XMR futures/options OTC thread

[rpietila]

Hi! I wanted to start this thread because I am interested in having derivatives for the XMR/BTC rate. That the trading pair is both crypto, should make it much easier than dealing with the legacy system fiat currency. Please use this for discussion of the subject, as well as actual structured offers to conduct trade.

[rpietila]

In the very beginning, I'd like to issue PUT options. They work such that the buyer has a right, but no obligation, to sell a certain amount of XMR at a fixed price in BTC, and the right in valid for a certain time, and if it is not exercised, it expires.

How would you benefit from buying the PUTs. Example. You own 10000 XMR and in your opinion, it's time to make it or break it. The price is 0.0039, and you think it will either crash or boom in the near future. But if it crashes, you can not actively monitor it, and don't know if the crash is final or a bear trap, and selling such an amount would mean huge slippage. So there is no practical way to cut the losses, until it is too late. (If it goes up, all is naturally fine.)

If you buy full coverage for the sum in 0.0035-30day-PUTs, it will cost about 0.0004, paid upfront. If the 10000 XMR is all you have, you will have to sell 1000 XMR to pay the premium, and you consequently have 10% less upside. But as for the downside, which previously was potentially 100%, you have now hedged up to 90%! If the price drops 10%, you start to benefit from using the PUT, and there is no penalty for waiting longer. You always get to sell at exactly 0.0035, no matter if the exchange price is 0.003 or 0.001.

What if you are a speculator who has secret information of Monero's demise? Buying PUTs is a risk free way to take advantage. If Monero price is halved as a result of your information, you reap 3-4x gains. You don't need to own XMR to buy the PUT. Prior to exercising, you can just buy them cheaply at the exchange and exercise then at the higher strike price.

I am ready to offer different maturities (30-60-90 days). Note, the contract is not a CFD "contract-for-difference". This is an actual obligation by me to buy your moneros at a fixed price if you so request, any time until the expiration of the contract.

[rpietila]

Monero is seen by many to offer explosive upside. Although in general I think that investing in BTC is very high leverage itself, and investing in Monero is higher still, and I advocate investing only maximum of 50% of cryptostash to Monero, and for big stashes even much less (5-10%), I also think that there should be vehicles of effectively betting for even greater upside in Monero.

Leverage - that is. By CALL options.

a CALL option gives you the right, but no obligation, to buy moneros at a price that typically is higher than the current price. The crux of the matter is that with cheap CALLs, you can command a large position with small capital. If your prediction comes true and the XMR price rises over the strike price, you are "in the money", and can get 2-10x the leverage compared to the alternative that you had just bought the coins outright. The downside, of course, is that if the price does not rise, you lose all. For this reason CALL options are typically employed in small amounts to give additional boost to the core position.

Although I believe in the upside myself, since I am proficient in statistics, I hope I am able to offer CALL options also that give potential for leverage, but are not an outright hazard to me.

I own large enough amounts of BTC and XMR that I can 100% cover all my obligations with escrow.

[rpietila]

Tentatively, and subject to feedback, I could be offering the following options:

Code:

Contract full name	Maturity	Type	Strike	Price	B.E.	Leverage
140930-CALL-0.0200	30.9.2014	CALL	0,02000	0,00041	0,02041	951 %
140930-CALL-0.0100	30.9.2014	CALL	0,01000	0,00082	0,01082	476 %
140930-CALL-0.0080	30.9.2014	CALL	0,00800	0,00104	0,00904	375 %
140930-CALL-0.0060	30.9.2014	CALL	0,00600	0,00139	0,00739	281 %
140930-CALL-0.0050	30.9.2014	CALL	0,00500	0,00166	0,00666	236 %
140930-CALL-0.0040	30.9.2014	CALL	0,00400	0,00206	0,00606	190 %
140930-CALL-0.0030	30.9.2014	CALL	0,00300	0,00284	0,00584	137 %
140930-PUT-0.0045	30.9.2014	PUT	0,00450	0,00111	0,00339	353 %
140930-PUT-0.0040	30.9.2014	PUT	0,00400	0,00071	0,00329	553 %
140930-PUT-0.0035	30.9.2014	PUT	0,00350	0,00033	0,00317	1166 %
140930-PUT-0.0030	30.9.2014	PUT	0,00300	0,00020	0,00280	1957 %
140930-PUT-0.0025	30.9.2014	PUT	0,00250	0,00013	0,00237	3107 %

B.E.="breakeven", the BTC/XMR rate, above(CALL)/below(PUT) which the contract is profitable taking the price of the contract into account.


The terms would be such:

- I deposit the whole collateral amount of BTC or XMR with a trusted escrow. I have reserved up to BTC100 and 30,000 XMR for this.

- One contract size is for 1,000 XMR. There is no upper limit except the total reserve.

- Upon interest, the going price for a contract will be quoted in BTC and XMR. The published prices are not binding.

- The price of the contract must be paid in 10 minutes from the quote.

- An office fee of 10 XMR is added to every transaction (buying or exercising the contracts), this is a flat fee, no matter how many contracts are bought or exercised simultaneously.

- The contract can be exercised at any moment during its maturity. It expires if exercised, or if it is still unexercised at the end of its last day, UTC.

- To exercise the contract, the holder must send the appropriate amount of BTC (in case of a CALL option), or XMR (in case of a put option) to the escrow, who will promptly send the XMR (in case of a CALL option) or BTC (in case of a PUT option) back to the contract holder.

- It is upon my, or the escrow's, discretion, whether the option can be exercised as a contract-for-difference (CFD). If I (or the escrow) agrees, the difference between the strike price and the market price of the asset is send to the contract holder, without his needing to send anything in return. This service carries a slippage fee, calculated from the Poloniex orderbook, and the amount offered is entirely at the discretion of me (or the escrow).

- The options may not be available to be bought if the issuer is not online. The right to exercise the option is not dependent on this however, because the only thing needed for exercise is the contract holder making a transaction to the escrow address for his part of the exercise. This timestamp will determine if the contract was exercised or not, and the exercise price is determined by the contract alone, and is not dependent of the market price.

[aminorex]

this will become a lot more interesting when you are making market (buying as well as selling) and there are at least two expirations in play.  

you are sufficiently capitalized for now, but if you expose yourself more in future, do beware of insiders/hackers breaking your statistics.

anyhow, this is really great news for xmr.  rock on, sir.

[rpietila]

this will become a lot more interesting when you are making market (buying as well as selling) and there are at least two expirations in play.   

you are sufficiently capitalized for now, but if you expose yourself more in future, do beware of insiders/hackers breaking your statistics.

If there is a market demand for this, the roadmap would be as follows:

- Setting up a consortium of XMR(+BTC) owners that can provide ultimate liquidity, to the tune of 5-10% of the current mintage.
- Offering multiple expirations, possibly at least 3 months to the future.
- Offering two-way prices for the contracts to be bought and sold without exercising them.

Having leveraged markets for such a volatile underlying as XMR is, is risky to the issuer. The only remedy is that the issuer is publicly known to be in the position to "control" the market, so that every attacker with his short-term plans to manipulate the price must credibly fear a speedy retaliation.

[iourzzz]

this will become a lot more interesting when you are making market (buying as well as selling) and there are at least two expirations in play.  

you are sufficiently capitalized for now, but if you expose yourself more in future, do beware of insiders/hackers breaking your statistics.

If there is a market demand for this, the roadmap would be as follows:

- Setting up a consortium of XMR(+BTC) owners that can provide ultimate liquidity, to the tune of 5-10% of the current mintage.
- Offering multiple expirations, possibly at least 3 months to the future.
- Offering two-way prices for the contracts to be bought and sold without exercising them.

Having leveraged markets for such a volatile underlying as XMR is, is risky to the issuer. The only remedy is that the issuer is publicly known to be in the position to "control" the market, so that every attacker with his short-term plans to manipulate the price must credibly fear a speedy retaliation.

Very exciting initiative. It can attract even wider interest to XMR market.

[bigj]

Tentatively, and subject to feedback, I could be offering the following options:

Code:

Contract full name	Maturity	Type	Strike	Price	B.E.	Leverage
140930-CALL-0.0200	30.9.2014	CALL	0,02000	0,00041	0,02041	951 %
140930-CALL-0.0100	30.9.2014	CALL	0,01000	0,00082	0,01082	476 %
140930-CALL-0.0080	30.9.2014	CALL	0,00800	0,00104	0,00904	375 %
140930-CALL-0.0060	30.9.2014	CALL	0,00600	0,00139	0,00739	281 %
140930-CALL-0.0050	30.9.2014	CALL	0,00500	0,00166	0,00666	236 %
140930-CALL-0.0040	30.9.2014	CALL	0,00400	0,00206	0,00606	190 %
140930-CALL-0.0030	30.9.2014	CALL	0,00300	0,00284	0,00584	137 %
140930-PUT-0.0045	30.9.2014	PUT	0,00450	0,00111	0,00339	353 %
140930-PUT-0.0040	30.9.2014	PUT	0,00400	0,00071	0,00329	553 %
140930-PUT-0.0035	30.9.2014	PUT	0,00350	0,00033	0,00317	1166 %
140930-PUT-0.0030	30.9.2014	PUT	0,00300	0,00020	0,00280	1957 %
140930-PUT-0.0025	30.9.2014	PUT	0,00250	0,00013	0,00237	3107 %

Nicely done. But it reminds me of the anyoption.com hoax business. Using options in illiquid markets is like gambling in a casino (knowing your chances to win are way below 50%). Of course it makes sence to offer these (option-) games if you are in control, e.g., by having a big portion of money in your hands, or by owning the casino, etc.

[Vanderi]

Please explain like I'm 5 - what happens if I give 1k XMR only because I want to invest in you as a person?

I certainly think many people find Risto Pietila as an establishment in himself here and believe in his undertakings, but do not hold advanced economic grasp on .....different offerings. That said it might be beneficial to explain it further.

Thanks.


edit* sorry I missed the first posts - i followed a clicky from a certain location directly to the options post. But please do elaborate if you still feel the need, I will read the OP.

[Hunyadi]

this will become a lot more interesting when you are making market (buying as well as selling) and there are at least two expirations in play.   

you are sufficiently capitalized for now, but if you expose yourself more in future, do beware of insiders/hackers breaking your statistics.

If there is a market demand for this, the roadmap would be as follows:

- Setting up a consortium of XMR(+BTC) owners that can provide ultimate liquidity, to the tune of 5-10% of the current mintage.
- Offering multiple expirations, possibly at least 3 months to the future.
- Offering two-way prices for the contracts to be bought and sold without exercising them.

