.3%-2.50%
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vega0.1003418813-14.0%1118-2.0%-2.20%
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-13.0%1131-1.7%-1.92%
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-12.0%1144-1.4%-1.66%
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-11.0%1157-1.2%-1.42%
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-10.0%1170-1.0%-1.20%
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-9.0%1183-0.8%-1.00%
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-8.0%1196-0.6%-0.82%
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-7.0%1209-0.5%-0.66%
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-6.0%1222-0.4%-0.52%
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-5.0%1235-0.3%-0.40%
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-4.0%1248-0.2%-0.30%
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-3.0%1261-0.1%-0.22%
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-2.0%12740.0%-0.16%
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-1.0%12870.0%-0.12%
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0.0%13000.0%-0.1%
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1.0%13130.0%-0.12%
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2.0%13260.0%-0.16%
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3.0%1339-0.1%-0.22%
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4.0%1352-0.2%-0.30%
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5.0%1365-0.3%-0.40%
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6.0%1378-0.4%-0.52%
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7.0%1391-0.5%-0.66%
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8.0%1404-0.6%-0.82%
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9.0%1417-0.8%-1.00%
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10.0%1430-1.0%-1.20%
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11.0%1443-1.2%-1.42%
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12.0%1456-1.4%-1.66%
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13.0%1469-1.7%-1.92%
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14.0%1482-2.0%-2.20%
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15.0%1495-2.3%-2.50%
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16.0%1508-2.6%-2.82%
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17.0%1521-2.9%-3.16%
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18.0%1534-3.2%-3.52%
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19.0%1547-3.6%-3.90%
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20.0%1560-4.0%-4.30%
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