XMR futures/options OTC thread

[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?