Having leveraged markets for such a volatile underlying as XMR is, is risky to the issuer. The only remedy is that the issuer is publicly known to be in the position to "control" the market, so that every attacker with his short-term plans to manipulate the price must credibly fear a speedy retaliation.

Doesn't that mean, that issuer could manipulate the price?

[rpietila]

Doesn't that mean, that issuer could manipulate the price?

Issuer can freely decide the price of the option, including the buy/sell rates in the aftermarket.

XMR trading volume is typically 100-300 BTC per day in Poloniex alone, so anyone having this much in the trading kitty is equally able to influence the price of the underlying.

Options are not to be used as lottery tickets. If you purchase a call, meaning that you are bullish and want to leverage the move up, and the move up does not materialize due to suspected manipulation, you are free to take advantage of the low prices by buying the coins in the market instead, etc.

In the end, market always wins.

[rpietila]

It would be trivial to offer leveraged positions also, manually. Like this:

- send guarantee (33% of the position in BTC) to the escrow
- you can buy and sell with Poloniex rates
- position will be margincalled at 25% and closed at 15%
- any slippage losses remain with the issuer
- BTC loan rate is not really too high, eg. 0.04% daily

And similarly with shorts...

[luigi1111]

this will become a lot more interesting when you are making market (buying as well as selling) and there are at least two expirations in play.  

you are sufficiently capitalized for now, but if you expose yourself more in future, do beware of insiders/hackers breaking your statistics.

anyhow, this is really great news for xmr.  rock on, sir.

Let's be real here, an actual market wouldn't let him offer ATM calls at a 300%+ vol premium to ATM puts.

What's this about there being risk to the issuer? From what I can tell, he's only offering fully covered sales, a la "covered call" and "cash-secured put". There isn't really any meaningful risk to the issuer. The only reason it's still attractive (to the seller) even fully covered is the sky-high vol (which could absolutely be justified, even though it's artificial/arbitrary).

With that said, I'd love to offer a few contracts at these prices with the same conditions as Risto's.

[bobabouey2]

I ran a quick check of the implied volatilities.  It is pasted as an image, I can try and upload the excel file later.  However, you can test any of the assumptions at an online calculator, like here:  http://www.math.columbia.edu/~smirnov/options13.html

Edit: Everything with a dollar sign is actually monero in thousands.

It appears based on this analysis that these options are priced using something other than black scholes.  The far out of the money options have higher lower implied volatility than the nearer or in-the-money options.  And the puts have much lower implied volatility than the calls.  From a Black Scholes perspective, this would indicate the better trades are the more out-of-the-money calls, or the puts.

The reason for the row titled "Differ (observed - model) is the way I threw this together was from an excel template that requires a "what-if" analysis on each option calculation to get an implied price that is very close to the listed price.

I'm aware that Black Scholes is not perfect, but I think the information is interesting.

Risto, are you able to calculate actual historical volatility from your dataset of historical trading prices of poloniex, or could someone point me to a source?  Poloniex only seemed to provide more recent trade data, and I don't know how to convert the graph information into data.

[Scott J]

this will become a lot more interesting when you are making market (buying as well as selling) and there are at least two expirations in play.   

you are sufficiently capitalized for now, but if you expose yourself more in future, do beware of insiders/hackers breaking your statistics.

If there is a market demand for this, the roadmap would be as follows:

- Setting up a consortium of XMR(+BTC) owners that can provide ultimate liquidity, to the tune of 5-10% of the current mintage.
- Offering multiple expirations, possibly at least 3 months to the future.
- Offering two-way prices for the contracts to be bought and sold without exercising them.

Having leveraged markets for such a volatile underlying as XMR is, is risky to the issuer. The only remedy is that the issuer is publicly known to be in the position to "control" the market, so that every attacker with his short-term plans to manipulate the price must credibly fear a speedy retaliation.

Nice idea, I like it.

However, none of the quoted options look like they would profit to me.

If or when you offer expirations longer than 3 months away, I could be interested.

[GreekBitcoin]

So lets say that i have 1000 XMR and i believe the price will go up soon. I believe it can double really soon due to a bubble or due to something major...Mining is getting more difficult by the month after all...
Lets also assume that i dont have time to watch the markets and trade for 45-60 days because of too much workload workload.

What should i do?

[luigi1111]

So lets say that i have 1000 XMR and i believe the price will go up soon. I believe it can double really soon due to a bubble or due to something major...Mining is getting more difficult by the month after all...
Lets also assume that i dont have time to watch the markets and trade for 45-60 days because of too much workload workload.

What should i do?

Buy more?

[GreekBitcoin]

So lets say that i have 1000 XMR and i believe the price will go up soon. I believe it can double really soon due to a bubble or due to something major...Mining is getting more difficult by the month after all...
Lets also assume that i dont have time to watch the markets and trade for 45-60 days because of too much workload workload.

What should i do?

Buy more?

I am mostly trying to see if someone wants to offer some sort of term deposits...

[luigi1111]

So lets say that i have 1000 XMR and i believe the price will go up soon. I believe it can double really soon due to a bubble or due to something major...Mining is getting more difficult by the month after all...
Lets also assume that i dont have time to watch the markets and trade for 45-60 days because of too much workload workload.

What should i do?

Buy more?

I am mostly trying to see if someone wants to offer some sort of term deposits...

You're basically wanting to get some leverage? Like buying a call option? Or do you want to buy on margin?

[rpietila]

I ran a quick check of the implied volatilities.  It is pasted as an image, I can try and upload the excel file later.  However, you can test any of the assumptions at an online calculator, like here:  http://www.math.columbia.edu/~smirnov/options13.html

Edit: Everything with a dollar sign is actually monero in thousands.

It appears based on this analysis that these options are priced using something other than black scholes.  The far out of the money options have higher lower implied volatility than the nearer or in-the-money options.  And the puts have much lower implied volatility than the calls.  From a Black Scholes perspective, this would indicate the better trades are the more out-of-the-money calls, or the puts.

The reason for the row titled "Differ (observed - model) is the way I threw this together was from an excel template that requires a "what-if" analysis on each option calculation to get an implied price that is very close to the listed price.

I'm aware that Black Scholes is not perfect, but I think the information is interesting.

Risto, are you able to calculate actual historical volatility from your dataset of historical trading prices of poloniex, or could someone point me to a source?  Poloniex only seemed to provide more recent trade data, and I don't know how to convert the graph information into data.

My model is not B-S, it is "rpietila BS" 

The higher implied volatility in in-the-money calls is due to the options being American-style (B-S pricing method is valid for European options).

The much lower volatility in puts is due to my own bias in wanting the people to buy puts, because then I can only win - either I get cheap moneros or get to keep the premiums. With calls, my bullishness is visibly shown, and also the options pricing methods do not take into account the fat tail that is many times manifested with cryptos (10x or even 50x increases in a month).

Also it is possible for me to support the price from going down, but impossible to prevent it from going up.

Poloniex offers all historical trades as a data dump.

[Scott J]

My model is not B-S, it is "rpietila BS" 

The higher implied volatility in in-the-money calls is due to the options being American-style (B-S pricing method is valid for European options).

The much lower volatility in puts is due to my own bias in wanting the people to buy puts, because then I can only win - either I get cheap moneros or get to keep the premiums. With calls, my bullishness is visibly shown, and also the options pricing methods do not take into account the fat tail that is many times manifested with cryptos (10x or even 50x increases in a month).

Also it is possible for me to support the price from going down, but impossible to prevent it from going up.

Poloniex offers all historical trades as a data dump.

You say "impossible", but you could prevent it from going up if you sold some of your holdings.

I know you are a bull, but you might be inclined to do this short-term.

[rpietila]

this will become a lot more interesting when you are making market (buying as well as selling) and there are at least two expirations in play.  

you are sufficiently capitalized for now, but if you expose yourself more in future, do beware of insiders/hackers breaking your statistics.

anyhow, this is really great news for xmr.  rock on, sir.

Let's be real here, an actual market wouldn't let him offer ATM calls at a 300%+ vol premium to ATM puts.

If the actual market would offer calls with the same vol as I am offering puts, I'd be glad to buy them.

Why?

- As for the expensive calls, cryptocurrency is not a stock, its value has no upper bound. It can appreciate really quickly and go really high. The options pricing models have not been calibrated with crypto price datasets, which are heavily skewed to the fat tail to the upside.

- As for the cheap puts, it is quite disingenious to pretend that XMR price has a large downside risk, because it doesn't.

[rpietila]

My model is not B-S, it is "rpietila BS" 

The higher implied volatility in in-the-money calls is due to the options being American-style (B-S pricing method is valid for European options).

The much lower volatility in puts is due to my own bias in wanting the people to buy puts, because then I can only win - either I get cheap moneros or get to keep the premiums. With calls, my bullishness is visibly shown, and also the options pricing methods do not take into account the fat tail that is many times manifested with cryptos (10x or even 50x increases in a month).

Also it is possible for me to support the price from going down, but impossible to prevent it from going up.

Poloniex offers all historical trades as a data dump.

You say "impossible", but you could prevent it from going up if you sold some of your holdings.

I know you are a bull, but you might be inclined to do this short-term.

Selling in the early stages of an uptrend just does not pay off. I am anticipating a megamove that takes Monero to another decimal. Once we leave 0.004 we are not seeing it again. Selling valuable moneros at these peanuts price levels is never going to be worth it just to prevent the call holders from "making money" on their calls. If I keep the price below their strike, they can just buy the coins at an even cheaper price from me the manipulator, shooting my own foot in pursuit of imaginary gains.

Not to mention that my actual ability to influence the price down is very very much less than the potential to force it up. It is in direct correlation to the ratio of the market values of my BTC:XMR, which, despite all rumors, is still a large number 

[ArticMine]

First congratulations an an excellent initiative. As for pricing the calls, this really comes down to finding an underwriter willing to do this for a lower premium, under the same terms. Apart from the XMR's strength there is also the possibility of a sharp rise in XBT/USD leading to a sharp rise in XMR/XBT. Writing calls on XMR/XBT makes me very nervous in this market, but there may be others who are interested for a lower premium.

[rpietila]

First congratulations an an excellent initiative. As for pricing the calls, this really comes down to finding an underwriter willing to do this for a lower premium, under the same terms. Apart from the XMR's strength there is also the possibility of a sharp rise in XBT/USD leading to a sharp rise in XMR/XBT. Writing calls on XMR/XBT makes me very nervous in this market, but there may be others who are interested for a lower premium.

Yes, let the market work. After all you can easily be 100% covered, because it is a nobrainer that anyone interested in this business is anyway a big holder of both XMR and BTC. If for example I decide to write calls and they are bought in great quantities and become wildly profitable, I am happy to eat the "loss" of XMR going up since I was overweight in XMR anyway.

