XMR futures/options OTC thread

[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.)