Worst-Of Put Vault

Optimizing Option Yield

What is a Worst-Of Put Vault?

This strategy allows users to generate higher yield compared to the more simple DOV. The strategy sells a ‘worse-of’ put option on a basket of tokens. Worst-of put option is a complex option product that gives the buyer the right to exercise a put option on the worst performing asset in the basket. This means the premium received will be higher than the put option on any single constituent token of the basket.

Implementation Example

• ETH+BNB+GCI Worst of Put option Vault on BSC

• User deposits BUSD in the Vault

• The Vault auctions off a worst-of put option

• If the put option is not exercised, then the user receives premium in BUSD

• If the put option is exercised then the user will receive equivalent ETH, BNB or GCI – whichever is the cheapest to deliver at the time of expiry.

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