[bobabouey2]

I may be dense today, but I can not find the batch download function for all trading prices, just for my trades...

[rpietila]

I may be dense today, but I can not find the batch download function for all trading prices, just for my trades...

Busoni mentioned that it is possible to get somehow. Perhaps via an API call...

[Skinnkavaj]

OK I will be the first to take the risk of losing 1000 XMR by placing a call order.

I want to use 1000 XMR of my own and place a call on XMR/BTC reaching 0.01 before 31st of September.

You are giving away money rpietila.

[rpietila]

OK I will be the first to take the risk of losing 1000 XMR by placing a call order.

I want to use 1000 XMR of my own and place a call on XMR/BTC reaching 0.01 before 31st of September.

You are giving away money rpietila.

OK, you want to invest 1000 XMR in the option premium I presume. That is BTC3.96.

The contract 140930-CALL-0.0100 costs BTC0.00082 per XMR. 5 contracts for 5000 XMR would cost you BTC4.20. Since I am giving away money, I am willing to sell them to you for 1000 XMR.

So until September 30th, you have the right, but no obligation, to buy 5000 XMR from me at 0.01.

I originally did not want to start this yet before evaluating the comments and pricing, but hey, let's give it a go. If you are still serious about it, send a PM, and I will send my BTC/XMR address whichever you prefer!

[Skinnkavaj]

PM sent.

[bobabouey2]

My model is not B-S, it is "rpietila BS" 

The higher implied volatility in in-the-money calls is due to the options being American-style (B-S pricing method is valid for European options).

The much lower volatility in puts is due to my own bias in wanting the people to buy puts, because then I can only win - either I get cheap moneros or get to keep the premiums. With calls, my bullishness is visibly shown, and also the options pricing methods do not take into account the fat tail that is many times manifested with cryptos (10x or even 50x increases in a month).

Also it is possible for me to support the price from going down, but impossible to prevent it from going up.

Poloniex offers all historical trades as a data dump.

I understand your logic, and to avoid any doubt, I wasn't trying to criticize your pricing as unsound, I was just curious to see what the implied volatility was.  I trade equity options frequently, and it is one of the first things I look at to get a sense of option prices.

And as for Black Scholes on an American option, I think for calls it is generally considered to be applicable if there are no dividends.  And, in practice, since few options are exercised early, using it to approximate the implied volatility of an American put or call is common.

[rpietila]

I understand your logic, and to avoid any doubt, I wasn't trying to criticize your pricing as unsound, I was just curious to see what the implied volatility was.  I trade equity options frequently, and it is one of the first things I look at to get a sense of option prices.

Well guess who is in the receiving end if the pricing is unsound..

And as for Black Scholes on an American option, I think for calls it is generally considered to be applicable if there are no dividends.  And, in practice, since few options are exercised early, using it to approximate the implied volatility of an American put or call is common.

The high implied volatility for at-the-money CALLs, is the result of my model taking into account the observed monthly price cycle, combined with the fact that the option can be exercised early, leading to a much higher percentage of early exercise than typically observed (since this proposal of mine did not include aftermarkets, which naturally quench early exercise).

[luigi1111]

this will become a lot more interesting when you are making market (buying as well as selling) and there are at least two expirations in play.  

you are sufficiently capitalized for now, but if you expose yourself more in future, do beware of insiders/hackers breaking your statistics.

anyhow, this is really great news for xmr.  rock on, sir.

Let's be real here, an actual market wouldn't let him offer ATM calls at a 300%+ vol premium to ATM puts.

If the actual market would offer calls with the same vol as I am offering puts, I'd be glad to buy them.

Why?

- As for the expensive calls, cryptocurrency is not a stock, its value has no upper bound. It can appreciate really quickly and go really high. The options pricing models have not been calibrated with crypto price datasets, which are heavily skewed to the fat tail to the upside.

- As for the cheap puts, it is quite disingenious to pretend that XMR price has a large downside risk, because it doesn't.

There is no model I know of that can adequately accommodate such risk. The vol cannot exceed a certain amount (depending on expiration date). A call cannot be priced higher than the underlying.

I'm also not trying to "pretend" or assume anything in regards to price.

I'm only saying that, given the opportunity (i.e., an actual market), I would short combo you (+ my own long XMR of course) into oblivion (more likely until the price rose enough that you changed your put/call prices to be appropriate at the new ATM strike due to not anticipating as much upside anymore, given that the market is pretty illiquid).

[rpietila]

There is no model I know of that can adequately accommodate such risk. The vol cannot exceed a certain amount (depending on expiration date). A call cannot be priced higher than the underlying.

I'm also not trying to "pretend" or assume anything in regards to price.

I'm only saying that, given the opportunity (i.e., an actual market), I would short combo you (+ my own long XMR of course) into oblivion (more likely until the price rose enough that you changed your put/call prices to be appropriate at the new ATM strike due to not anticipating as much upside anymore, given that the market is pretty illiquid).

I fully understand that you are supporting my initiative of creating the options market, and I understand that you are not attacking me. I also understand that if there were a two-sided efficient market, the market would price the options, and every single actor would be a price-taker. Furthermore, despite that the notional value of 5000 XMR is already traded, I did not even intend the current prices to be actual or factual.

So I refuse to be offended. What you would do, could only happen in the circumstances where it could not happen. 

[luigi1111]

There is no model I know of that can adequately accommodate such risk. The vol cannot exceed a certain amount (depending on expiration date). A call cannot be priced higher than the underlying.

I'm also not trying to "pretend" or assume anything in regards to price.

I'm only saying that, given the opportunity (i.e., an actual market), I would short combo you (+ my own long XMR of course) into oblivion (more likely until the price rose enough that you changed your put/call prices to be appropriate at the new ATM strike due to not anticipating as much upside anymore, given that the market is pretty illiquid).

I fully understand that you are supporting my initiative of creating the options market, and I understand that you are not attacking me. I also understand that if there were a two-sided efficient market, the market would price the options, and every single actor would be a price-taker. Furthermore, despite that the notional value of 5000 XMR is already traded, I did not even intend the current prices to be actual or factual.

So I refuse to be offended. What you would do, could only happen in the circumstances where it could not happen.  

I know.  

I was not trying to offend or attack you, so we're on the same page there. I am more impressed there was a buyer already (and may be more out there?). I will follow with interest, and am quite possibly interested in offering my own options for sale if there's some deal that can be worked out.

[Scott J]

OK I will be the first to take the risk of losing 1000 XMR by placing a call order.

I want to use 1000 XMR of my own and place a call on XMR/BTC reaching 0.01 before 31st of September.

You are giving away money rpietila.

OK, you want to invest 1000 XMR in the option premium I presume. That is BTC3.96.

The contract 140930-CALL-0.0100 costs BTC0.00082 per XMR. 5 contracts for 5000 XMR would cost you BTC4.20. Since I am giving away money, I am willing to sell them to you for 1000 XMR.

So until September 30th, you have the right, but no obligation, to buy 5000 XMR from me at 0.01.

I originally did not want to start this yet before evaluating the comments and pricing, but hey, let's give it a go. If you are still serious about it, send a PM, and I will send my BTC/XMR address whichever you prefer!

Just to make sure I am not working this out incorrectly, I make 5 contracts for 5000 XMR BTC4.10 not BTC4.20.

5000 x 0.00082 = 4.10

Still well above the cost of 1000 XMR, however.

[rpietila]

Just to make sure I am not working this out incorrectly, I make 5 contracts for 5000 XMR BTC4.10 not BTC4.20.

5000 x 0.00082 = 4.10

Still well above the cost of 1000 XMR, however.

Sorry. I misremembered the office fee at BTC0.1 instead of the 10 XMR (=BTC0.0396). Luckily this time is was included in my discount anyway.

[rpietila]

Risto, are you able to calculate actual historical volatility from your dataset of historical trading prices of poloniex, or could someone point me to a source?  Poloniex only seemed to provide more recent trade data, and I don't know how to convert the graph information into data.

I ran a quick calculation based on the exhange history (the very beginnings at OTC omitted). The average of ABS(daily vwap change) was 11.97%, and since the number of trading days per year is 365, the annual volatility is 229%. Am I correct?

The using of vwap's, instead of closes, smoothens the ride, but that was all the data I had. For example the latest rally top was 0.00580, yet the vwap of the day was only 0.00505 (top was 14.9% higher).

It may be that 400%+ implied volatility is a bit steep, but let's leave it to the market. If somebody wants to write at 200%, I will be a buyer

Like I told earlier, the puts are cheap. But this is based on my own calculations about support levels, trendlines and such, which almost totally disregard the event of price dropping 50% in any timeframe, whereas the price rising 100% is a near certainty based on the fundamentals, and only a question of time. The PUT-CALL disparity will hold at least in my pricing, and you are free to punish me however you see fit (luigi1111!).

We already have 5000 XMR open interest, so perhaps I will continue and recalculate the prices for these options and add some 2-month ones as well.

[Scott J]

We already have 5000 XMR open interest, so perhaps I will continue and recalculate the prices for these options and add some 2-month ones as well.

2 month options would interest me.

[Skinnkavaj]

It is very good for everyone involved that rpietila is doing this.
PUT and CALL options is new to a lot of people, and many do not know how they work.
Let me try explain why it is good, a put option let you hedge yourself against a potentional crash in the XMR market. Since the upside is so great with XMR, and when you have the option to hedge yourself like this it is why I am joking with rpietila and saying he is giving away money. Because you can also place a CALL option like I did, and if you believe prices are going to rise (inevitable now), you can take advantage of the leverage rpietila is offering you by placing a CALL option.

If you still do not understand how this works, pm me and I will try answer them. I am also on freenode in #monero-dev and #monero.

