Collar Loans

Collar loans are a zero-interest, capped-upside variant of the standard physically-settled call loan. The borrower buys a put at K_lo (default trigger) and sells a call at K_hi (cap); the lender funds an up-front USDC loan from the call premium it earns.

Status: the CollarLoanCoordinator contract is not yet deployed on Base mainnet (placeholder addresses in src/chains/collar.ts). Pricing math (estimateCollar, getCapStrikeOptions, filterCapStrikes) works today against live Deribit data; write methods (requestLoan, cancelLoan, acceptOffer) throw NETWORK_UNSUPPORTED until the addresses are populated.

Terminal payoff

At expiry (TWAP S):

Region	Borrower outcome
S < K_lo	Walk: keep L USDC, lose collateral N
K_lo ≤ S ≤ K_hi	Repay L USDC, recover N
S > K_hi	Cap settlement: receive N · (K_hi − K_lo) USDC, lose N

Pricing model (frontend estimate)

target_put_premium = call_premium × (1 − mm_margin)
K_lo               = highest OTM put strike whose ask ≤ target_put_premium
L                  = K_lo · N
cap_payout         = (K_hi − K_lo) · N

mm_margin defaults to 4% and is tunable per call. When the call premium is too small to fund any OTM put, the estimator falls back to the cheapest available put strike so the row still surfaces.

Shared infrastructure (do not re-implement)

CollarModule deliberately reuses the loan module's plumbing instead of duplicating it:

• client.collar.fetchPricing() delegates to client.loan.fetchPricing(). The 30-second pricing cache is shared between both modules — calling either one populates the same cached map. Don't add a second cache.

• Expiry parsing lives in utils/expiry.ts. Use parseDeribitExpiry(label) (returns number | null) or parseDeribitExpiryOrThrow(label). Same for formatDeribitExpiry. Both LoanModule and CollarModule import from there.

• DeribitPricingMap and DeribitOptionData types live in types/loan.ts. The collar leg uses the optional bid_price field; the put leg ignores it.

Examples

import { ThetanutsClient } from '@thetanuts-finance/thetanuts-client';

const client = new ThetanutsClient({ chainId: 8453, provider, signer });

// 1. Read pricing math without any on-chain calls
const pricingData = await client.collar.fetchPricing();   // uses shared cache
const spot = client.collar.extractUnderlyingPrice(pricingData, 'BTC');

const est = client.collar.estimateCollar({
  underlying: 'BTC',
  collateralAmount: 0.5,
  capUsd: 150_000,
  expiryLabel: '26DEC25',
  pricingData,
  underlyingPrice: spot,
});
// est = { loanUsd, triggerUsd, capPayoutUsd, callBtc, putBtc, putStrike } | null

// 2. Build a UI strike picker
const groups = await client.collar.getCapStrikeOptions('BTC', {
  ...client.collar.defaultSettings,
  collateralAmount: 0.5,
});
// groups[].caps[].estimate carries the per-row loanUsd, triggerUsd, capPayoutUsd

// 3. Post an auction (requires deployed coordinator + signer)
if (client.collar.isDeployed()) {
  const { quotationId, txHash } = await client.collar.requestLoan({
    underlying: 'BTC',
    collateralAmount: '0.5',
    capUsd: 150_000,
    minLoanUsd: 65_000,
    expiryTimestamp: 1798934400,
    requesterPublicKey: await client.rfqKeys.getOrCreateKeyPair().then(k => k.publicKey),
  });
}

Default settings (asset-aware)

client.collar.defaultSettings
// {
//   minDurationDays: 30,
//   minCapStrikeUsd: 0,        // 0 disables — set per asset, see note
//   minCapGapPct: 20,
//   maxStrikesPerExpiry: 6,
//   mmMarginPct: 4,
//   reserveFloorPct: 90,
// }

minCapStrikeUsd defaults to 0 (disabled) because a single dollar floor can't fit both BTC (spot $90k) and ETH ($2k). Set a per-asset floor at call time if your UI needs one (e.g. BTC=$100k, ETH=$3k).

Smoke tests

# Offline (synthetic Deribit fixture)
npx tsx scripts/test-collar-module.ts

# + live Deribit fetch (verifies BTC and ETH paths against real data)
npx tsx scripts/test-collar-module.ts --live

26 assertions cover capability gating, math correctness, null guards, dedup behavior, the asset-aware default, and the shared cache identity between collar.fetchPricing and loan.fetchPricing.

Reference

The contract layout mirrors the existing LoanModule — a coordinator wraps Thetanuts V4 RFQ auctions and instantiates a CollaredCallOption proxy on settle. See src/abis/collar.ts for the coordinator ABI and CollaredCallOption exercise surface.

Note: the ABIs in src/abis/collar.ts are a best-effort port of the collar.html reference at https://thetanuts.finance/dev/zendfi_v1/collar.html (which itself uses zero placeholder addresses) plus extrapolation from LOAN_OPTION_ABI for the option exercise surface. They are not verified against a deployed contract yet — replace with the live contract ABIs when collar-v12 ships.