Structured · Hedged
Structured
Preview · illustrativePrice an option on any Live basket and read its payoff. Premium and Greeks come from a closed-form model seeded with each basket's historical volatility.
Illustrative · indicative pricing, not a quote. No settlement in the public preview.
Options pricer
Illustrative · Black-Scholes, single-vol assumption
r assumed 4% · T in years (days / 365)
Basket
Spot NAV4,127.50
Option type
Strike
Expiry · 30 days
Volatility · per-strike override
Premium · per 1 unit of NAV
266.54
call on OCI6 · 30d · σ 57.4 pts
Greeks
Delta
0.5276
per 1 NAV
Gamma
0.0006
dΔ / dS
Theta
-4.7148
per day
Vega
4.7095
per vol pt
Rho
1.5708
per 1% rate
Moneyness
0.9946
S / K
Payoff at expiry · per 1 unit of NAV
Strike
4,150.00
Breakeven
4,416.54
1,651.004,145.506,640.00
P&L at expiryBreakevenMax loss · premium 266.54
Indicative pricing, not a quote. Black-Scholes assumes one volatility across all strikes and a continuous, lognormal price path. Production pricing on this universe would use a skew and jump-aware model · crypto baskets show a pronounced put-rich smile, fat tails and gap risk that a single-vol model misprices, especially in the wings where insurance buyers transact.