[rpietila]

Code:

Sell	Buyback	Contract full name	Maturity	Type	Strike	B.E	Lev.	Imp vol	Open interest
0,00015	0,00009	140930-CALL-0.0200	30.9.2014	CALL	0,02000	0,02012	3409 %	300 %	
0,00055	0,00037	140930-CALL-0.0100	30.9.2014	CALL	0,01000	0,01046	889 %	300 %	[s]5000[/s] bought back
0,00077	0,00053	140930-CALL-0.0080	30.9.2014	CALL	0,00800	0,00865	631 %	300 %	
0,00111	0,00079	140930-CALL-0.0060	30.9.2014	CALL	0,00600	0,00695	432 %	300 %	
0,00136	0,00098	140930-CALL-0.0050	30.9.2014	CALL	0,00500	0,00617	351 %	300 %	
0,00179	0,00131	140930-CALL-0.0040	30.9.2014	CALL	0,00400	0,00555	265 %	320 %	
0,00229	0,00170	140930-CALL-0.0030	30.9.2014	CALL	0,00300	0,00500	205 %	340 %	
0,00120	0,00086	140930-PUT-0.0045	30.9.2014	PUT	0,00450	0,00347	397 %	160 %	
0,00085	0,00059	140930-PUT-0.0040	30.9.2014	PUT	0,00400	0,00328	569 %	160 %	
0,00055	0,00037	140930-PUT-0.0035	30.9.2014	PUT	0,00350	0,00304	891 %	160 %	
0,00032	0,00020	140930-PUT-0.0030	30.9.2014	PUT	0,00300	0,00274	1587 %	160 %	
0,00015	0,00009	140930-PUT-0.0025	30.9.2014	PUT	0,00250	0,00238	3436 %	160 %	
0,00046	0,00030	141031-CALL-0.0200	31.10.2014	CALL	0,02000	0,02038	1068 %	280 %	
0,00103	0,00072	141031-CALL-0.0100	31.10.2014	CALL	0,01000	0,01088	468 %	280 %	5000
0,00127	0,00091	141031-CALL-0.0080	31.10.2014	CALL	0,00800	0,00909	377 %	280 %	
0,00160	0,00117	141031-CALL-0.0060	31.10.2014	CALL	0,00600	0,00739	296 %	280 %	
0,00183	0,00134	141031-CALL-0.0050	31.10.2014	CALL	0,00500	0,00659	258 %	280 %	
0,00224	0,00167	141031-CALL-0.0040	31.10.2014	CALL	0,00400	0,00595	210 %	300 %	
0,00269	0,00202	141031-CALL-0.0030	31.10.2014	CALL	0,00300	0,00536	174 %	320 %	
0,00155	0,00113	141031-PUT-0.0045	31.10.2014	PUT	0,00450	0,00316	306 %	160 %	
0,00118	0,00084	141031-PUT-0.0040	31.10.2014	PUT	0,00400	0,00299	405 %	160 %	
0,00085	0,00059	141031-PUT-0.0035	31.10.2014	PUT	0,00350	0,00278	567 %	160 %	
0,00057	0,00038	141031-PUT-0.0030	31.10.2014	PUT	0,00300	0,00252	861 %	160 %	
0,00034	0,00021	141031-PUT-0.0025	31.10.2014	PUT	0,00250	0,00222	1475 %	160 %	
0,00069	0,00047	141130-CALL-0.0200	30.11.2014	CALL	0,02000	0,02058	709 %	260 %	
0,00130	0,00093	141130-CALL-0.0100	30.11.2014	CALL	0,01000	0,01112	368 %	260 %	
0,00154	0,00112	141130-CALL-0.0080	30.11.2014	CALL	0,00800	0,00933	309 %	260 %	
0,00186	0,00137	141130-CALL-0.0060	30.11.2014	CALL	0,00600	0,00761	254 %	260 %	
0,00207	0,00153	141130-CALL-0.0050	30.11.2014	CALL	0,00500	0,00680	227 %	260 %	
0,00248	0,00185	141130-CALL-0.0040	30.11.2014	CALL	0,00400	0,00617	189 %	280 %	
0,00291	0,00219	141130-CALL-0.0030	30.11.2014	CALL	0,00300	0,00555	161 %	300 %	
0,00180	0,00132	141130-PUT-0.0045	30.11.2014	PUT	0,00450	0,00294	262 %	160 %	
0,00142	0,00103	141130-PUT-0.0040	30.11.2014	PUT	0,00400	0,00277	334 %	160 %	
0,00108	0,00076	141130-PUT-0.0035	30.11.2014	PUT	0,00350	0,00258	446 %	160 %	
0,00077	0,00053	141130-PUT-0.0030	30.11.2014	PUT	0,00300	0,00235	635 %	160 %	
0,00050	0,00033	141130-PUT-0.0025	30.11.2014	PUT	0,00250	0,00209	992 %	160 %	

- All prices are subject to change; if you want to buy an option, request a quote first.
- Sell price is the price you can buy the option.
- Buyback is the price I can buy back the option I have issued.
- Breakeven, leverage and implied volatility have been calculated from the average of sell and buyback prices.
- previous rules apply.

Note that buyback is only possible if I am online and don't bitch if I quote a price less than you'd hope. Your contractual right when buying an option is to buy or sell XMR at the agreed price, the buyback is just a bonus.

[bobabouey2]

Risto, are you able to calculate actual historical volatility from your dataset of historical trading prices of poloniex, or could someone point me to a source?  Poloniex only seemed to provide more recent trade data, and I don't know how to convert the graph information into data.

I ran a quick calculation based on the exhange history (the very beginnings at OTC omitted). The average of ABS(daily vwap change) was 11.97%, and since the number of trading days per year is 365, the annual volatility is 229%. Am I correct?

The using of vwap's, instead of closes, smoothens the ride, but that was all the data I had. For example the latest rally top was 0.00580, yet the vwap of the day was only 0.00505 (top was 14.9% higher).

It may be that 400%+ implied volatility is a bit steep, but let's leave it to the market. If somebody wants to write at 200%, I will be a buyer

Like I told earlier, the puts are cheap. But this is based on my own calculations about support levels, trendlines and such, which almost totally disregard the event of price dropping 50% in any timeframe, whereas the price rising 100% is a near certainty based on the fundamentals, and only a question of time. The PUT-CALL disparity will hold at least in my pricing, and you are free to punish me however you see fit (luigi1111!).

We already have 5000 XMR open interest, so perhaps I will continue and recalculate the prices for these options and add some 2-month ones as well.

I think volatility for BS is standard deviation of daily change * sqrt of number of days.  See this link, which also has a model you can use.  http://adamhgrimes.com/blog/how-do-you-calculate-volatility-in-excel/

Incidentally, I compared your calculation against that calculation, and yours came out much lower.  So it may be that your 400% is entirely justified by history, let alone potential future moves for a microcap beta cryptocurrency.

[rpietila]

Risto, are you able to calculate actual historical volatility from your dataset of historical trading prices of poloniex, or could someone point me to a source?  Poloniex only seemed to provide more recent trade data, and I don't know how to convert the graph information into data.

I ran a quick calculation based on the exhange history (the very beginnings at OTC omitted). The average of ABS(daily vwap change) was 11.97%, and since the number of trading days per year is 365, the annual volatility is 229%. Am I correct?

The using of vwap's, instead of closes, smoothens the ride, but that was all the data I had. For example the latest rally top was 0.00580, yet the vwap of the day was only 0.00505 (top was 14.9% higher).

It may be that 400%+ implied volatility is a bit steep, but let's leave it to the market. If somebody wants to write at 200%, I will be a buyer

Like I told earlier, the puts are cheap. But this is based on my own calculations about support levels, trendlines and such, which almost totally disregard the event of price dropping 50% in any timeframe, whereas the price rising 100% is a near certainty based on the fundamentals, and only a question of time. The PUT-CALL disparity will hold at least in my pricing, and you are free to punish me however you see fit (luigi1111!).

We already have 5000 XMR open interest, so perhaps I will continue and recalculate the prices for these options and add some 2-month ones as well.

I think volatility for BS is standard deviation of daily change * sqrt of number of days.  See this link, which also has a model you can use.  http://adamhgrimes.com/blog/how-do-you-calculate-volatility-in-excel/

Incidentally, I compared your calculation against that calculation, and yours came out much lower.  So it may be that your 400% is entirely justified by history, let alone potential future moves for a microcap beta cryptocurrency.

Anyway now I have the numbers out. They are calculated with B-S. The imp vol is shown. It is now possible to get 30x leverage by betting that the price will go up more than 5x in a month. I am fully aware that I may be selling these at a -EV but I am not gambling. I have the XMR to cover everything I sell, and perhaps I'd be happy myself if the event indeed materialized

[bobabouey2]

Anyway now I have the numbers out. They are calculated with B-S. The imp vol is shown. It is now possible to get 30x leverage by betting that the price will go up more than 5x in a month. I am fully aware that I may be selling these at a -EV but I am not gambling. I have the XMR to cover everything I sell, and perhaps I'd be happy myself if the event indeed materialized

Great project, and impressive you got it going in a few days.  I'm tempted to buy some just to say I participated, but I do my own taxes, and am lazy, so I may just hold on to my existing stake...

[luigi1111]

Risto, are you able to calculate actual historical volatility from your dataset of historical trading prices of poloniex, or could someone point me to a source?  Poloniex only seemed to provide more recent trade data, and I don't know how to convert the graph information into data.

I ran a quick calculation based on the exhange history (the very beginnings at OTC omitted). The average of ABS(daily vwap change) was 11.97%, and since the number of trading days per year is 365, the annual volatility is 229%. Am I correct?

The using of vwap's, instead of closes, smoothens the ride, but that was all the data I had. For example the latest rally top was 0.00580, yet the vwap of the day was only 0.00505 (top was 14.9% higher).

It may be that 400%+ implied volatility is a bit steep, but let's leave it to the market. If somebody wants to write at 200%, I will be a buyer

Like I told earlier, the puts are cheap. But this is based on my own calculations about support levels, trendlines and such, which almost totally disregard the event of price dropping 50% in any timeframe, whereas the price rising 100% is a near certainty based on the fundamentals, and only a question of time. The PUT-CALL disparity will hold at least in my pricing, and you are free to punish me however you see fit (luigi1111!).

We already have 5000 XMR open interest, so perhaps I will continue and recalculate the prices for these options and add some 2-month ones as well.

Hehe.

What escrow are you using?

After thinking about it some more, I'd like to offer up to 5 Contracts, calls only, .01 strike or higher only, 10% discount to Risto's current price (if we come up with a mechanism to have up to date prices, if not, we'd have to work something else out).

Edit: didn't see the new prices before posting this. Front two expirations only.

[rpietila]

What escrow are you using?

After thinking about it some more, I'd like to offer up to 5 Contracts, calls only, .01 strike or higher only, 10% discount to Risto's current price (if we come up with a mechanism to have up to date prices, if not, we'd have to work something else out).

David Latapie. How about you?

How much would it cost to have a real time options exchange with writing privileges for those who have escrowed their position?

I think despite the discount, many would currently still buy from me because I am such a nice guy, everything works smoothly and I offer buyback. Tell me if you get any customers! 

[luigi1111]

What escrow are you using?

After thinking about it some more, I'd like to offer up to 5 Contracts, calls only, .01 strike or higher only, 10% discount to Risto's current price (if we come up with a mechanism to have up to date prices, if not, we'd have to work something else out).

