Thetanuts Stronghold is the latest innovation in the structured products space.
Stronghold is the aggregation of multiple Thetanuts Basic vaults. These Basic vaults are then combined to form a Stronghold Vault.
Stronghold's position is represented through a minted Index token that represents the pro-rata fair value of the sub-vault, including the premiums that has been generated over time.
On a high level, one of the key problem that Stronghold seeks to solve is circumventing the structural flows by option vaults selling every Friday.
Stronghold addresses the above by selling across the entire term structure, picking spots where other option vaults are not selling. This reduces the probability of over-supply at a certain delta, with a specific tenor, therefore fetching higher yields for our users.
The Index tokens created in Stronghold are bridged to various chains via Wormhole. Thetanuts Protocol supplies liquidity to the various Automated Market Makers (AMMs) for users to swap these positions against the underlying.
Various Stronghold Vaults
Users can refer to which chains the Stronghold tokens are on through the UI. Users can swap in and out of these positions using the Swap button.
Thetanuts Stronghold currently has USDC, BTC and ETH.
Using USDC as collateral, the vault sells puts on a basket of assets with different tenors. These assets are curated by the team and are required to cross a certain threshold in TVL, market capitalization and beta adjusted performance.
As of 7 June 2022, the following assets are included in Stronghold USDC, alongside the weightings.
Together, these asset's sub-vaults come together to form Stronghold USDC, which is represented via indexUSDC.
Using BTC or ETH as collateral (depends on which Stronghold), the vault sells a strip of calls on the underlying. A call strip is defined as multiple call options being sold, with different strikes and tenors.
Through our research, on a risk-adjusted basis, call strips tend to out perform single strike, single tenor calls. The farther tenors allow for mean reversion, while the shorter tenors allow for yield to compound over time faster. Together, it provides a diversified way of selling calls by incorporating various statistical properties.