XMR futures/options OTC thread

[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!