David Latapie. How about you?

How much would it cost to have a real time options exchange with writing privileges for those who have escrowed their position?

I think despite the discount, many would currently still buy from me because I am such a nice guy, everything works smoothly and I offer buyback. Tell me if you get any customers!  

Will do!

I assumed they would as such, that's the entire reason for the discount. I need to look over your new pricing data a bit more to get a better feel for what I want to do.

Edit: as for an actual real-time exchange, I don't think it should be that difficult? I'm not a coder, but surely there is someone capable around here with the necessary options knowledge that could whip something up. If no naked writing is allowed, there's really very little risk to the exchange offering the service. I don't really like the idea of keeping the full amount of the write in escrow (or at the exchange if you prefer), hacking and all that. I'm don't presently know of a good way around it though.

Busoni is a pretty big XMR supporter, right? Wonder if he would be able to do something like that at Poloniex.

[rpietila]

I can't even describe how profound this is what we are doing! A competitive market of options issuers for a coin that has only $6M marketcap!

Something has to give. Soon 

[luigi1111]

Code:

Sell	Buyback	Contract full name	Maturity	Type	Strike	B.E	Lev.	Imp vol	Open interest
0,00015	0,00009	140930-CALL-0.0200	30.9.2014	CALL	0,02000	0,02012	3409 %	300 %	
0,00055	0,00037	140930-CALL-0.0100	30.9.2014	CALL	0,01000	0,01046	889 %	300 %	5000
0,00077	0,00053	140930-CALL-0.0080	30.9.2014	CALL	0,00800	0,00865	631 %	300 %	
0,00111	0,00079	140930-CALL-0.0060	30.9.2014	CALL	0,00600	0,00695	432 %	300 %	
0,00136	0,00098	140930-CALL-0.0050	30.9.2014	CALL	0,00500	0,00617	351 %	300 %	
0,00179	0,00131	140930-CALL-0.0040	30.9.2014	CALL	0,00400	0,00555	265 %	320 %	
0,00229	0,00170	140930-CALL-0.0030	30.9.2014	CALL	0,00300	0,00500	205 %	340 %	
0,00120	0,00086	140930-PUT-0.0045	30.9.2014	PUT	0,00450	0,00347	397 %	160 %	
0,00085	0,00059	140930-PUT-0.0040	30.9.2014	PUT	0,00400	0,00328	569 %	160 %	
0,00055	0,00037	140930-PUT-0.0035	30.9.2014	PUT	0,00350	0,00304	891 %	160 %	
0,00032	0,00020	140930-PUT-0.0030	30.9.2014	PUT	0,00300	0,00274	1587 %	160 %	
0,00015	0,00009	140930-PUT-0.0025	30.9.2014	PUT	0,00250	0,00238	3436 %	160 %	
0,00046	0,00030	141031-CALL-0.0200	31.10.2014	CALL	0,02000	0,02038	1068 %	280 %	
0,00103	0,00072	141031-CALL-0.0100	31.10.2014	CALL	0,01000	0,01088	468 %	280 %	
0,00127	0,00091	141031-CALL-0.0080	31.10.2014	CALL	0,00800	0,00909	377 %	280 %	
0,00160	0,00117	141031-CALL-0.0060	31.10.2014	CALL	0,00600	0,00739	296 %	280 %	
0,00183	0,00134	141031-CALL-0.0050	31.10.2014	CALL	0,00500	0,00659	258 %	280 %	
0,00224	0,00167	141031-CALL-0.0040	31.10.2014	CALL	0,00400	0,00595	210 %	300 %	
0,00269	0,00202	141031-CALL-0.0030	31.10.2014	CALL	0,00300	0,00536	174 %	320 %	
0,00155	0,00113	141031-PUT-0.0045	31.10.2014	PUT	0,00450	0,00316	306 %	160 %	
0,00118	0,00084	141031-PUT-0.0040	31.10.2014	PUT	0,00400	0,00299	405 %	160 %	
0,00085	0,00059	141031-PUT-0.0035	31.10.2014	PUT	0,00350	0,00278	567 %	160 %	
0,00057	0,00038	141031-PUT-0.0030	31.10.2014	PUT	0,00300	0,00252	861 %	160 %	
0,00034	0,00021	141031-PUT-0.0025	31.10.2014	PUT	0,00250	0,00222	1475 %	160 %	
0,00069	0,00047	141130-CALL-0.0200	30.11.2014	CALL	0,02000	0,02058	709 %	260 %	
0,00130	0,00093	141130-CALL-0.0100	30.11.2014	CALL	0,01000	0,01112	368 %	260 %	
0,00154	0,00112	141130-CALL-0.0080	30.11.2014	CALL	0,00800	0,00933	309 %	260 %	
0,00186	0,00137	141130-CALL-0.0060	30.11.2014	CALL	0,00600	0,00761	254 %	260 %	
0,00207	0,00153	141130-CALL-0.0050	30.11.2014	CALL	0,00500	0,00680	227 %	260 %	
0,00248	0,00185	141130-CALL-0.0040	30.11.2014	CALL	0,00400	0,00617	189 %	280 %	
0,00291	0,00219	141130-CALL-0.0030	30.11.2014	CALL	0,00300	0,00555	161 %	300 %	
0,00180	0,00132	141130-PUT-0.0045	30.11.2014	PUT	0,00450	0,00294	262 %	160 %	
0,00142	0,00103	141130-PUT-0.0040	30.11.2014	PUT	0,00400	0,00277	334 %	160 %	
0,00108	0,00076	141130-PUT-0.0035	30.11.2014	PUT	0,00350	0,00258	446 %	160 %	
0,00077	0,00053	141130-PUT-0.0030	30.11.2014	PUT	0,00300	0,00235	635 %	160 %	
0,00050	0,00033	141130-PUT-0.0025	30.11.2014	PUT	0,00250	0,00209	992 %	160 %	

- All prices are subject to change; if you want to buy an option, request a quote first.
- Sell price is the price you can buy the option.
- Buyback is the price I can buy back the option I have issued.
- Breakeven, leverage and implied volatility have been calculated from the average of sell and buyback prices.
- previous rules apply.

Note that buyback is only possible if I am online and don't bitch if I quote a price less than you'd hope. Your contractual right when buying an option is to buy or sell XMR at the agreed price, the buyback is just a bonus.

"Buyback" is only to allow closing of a position, correct?

Edit: there's still a tidy ~.36 to make selling the combo, depending on what you can pick up long XMR for -- underlying liquidity is potentially a huge issue/consideration

[rpietila]

"Buyback" is only to allow closing of a position, correct?

There is a reason why it is called buyBACK.

[luigi1111]

"Buyback" is only to allow closing of a position, correct?

There is a reason why it is called buyBACK.

Yes that is why I assumed as much. I can dream though.

[Skinnkavaj]

rpietila I am a little unsure exactly how this works, I also think everyone would benefit if we take my CALL as an example and explain it, what happens if my call is correct?

[rpietila]

I don't want to monopolize anything. You are free to spend about 2 hours of your time with Excel and replicate a more competitive options portfolio, and offer it here. My open interest is already 5000 XMR, but that is not too much of network effect yet that you would be totally out of business (especially if your prices are better).

I think 260% implied is quite reasonable if the historical was 229% calculated from weighted averages. And puts even cheaper.  

[rpietila]

rpietila I am a little unsure exactly how this works, I also think everyone would benefit if we take my CALL as an example and explain it, what happens if my call is correct?

You have purchased the right to buy 5000 XMR at a fixed price BTC0.01 regardless of market price. It is valid until September 30th.

- So if the market price never goes that high, the right to buy higher is obviously worth nothing.

- If it at any time goes above that price, you may decide to exercise the option, just sending BTC50 to my escrow agent, and get 5000 XMR in return.

- You can also offer to exercise it as a CFD, meaning that if the price is for example 0.02 in Poloniex, you don't need to send BTC50 to get half-price coins. Rather we just send you the BTC50, or 2500 XMR, as profit.

- Now as I am offering buybacks, it is practically always better to sell the option back to me rather than exercise or CFD it. The buyback price is higher because the option still has time value.

[Lauda]

I'm still a little confused by what you mean exactly.
You're offering the right to buy 5000 XMR for 0.01 BTC till the 30th of September? How long does this last?
What happens when the price of Monero goes up, and what happens when it goes down?

[smooth]

I'm still a little confused by what you mean exactly.
You're offering the right to buy 5000 XMR for 0.01 BTC till the 30th of September? How long does this last?
What happens when the price of Monero goes up, and what happens when it goes down?

His prices will change.

All prices are subject to change; if you want to buy an option, request a quote first.

[TheKoziTwo]

I'm still a little confused by what you mean exactly.
You're offering the right to buy 5000 XMR for 0.01 BTC till the 30th of September? How long does this last?
What happens when the price of Monero goes up, and what happens when it goes down?

It lasts until 30th of September. It doesn't matter if price goes up or down. Skinnkavaj has purchased the right (not obligation) to buy 5000 XMR at 0.01 whenever he wants until September 30th. rpietila HAS to sell him 5000 XMR @ 0.01 if he chooses to use his right. Once 30th of September has gone by, Skinnkavaj may no longer exercise this right, and thus the money (4.2 BTC) will essentially have been wasted.

However if the price goes to say 0.02 on 20th of September, Skinnkavaj may buy 5000 XMR for 0.01 = 50 BTC and transfer it to the exchange and sell it pretty much instantly for 100 BTC, that's 50 BTC pure profit minus his expenses (4.2 BTC)

edit: if you asked how long the prices lasts, then smooth's reply is correct

[smooth]

Suggest posting a ticker of public trades to the OP

[luigi1111]

Probably could just link to an informative article about options, rather than cluttering the thread explaining them to those unfamiliar?

Ex: http://www.investopedia.com/university/options/

[darlidada]

I learned a lot about options from this : 1 https://www.khanacademy.org/economics-finance-domain/core-finance/derivative-securities/put-call-options/v/american-call-options

This is really exciting for monero. I should buy more just to celebrate!

[nakaone]

do you think any long term options would be possible ~ 1 year from now or something like that.

I see the problem of missing data and know too little in detail about options, but if I decide to buy more I would probably be interested in a somewhat insurance. or are there better financial instruments, probably cfds for this?

[smooth]

do you think any long term options would be possible ~ 1 year from now or something like that.

I see the problem of missing data and know too little in detail about options, but if I decide to buy more I would probably be interested in a somewhat insurance. or are there better financial instruments, probably cfds for this?

A put option is exactly what you want if you are holding the asset and looking for insurance, or alternately buy calls instead of buying the asset+put (whichever is cheaper).

