What it would cost to hedge a basket
Preview · illustrativePut a strike and an expiry on any listed basket and read back the premium, the Greeks and the payoff. The model is a closed form seeded with each basket's own realised volatility, so the answer is an order of magnitude rather than a price you could transact on.
Before the first number
- 1
An option is a right, bought for cash, with a deadline
A call gives you the right to buy a basket at a set NAV, a put the right to sell at one. You pay the premium the day you open it, whether or not the right is ever worth using.
- 2
As a buyer your loss is capped, and the cap is everything you paid
If the basket never crosses your strike, the option expires worthless and the premium is gone. Being right on direction is not enough either: the move has to clear the breakeven before the position is up a cent.
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This desk prices, it does not trade
There is no quote, no counterparty and no settlement in the public preview. The premium below is what a textbook model says, on realised volatility, for a basket whose own NAV is simulated.
Price a long call or put on a basket
Long only. Selling options carries unlimited or near unlimited loss and is not modelled here.
This is realised volatility from the backtest, not an implied quote from a market. A real market would price each strike on its own volatility, and for crypto baskets the puts would carry more. Override the field to see what that does.
This is a model, not a market. There is no quote, no counterparty standing behind the price, no order to place and no settlement. The premium above is what the formula says the option is worth given the inputs on the left, and a real market would disagree with it, particularly on puts. Options on OLTA baskets are on the roadmap behind mainnet, paced for H1 2027.
Black-Scholes assumes one volatility across all strikes and a continuous, lognormal price path. Neither holds here: crypto baskets show a pronounced put-rich smile, fat tails and gap risk, which a single-vol model misprices exactly in the wings where insurance buyers transact. Treat every figure on this page as an order of magnitude.