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Instructions
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Step 1
Take a copy of this spreadsheet (File -> Make a copy)
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Step 2Fill in green inputs
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Step 3
Look at all the pretty things
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ConstantsBump the inputs to see how the payoff changes
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funding period0.04794520548Bumps
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scaling factor10000
implied volatility change
10%
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time (days)20.3140.31
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1.29%
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1600
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Input squeeth market conditions and holdings
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Portfolio value and sensitivities
ETH returnETH priceETH changeBase portfolio
Bumped portfolio
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IN-0.51550-1550-31360.88657-31348.9095
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Market conditionsETH price31001815-0.481612-1488-30136.86246-30124.88539
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Normalization factor0.18103.040242-0.461674-1426-28910.30406-28898.32699
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Implied volatillity (annual)60%-0.441736-1364-27681.21139-27669.23432
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Holdings
oSQTH holdings (-ve for short)
-280-0.421798-1302-26449.58444-26437.60737
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ETH vault collateral0-0.41860-1240-25215.42321-25203.44614
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ETH futures0-0.381922-1178-23978.7277-23966.75063
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LP collateraloSQTH in uniswap LP298-0.361984-1116-22739.49791-22727.52084
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ETH in Uniswap LP18.7-0.342046-1054-21497.73384-21485.75677
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Net holdingsTotal ETH18.7-0.322108-992-20253.43549-20241.45842
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Total oSQTH18-0.32170-930-19006.60287-18994.6258
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OUT-0.282232-868-17757.23596-17745.25889
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PricesoSQTH price in USD175.9915979-0.262294-806-16505.33478-16493.35771
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oSQTH price in ETH0.0567714832-0.242356-744-15250.89932-15238.92225
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oSQTH per ETH17.61447726-0.222418-682-13993.92958-13981.9525
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-0.22480-620-12734.42555-12722.44848
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per oSQTHgreeksDelta0.1135429664-0.182542-558-11472.38725-11460.41018
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Gamma0.00003662676336Vega %-0.162604-496-10207.81468-10195.8376
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Vega / 100v 10.125543990.05753424658-0.142666-434-8940.707818-8928.730746
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Theta / year63.356975256.952380952-0.122728-372-7671.066681-7659.089609
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-0.12790-310-6398.891265-6386.914193
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portfoliogreeksDelta20.743773464305.69753-0.082852-248-5124.18157-5112.204498
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Gamma0.000659281740463.35697525-0.062914-186-3846.937596-3834.960524
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Vega / 100v 182.25979181.822597918-0.042976-124-2567.159343-2555.182271
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Theta / year-1140.425555-0.023038-62-1284.846811-1272.869739
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031000011.97707203
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Portfolio valuePortfolio value in ETH19.72188670.023162621287.381091299.358162
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Portfolio value in USD61137.848760.0432241242577.2964592589.273531
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oSQTH ETH delta2.0437733950.0632861863869.7461073881.723179
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ETH delta18.70.0833482485164.7300345176.707106
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Net ETH delta20.74377340.134103106462.248246474.225312
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0.1234723727762.3007257774.277797
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Collateral ratio2.2796916280.1435344349064.8874899076.864561
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0.16359649610370.0085310381.9856
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0.18365855811677.6638511689.64093
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4000.2372062012987.8534612999.83053
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-22.708593280.22378268214300.5773414312.55441
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0.24384474415615.8354915627.81257
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swap0.26390680616933.6279316945.605
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1000.28396886818253.9546518265.93172
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5.677148320.3403093019576.8156519588.79272
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10.890388460.091824089070.32409299220902.2109220914.18799
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11.021853770.090728839350.344154105422230.1404822242.11755
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0.364216111623560.6043123572.58138
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0.384278117824893.6024224905.57949
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0.44340124026229.1348126241.11188
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0.424402130227567.2014827579.17855
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0.444464136428907.8024328919.7795
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0.464526142630250.9376630262.91473
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