[luigi1111]

do you think any long term options would be possible ~ 1 year from now or something like that.

I see the problem of missing data and know too little in detail about options, but if I decide to buy more I would probably be interested in a somewhat insurance. or are there better financial instruments, probably cfds for this?

I think you're going to be super hard-pressed to find anyone willing to sell you a long-dated option on something like XMR. There's simply too much tail risk that you can't really price in.

Risto might be willing to sell you some long-dated puts, but in reality it's the same thing (though he's currently pricing it way more attractively because he doesn't want to let any XMR slip through his clenched hands ).

[bobabouey2]

do you think any long term options would be possible ~ 1 year from now or something like that.

I see the problem of missing data and know too little in detail about options, but if I decide to buy more I would probably be interested in a somewhat insurance. or are there better financial instruments, probably cfds for this?

One of the problems with longer-term options is that the volatility on a cryptocurrency is so high, longer term options become absurdly expensive.

Take Risto's .01 call which has implied volatility of 300.   Plug that into an option calculator with a year term, and you get a Black Scholes price of .0034, versus the current price of .0043.  See below. 

Would you be willing to pay .0034 for the option, versus just buying the coin itself for .0043, and knowing that you won't be out your whole investment if XMR is at .0099 in a year?

Basically, cryptocurrencies are as volatile (or more volatile) than many OPTIONS in the equity market.

[smooth]

It's also possible that:

1. His call options are overpriced

2. The volatility should decrease over the course of the year.

3. The reason to buy a coin like this is most if not all "big upside" meaning there isn't a whole lot of difference between buying the option and the coin anyway. You expect the coin to not end the year at 0.0099 -- it will be either much higher or much lower.

do you think any long term options would be possible ~ 1 year from now or something like that.

I see the problem of missing data and know too little in detail about options, but if I decide to buy more I would probably be interested in a somewhat insurance. or are there better financial instruments, probably cfds for this?

One of the problems with longer-term options is that the volatility on a cryptocurrency is so high, longer term options become absurdly expensive.

Take Risto's .01 call which has implied volatility of 300.   Plug that into an option calculator with a year term, and you get a Black Scholes price of .0034, versus the current price of .0043.  See below.  

Would you be willing to pay .0034 for the option, versus just buying the coin itself for .0043, and knowing that you won't be out your whole investment if XMR is at .0099 in a year?

Basically, cryptocurrencies are as volatile (or more volatile) than many OPTIONS in the equity market.

[rpietila]

Now we have seen a rally from 418 to 450 in less than a day. In terms of the underlying (XMR), the move is 7.65%. The options have moved up to 17.5%. The real boon is when the volatility needs to be adjusted up, because it lifts the values of CALLs and PUTs alike. The start of a definite uptrend is at hand when we clear the resistance zone of 400-450 and the resistance level at 580.

Code:

Change	Sell	Buyback	Contract full name	Maturity	Type	Strike	B.E	Lev	Imp vol	Open interest
17,5 %	0,00019	0,00011	140930-CALL-0.0200	30.9.2014	CALL	0,02000	0,02015	2989 %	300 %	
16,3 %	0,00067	0,00045	140930-CALL-0.0100	30.9.2014	CALL	0,01000	0,01056	797 %	300 %	
15,7 %	0,00093	0,00065	140930-CALL-0.0080	30.9.2014	CALL	0,00800	0,00879	571 %	300 %	
14,9 %	0,00133	0,00095	140930-CALL-0.0060	30.9.2014	CALL	0,00600	0,00714	395 %	300 %	
14,3 %	0,00161	0,00117	140930-CALL-0.0050	30.9.2014	CALL	0,00500	0,00639	324 %	300 %	
12,9 %	0,00208	0,00153	140930-CALL-0.0040	30.9.2014	CALL	0,00400	0,00581	249 %	320 %	
11,7 %	0,00263	0,00196	140930-CALL-0.0030	30.9.2014	CALL	0,00300	0,00530	196 %	340 %	
-15,3 %	0,00099	0,00069	140930-PUT-0.0045	30.9.2014	PUT	0,00450	0,00366	534 %	160 %	
-17,5 %	0,00068	0,00046	140930-PUT-0.0040	30.9.2014	PUT	0,00400	0,00343	790 %	160 %	
-20,2 %	0,00043	0,00027	140930-PUT-0.0035	30.9.2014	PUT	0,00350	0,00315	1288 %	160 %	
-23,6 %	0,00023	0,00014	140930-PUT-0.0030	30.9.2014	PUT	0,00300	0,00281	2416 %	160 %	
-27,8 %	0,00011	0,00005	140930-PUT-0.0025	30.9.2014	PUT	0,00250	0,00242	5597 %	160 %	
15,6 %	0,00056	0,00037	141031-CALL-0.0200	31.10.2014	CALL	0,02000	0,02046	969 %	280 %	
14,0 %	0,00121	0,00086	141031-CALL-0.0100	31.10.2014	CALL	0,01000	0,01104	433 %	280 %	5000
13,5 %	0,00149	0,00107	141031-CALL-0.0080	31.10.2014	CALL	0,00800	0,00928	352 %	280 %	
12,8 %	0,00187	0,00137	141031-CALL-0.0060	31.10.2014	CALL	0,00600	0,00762	278 %	280 %	
12,4 %	0,00212	0,00156	141031-CALL-0.0050	31.10.2014	CALL	0,00500	0,00684	244 %	280 %	
11,3 %	0,00257	0,00191	141031-CALL-0.0040	31.10.2014	CALL	0,00400	0,00624	201 %	300 %	
10,5 %	0,00305	0,00230	141031-CALL-0.0030	31.10.2014	CALL	0,00300	0,00567	168 %	320 %	
-10,2 %	0,00137	0,00098	141031-PUT-0.0045	31.10.2014	PUT	0,00450	0,00333	384 %	160 %	
-11,4 %	0,00103	0,00072	141031-PUT-0.0040	31.10.2014	PUT	0,00400	0,00313	515 %	160 %	
-12,7 %	0,00073	0,00050	141031-PUT-0.0035	31.10.2014	PUT	0,00350	0,00289	735 %	160 %	
-14,4 %	0,00048	0,00031	141031-PUT-0.0030	31.10.2014	PUT	0,00300	0,00261	1144 %	160 %	
-16,5 %	0,00028	0,00017	141031-PUT-0.0025	31.10.2014	PUT	0,00250	0,00228	2019 %	160 %	
14,6 %	0,00082	0,00056	141130-CALL-0.0200	30.11.2014	CALL	0,02000	0,02069	653 %	260 %	
13,1 %	0,00152	0,00109	141130-CALL-0.0100	30.11.2014	CALL	0,01000	0,01131	345 %	260 %	
12,6 %	0,00179	0,00130	141130-CALL-0.0080	30.11.2014	CALL	0,00800	0,00954	292 %	260 %	
12,0 %	0,00215	0,00158	141130-CALL-0.0060	30.11.2014	CALL	0,00600	0,00787	241 %	260 %	
11,6 %	0,00238	0,00177	141130-CALL-0.0050	30.11.2014	CALL	0,00500	0,00708	217 %	260 %	
10,7 %	0,00282	0,00211	141130-CALL-0.0040	30.11.2014	CALL	0,00400	0,00647	182 %	280 %	
10,0 %	0,00328	0,00247	141130-CALL-0.0030	30.11.2014	CALL	0,00300	0,00588	156 %	300 %	
-8,0 %	0,00164	0,00119	141130-PUT-0.0045	30.11.2014	PUT	0,00450	0,00309	319 %	160 %	
-8,7 %	0,00128	0,00091	141130-PUT-0.0040	30.11.2014	PUT	0,00400	0,00290	410 %	160 %	
-9,6 %	0,00096	0,00067	141130-PUT-0.0035	30.11.2014	PUT	0,00350	0,00269	555 %	160 %	
-10,7 %	0,00067	0,00045	141130-PUT-0.0030	30.11.2014	PUT	0,00300	0,00244	802 %	160 %	
-12,1 %	0,00043	0,00028	141130-PUT-0.0025	30.11.2014	PUT	0,00250	0,00215	1277 %	160 %	

[rpietila]

LOL I tried reversing the base/quote currency and making the same options on apparent BTC volatility vis-a-vis XMR... (such as the 0.0040 CALL became 250 PUT).

...the black-scholes formula just broke up. LOL. All options got totally different values even though they are the same.

Let this just be a warning that you don't start issuing the options without actual knowledge on the subject (XMR/BTC = BTC/XMR rate). Any experience from back office does not count when it is entirely up to you which one you should regard as base  


EDIT: Blame was on me. A glitch on my formula gave wrong results. The results at the strike price at expiration were identical. First I got fooled by the glitch, and then it took some time to correct for the change in the rate. Well... you may continue writing options then! 

[rpietila]

The reason why the rate was significant is that the contract size is quoted in quote currency. So the right to buy 1000 XMR at 0.02 BTC/XMR is a contract for 1000 XMR, but the right to sell 1000 current XMR's worth of BTC at 50 XMR/BTC is a contract only for 225 XMR. Hence the difference. The currency does not matter.

[Skinnkavaj]

Ok today after reading more in development on IRC about what is coming up in the next month, I cannot refuse to make another call.

I am now very bullish because I have studied and researched Monero charts, found hash rate increase very interesting, along with statistics from www.blockchained.com and noticed that Monero have been almost everday the last weeks the most read thread in the altcoin universe of bitcointalk, the bitcointalk forum and every altcoin guru out there have studied, fight and argued about Monero and yet Monero has not lost following. Something is going to give soon because of all strong fundamentals, it is not hard to understand why Monero is the most talked about coin, the tech is great, there is a feeling of something valuable because of the intelligent branding of the coin. Money is a strong word in this society, Monero is even stronger it indicates true anonymity, it is genius branding for something that has strong fundamentals. Every human believes in privacy and freedom. Darkcoin is just a terrible name, it implies bad intentions, money should not have any "feelings" or bad associations with it, it should just be Money or Monero. When I think of money, I think of cash and cash is anonymous. Darkcoin a closed source coin with a terrible branding that has a higher marketcap than Monero, now that is an irrational market.
 
I want to use 3000 XMR of my own and place a call on XMR/BTC reaching 0.005 before 30th of September

[rpietila]

Ok today after reading more in development on IRC about what is coming up in the next month, I cannot refuse to make another call.
 
I want to use 3000 XMR of my own and place a call on XMR/BTC reaching 0.005 before 30th of September

You want to buy contract "140930-CALL-0.0050", as many as you would get with 3000 XMR.

The calculation is as follows:
- Convert 3000 XMR to BTC using 0.00460 rate => BTC13.8.
- Recalculate the price of the option in BTC => BTC0.00166.
- You would get 8 contracts for BTC13.28 = 2887 XMR.


To lock-in an options deal, you must pay in 10 minutes from the quote. Since you are likely not online right now, I'll have to recalculate this before you buy anyway. So please DO NOT BUY this amount, it is an example only.

[rpietila]

The first CALLs were bought in an opportune time. The exchange rate has risen 20%!

Because of this, I want to introduce 2 new contracts, a CALL with a strike of 0.0150, and a PUT with strike of 0.0050. They are available in all 3 maturities from September to November currently.

Code:

Sell	Buyback	Contract full name	Maturity	Type	Strike	B.E	Lev	Imp vol	Open interest
0,00027	0,00016	140930-CALL-0.0200	30.9.2014	CALL	0,02000	0,02022	2261 %	315 %	
0,00047	0,00030	140930-CALL-0.0150	30.9.2014	CALL	0,01500	0,01538	1291 %	315 %	
0,00088	0,00060	140930-CALL-0.0100	30.9.2014	CALL	0,01000	0,01074	664 %	315 %	
0,00119	0,00083	140930-CALL-0.0080	30.9.2014	CALL	0,00800	0,00901	489 %	315 %	
0,00174	0,00126	140930-CALL-0.0060	30.9.2014	CALL	0,00600	0,00750	330 %	330 %	
0,00211	0,00155	140930-CALL-0.0050	30.9.2014	CALL	0,00500	0,00683	270 %	340 %	8000
0,00255	0,00189	140930-CALL-0.0040	30.9.2014	CALL	0,00400	0,00622	222 %	350 %	
0,00308	0,00231	140930-CALL-0.0030	30.9.2014	CALL	0,00300	0,00569	183 %	360 %	
0,00119	0,00084	140930-PUT-0.0050	30.9.2014	PUT	0,00500	0,00399	487 %	175 %	
0,00087	0,00059	140930-PUT-0.0045	30.9.2014	PUT	0,00450	0,00377	676 %	175 %	
0,00062	0,00041	140930-PUT-0.0040	30.9.2014	PUT	0,00400	0,00349	963 %	180 %	
0,00043	0,00028	140930-PUT-0.0035	30.9.2014	PUT	0,00350	0,00315	1392 %	190 %	
0,00029	0,00017	140930-PUT-0.0030	30.9.2014	PUT	0,00300	0,00277	2162 %	200 %	
0,00018	0,00010	140930-PUT-0.0025	30.9.2014	PUT	0,00250	0,00236	3462 %	215 %	
									
0,00077	0,00052	141031-CALL-0.0200	31.10.2014	CALL	0,02000	0,02065	763 %	295 %	
0,00110	0,00077	141031-CALL-0.0150	31.10.2014	CALL	0,01500	0,01594	528 %	300 %	
0,00164	0,00118	141031-CALL-0.0100	31.10.2014	CALL	0,01000	0,01141	350 %	305 %	5000
0,00199	0,00145	141031-CALL-0.0080	31.10.2014	CALL	0,00800	0,00972	287 %	310 %	
0,00244	0,00180	141031-CALL-0.0060	31.10.2014	CALL	0,00600	0,00812	233 %	315 %	
0,00274	0,00204	141031-CALL-0.0050	31.10.2014	CALL	0,00500	0,00739	207 %	320 %	
0,00309	0,00231	141031-CALL-0.0040	31.10.2014	CALL	0,00400	0,00670	183 %	325 %	
0,00350	0,00264	141031-CALL-0.0030	31.10.2014	CALL	0,00300	0,00607	161 %	330 %	
0,00165	0,00119	141031-PUT-0.0050	31.10.2014	PUT	0,00500	0,00358	348 %	175 %	
0,00130	0,00092	141031-PUT-0.0045	31.10.2014	PUT	0,00450	0,00339	445 %	175 %	
0,00098	0,00068	141031-PUT-0.0040	31.10.2014	PUT	0,00400	0,00317	595 %	175 %	
0,00073	0,00049	141031-PUT-0.0035	31.10.2014	PUT	0,00350	0,00289	804 %	180 %	
0,00052	0,00034	141031-PUT-0.0030	31.10.2014	PUT	0,00300	0,00257	1154 %	185 %	
0,00036	0,00022	141031-PUT-0.0025	31.10.2014	PUT	0,00250	0,00221	1695 %	195 %	
									
0,00127	0,00090	141130-CALL-0.0200	30.11.2014	CALL	0,02000	0,02109	454 %	290 %	
0,00164	0,00118	141130-CALL-0.0150	30.11.2014	CALL	0,01500	0,01641	349 %	295 %	
0,00219	0,00161	141130-CALL-0.0100	30.11.2014	CALL	0,01000	0,01190	260 %	300 %	
0,00252	0,00187	141130-CALL-0.0080	30.11.2014	CALL	0,00800	0,01019	225 %	305 %	
0,00293	0,00219	141130-CALL-0.0060	30.11.2014	CALL	0,00600	0,00856	193 %	310 %	
0,00319	0,00240	141130-CALL-0.0050	30.11.2014	CALL	0,00500	0,00779	177 %	315 %	
0,00349	0,00263	141130-CALL-0.0040	30.11.2014	CALL	0,00400	0,00706	161 %	320 %	
0,00383	0,00290	141130-CALL-0.0030	30.11.2014	CALL	0,00300	0,00637	147 %	325 %	
0,00198	0,00144	141130-PUT-0.0050	30.11.2014	PUT	0,00500	0,00329	289 %	175 %	
0,00161	0,00116	141130-PUT-0.0045	30.11.2014	PUT	0,00450	0,00312	357 %	175 %	
0,00127	0,00090	141130-PUT-0.0040	30.11.2014	PUT	0,00400	0,00292	457 %	175 %	
0,00099	0,00069	141130-PUT-0.0035	30.11.2014	PUT	0,00350	0,00266	587 %	180 %	
0,00075	0,00050	141130-PUT-0.0030	30.11.2014	PUT	0,00300	0,00237	790 %	185 %	
0,00053	0,00034	141130-PUT-0.0025	30.11.2014	PUT	0,00250	0,00207	1139 %	190 %	

A new feature with these markets is that if you want to lengthen your option, and a similar option with longer maturity is available, you only pay the difference in "sell" price + 10 XMR handling fee.

God willing, Soon I will introduce options strategies that can be accomplished also without paying spread on the redundant part (ie. enables the investor to write options also, not only buy them, if the options are hedged with an option bought, with margin paid only on the net). See some of the possibilities here.

[rpietila]

Wow the market has been on fire. When it calms down, I hope at least some would find the usefulness of PUTs once more... They actually might come in handy I'll have to postpone the calculation of prices for a time, but drop a line if you want to buy.

[rpietila]

Code:

Change	Sell	Buyback	Contract full name	Maturity	Type	Strike	B.E	Lev	Imp vol	Open interest
-19,1 %	0,00022	0,00013	140930-CALL-0.0200	30.9.2014	CALL	0,02000	0,02018	2490 %	325 %	
-23,8 %	0,00036	0,00022	140930-CALL-0.0150	30.9.2014	CALL	0,01500	0,01529	1510 %	320 %	
-25,2 %	0,00066	0,00045	140930-CALL-0.0100	30.9.2014	CALL	0,01000	0,01056	792 %	315 %	
-23,6 %	0,00091	0,00063	140930-CALL-0.0080	30.9.2014	CALL	0,00800	0,00877	570 %	315 %	
-21,0 %	0,00138	0,00099	140930-CALL-0.0060	30.9.2014	CALL	0,00600	0,00718	372 %	330 %	
-19,5 %	0,00170	0,00124	140930-CALL-0.0050	30.9.2014	CALL	0,00500	0,00647	299 %	340 %	8000
-18,1 %	0,00210	0,00154	140930-CALL-0.0040	30.9.2014	CALL	0,00400	0,00582	242 %	350 %	
-16,6 %	0,00257	0,00192	140930-CALL-0.0030	30.9.2014	CALL	0,00300	0,00525	196 %	360 %	
26,7 %	0,00149	0,00108	140930-PUT-0.0050	30.9.2014	PUT	0,00500	0,00371	342 %	180 %	
31,0 %	0,00112	0,00079	140930-PUT-0.0045	30.9.2014	PUT	0,00450	0,00354	460 %	180 %	
30,4 %	0,00079	0,00054	140930-PUT-0.0040	30.9.2014	PUT	0,00400	0,00333	657 %	180 %	
32,3 %	0,00056	0,00037	140930-PUT-0.0035	30.9.2014	PUT	0,00350	0,00303	937 %	190 %	
34,4 %	0,00038	0,00024	140930-PUT-0.0030	30.9.2014	PUT	0,00300	0,00269	1433 %	200 %	
43,8 %	0,00026	0,00015	140930-PUT-0.0025	30.9.2014	PUT	0,00250	0,00229	2144 %	220 %	
										
-22,8 %	0,00060	0,00040	141031-CALL-0.0200	31.10.2014	CALL	0,02000	0,02050	880 %	295 %	
-21,2 %	0,00087	0,00060	141031-CALL-0.0150	31.10.2014	CALL	0,01500	0,01574	597 %	300 %	
-19,3 %	0,00133	0,00095	141031-CALL-0.0100	31.10.2014	CALL	0,01000	0,01114	386 %	305 %	5000
-18,3 %	0,00163	0,00118	141031-CALL-0.0080	31.10.2014	CALL	0,00800	0,00941	313 %	310 %	
-17,1 %	0,00203	0,00149	141031-CALL-0.0060	31.10.2014	CALL	0,00600	0,00776	250 %	315 %	
-16,4 %	0,00229	0,00170	141031-CALL-0.0050	31.10.2014	CALL	0,00500	0,00700	220 %	320 %	
-15,6 %	0,00261	0,00195	141031-CALL-0.0040	31.10.2014	CALL	0,00400	0,00628	193 %	325 %	
-14,8 %	0,00298	0,00224	141031-CALL-0.0030	31.10.2014	CALL	0,00300	0,00561	168 %	330 %	
15,1 %	0,00189	0,00138	141031-PUT-0.0050	31.10.2014	PUT	0,00500	0,00337	269 %	175 %	
16,6 %	0,00150	0,00108	141031-PUT-0.0045	31.10.2014	PUT	0,00450	0,00321	340 %	175 %	
18,4 %	0,00115	0,00082	141031-PUT-0.0040	31.10.2014	PUT	0,00400	0,00302	447 %	175 %	
19,7 %	0,00087	0,00060	141031-PUT-0.0035	31.10.2014	PUT	0,00350	0,00276	598 %	180 %	
21,2 %	0,00062	0,00042	141031-PUT-0.0030	31.10.2014	PUT	0,00300	0,00248	848 %	185 %	
22,0 %	0,00043	0,00028	141031-PUT-0.0025	31.10.2014	PUT	0,00250	0,00214	1237 %	195 %	
										
-19,3 %	0,00103	0,00072	141130-CALL-0.0200	30.11.2014	CALL	0,02000	0,02088	502 %	290 %	
-18,2 %	0,00135	0,00097	141130-CALL-0.0150	30.11.2014	CALL	0,01500	0,01616	380 %	295 %	
-16,9 %	0,00182	0,00133	141130-CALL-0.0100	30.11.2014	CALL	0,01000	0,01158	279 %	300 %	
-16,2 %	0,00212	0,00156	141130-CALL-0.0080	30.11.2014	CALL	0,00800	0,00984	239 %	305 %	
-15,4 %	0,00248	0,00185	141130-CALL-0.0060	30.11.2014	CALL	0,00600	0,00816	203 %	310 %	
-14,9 %	0,00272	0,00204	141130-CALL-0.0050	30.11.2014	CALL	0,00500	0,00738	185 %	315 %	
-14,4 %	0,00299	0,00225	141130-CALL-0.0040	30.11.2014	CALL	0,00400	0,00662	168 %	320 %	
-13,8 %	0,00331	0,00250	141130-CALL-0.0030	30.11.2014	CALL	0,00300	0,00590	152 %	325 %	
11,4 %	0,00219	0,00162	141130-PUT-0.0050	30.11.2014	PUT	0,00500	0,00310	231 %	175 %	
12,3 %	0,00180	0,00131	141130-PUT-0.0045	30.11.2014	PUT	0,00450	0,00295	283 %	175 %	
13,5 %	0,00143	0,00103	141130-PUT-0.0040	30.11.2014	PUT	0,00400	0,00277	359 %	175 %	
14,2 %	0,00113	0,00080	141130-PUT-0.0035	30.11.2014	PUT	0,00350	0,00254	458 %	180 %	
15,0 %	0,00085	0,00059	141130-PUT-0.0030	30.11.2014	PUT	0,00300	0,00228	612 %	185 %	
16,1 %	0,00060	0,00040	141130-PUT-0.0025	30.11.2014	PUT	0,00250	0,00200	874 %	190 %	

As can be seen from the CHANGE field, the September options have a delta (leverage calculated from the % change in option price) of up to 4.5. A well timed PUT strategy could have made a lot of money.

[cacahouette]

dear all,

for those considering buying call options be aware of the following fact from options.

in the case of european options (which are options that can only be exercised AT maturity and not before) there is something called the "put/call parity" which states that for a call Ce and put Pe striking at K and if the forward is called F (with the same maturity as the one of options) one has (in absence of discounting which is ok assumption given that we are talking about 1 month options and interest rates are so low)

Ce - Pe = F - K

now since we are talking about american options it's true that the previous relation does not hold however the following can be said. As mentioned above the early exercise opportunity for the american call is worthless in the absence of dividend yield, so the calls ARE european options. For the puts, given that interest rate are so low there's hardly any chance to be willing to early exercise, but let's not even say that and assume that the american put Pa has a higher value than the european put. So Pa > Pe then one has

Pa > Ce - F + K

which is equivalent to saying that

Pa + F > Ce + K

in the absence of dividend yield or interest rate the forward value XMR/BTC should not be different than spot which is about 0.0043 when i am writing this (for those unaware, the forward value of XMR/BTC has nothing to do with the "most likely value" of XMR/BTC in one month time! so it makes perfect sense that the fair forward rate XMR/BTC in 1 month is the spot value today even if your are super bullish on XMR ).

why did i say all of this ? just to make you aware that if you buy a Put and buy XMR/BTC spot you will effectively construct for yourself a position that is even more valuable than a synthetic position K + Call.

why is it interesting ? because if you look at the current market prices displayed you will see that for the Sept maturity call with strike K=0.004 you can easily see that you could save close to 0.001 compared to buying the outright call that is sold for 0.00210

It is not possible to arbitrage rpietila because he is not providing a 2 way market however you see that you can still easily save you substantial money by buying puts + spot instead of calls

sorry for the long post, happy to elaborate if you have more questions about options!!

DISCLAIMER: i have no xmr holding and do not intend to build one in the next 72hours i am just interested in seeing how this experimental option market will turn out!

[tickershuffle]

I want to see how this plays out.  I like the idea, but as always it's risk versus reward.

[BitcoinNational]

Willing to issue contracts for other alt coins?

[rpietila]

...

If or when you offer expirations longer than 3 months away, I could be interested.

+1

I could, but the insane volatility would make them not so lucrative:

"Oh you wanna bet that XMR rises 10 times?" - Here, you get double your money if it does.

"You want insurance against going to zero?" - Okeydokey, just gimme half of your XMR.


Still, nothing is impossible. What exactly would be the terms that you are interested in?

Willing to issue contracts for other alt coins?

No. I am not so intimately involved in their development that I would dare to do that. Also XMR and BTC are the only coins that I own and can thus pledge as a collateral.

[luigi1111]

dear all,

for those considering buying call options be aware of the following fact from options.

in the case of european options (which are options that can only be exercised AT maturity and not before) there is something called the "put/call parity" which states that for a call Ce and put Pe striking at K and if the forward is called F (with the same maturity as the one of options) one has (in absence of discounting which is ok assumption given that we are talking about 1 month options and interest rates are so low)

Ce - Pe = F - K

now since we are talking about american options it's true that the previous relation does not hold however the following can be said. As mentioned above the early exercise opportunity for the american call is worthless in the absence of dividend yield, so the calls ARE european options. For the puts, given that interest rate are so low there's hardly any chance to be willing to early exercise, but let's not even say that and assume that the american put Pa has a higher value than the european put. So Pa > Pe then one has

Pa > Ce - F + K

which is equivalent to saying that

Pa + F > Ce + K

in the absence of dividend yield or interest rate the forward value XMR/BTC should not be different than spot which is about 0.0043 when i am writing this (for those unaware, the forward value of XMR/BTC has nothing to do with the "most likely value" of XMR/BTC in one month time! so it makes perfect sense that the fair forward rate XMR/BTC in 1 month is the spot value today even if your are super bullish on XMR ).

why did i say all of this ? just to make you aware that if you buy a Put and buy XMR/BTC spot you will effectively construct for yourself a position that is even more valuable than a synthetic position K + Call.

why is it interesting ? because if you look at the current market prices displayed you will see that for the Sept maturity call with strike K=0.004 you can easily see that you could save close to 0.001 compared to buying the outright call that is sold for 0.00210

It is not possible to arbitrage rpietila because he is not providing a 2 way market however you see that you can still easily save you substantial money by buying puts + spot instead of calls

sorry for the long post, happy to elaborate if you have more questions about options!!

DISCLAIMER: i have no xmr holding and do not intend to build one in the next 72hours i am just interested in seeing how this experimental option market will turn out!

Of course XMR + Put is superior from a probability of profit standpoint (as shown by your lengthy explanation of put/call parity), but naked XMR is better still. People aren't (as far as I can tell) buying calls based on POP, they are buying them for the leverage. In this case, it's quite costly.

[cacahouette]

Of course XMR + Put is superior from a probability of profit standpoint (as shown by your lengthy explanation of put/call parity), but naked XMR is better still. People aren't (as far as I can tell) buying calls based on POP, they are buying them for the leverage. In this case, it's quite costly.

XMR + Put is equivalent payoff to Call + BTC as i have argued. Naked XMR is neither better nor worse from profitability perspective, it's just a different risk profile. XMR has downside risk that the Call payoff does not have.

My point was just to say that the *optionality* of the call option is much cheaper if you buy it through Put + XMR instead of buying the outright calls.

With regard to leverage it is true that a *naked Call* is higher leverage than *XMR + Put* however the premium you pay on the optionality does not justify it in my eyes. For the same reason, the break-even level for XMR + Put is lower than the naked Call. Therefore, if someone is a bit short on capital AND really want to play options AND wants to target maximum leverage they should probably buy a combination of Call, Put and XMR to optimize their break-even/leverage metrics.
 

[luigi1111]

Of course XMR + Put is superior from a probability of profit standpoint (as shown by your lengthy explanation of put/call parity), but naked XMR is better still. People aren't (as far as I can tell) buying calls based on POP, they are buying them for the leverage. In this case, it's quite costly.

XMR + Put is equivalent payoff to Call + BTC as i have argued. Naked XMR is neither better nor worse from profitability perspective, it's just a different risk profile. XMR has downside risk that the Call payoff does not have.

My point was just to say that the *optionality* of the call option is much cheaper if you buy it through Put + XMR instead of buying the outright calls.

With regard to leverage it is true that a *naked Call* is higher leverage than *XMR + Put* however the premium you pay on the optionality does not justify it in my eyes. For the same reason, the break-even level for XMR + Put is lower than the naked Call. Therefore, if someone is a bit short on capital AND really want to play options AND wants to target maximum leverage they should probably buy a combination of Call, Put and XMR to optimize their break-even/leverage metrics.
 

[bolded quotes]

I understand. I was not talking about things from a profitability perspective, only probability of profit. Long underlying is always higher than any form of theta negative strategy.

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.

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)

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. 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.

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.)

[rpietila]

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.)

I have the plan to start offering discount pricing on straddle/strange etc. strategies that require the purchase of 2-3 options for one position. Currently I need to ask so high spreads that those don't work at all. The high spreads are due to manual work and (still) quite bad liquidity of the underlying. Typically I would want to hedge the option with a purchase or sale of the underlying, the same amount as the option premium. But this 3000 XMR action can move the underlying by 5% or even more, necessitating a high spread! (And this does not even count the case where the buyer goes to manipulate the market right after buying the option, denying me of profitable hedging. This has not happened so far but will )

Offering discount on positions that are easy to hedge for me and don't make the administrative work any larger would make sense.

[cacahouette]

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

could you please elaborate and clarify what you mean here ? thx!

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 ?

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.

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 ?

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.

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!

[rpietila]

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.

[sparky999]

This sounds interesting - can you elaborate further?

[luigi1111]

Attempted clarification in red.
Hope it helps.

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.

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.

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.

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).

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.

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.

[BitcoinNational]

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

[rpietila]

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.

[rpietila]

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]

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]

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.

[ArticMine]

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]

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.

[smooth]

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]

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]

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]

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]

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]

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]

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.

[vokain]

Is anyone selling any options?

[rpietila]

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?

[vokain]

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?

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