Launch the ETH market on the Optimistic Ethereum mainnet.
This LEAP proposes launching the ETH market on the Optimistic Ethereum (OΞ) mainnet. A two week liquidity round will be initiated, with 500k sUSD provided by the LyraDAO. Two boards will be created, expiring on the 1st of September and the 8th of September (both at midnight UTC time). Each board will have seven strikes listed.
Lyra has been designed for OΞ. It goes without saying that deploying on OΞ mainnet is an essential step for the project. In order to deploy, projects need to be whitelisted, which requires several milestones being reached:
As a result of this work, the core team has received clearance from Optimism to deploy.
The work required to implement v1 of the Lyra Protocol has been completed and is viewable here. This section describes the process of deploying the relevant smart contracts, adding liquidity and creating the listings.
This LEAP proposes launching only the ETH market, to allow for close monitoring of the mechanism, contracts and parameters. Adding additional markets will be addressed in separate LEAPs, as confidence is built in the system. Importantly, there will be no delta hedging as Synthetix shorting is not live on OΞ. The progress on shorting can be tracked in SIP-135.
There are three steps required, deploying the smart contracts, adding liquidity and creating the listings.
Deploy the following system wide contracts:
Then deploy the following contracts for the ETH market:
LiquidityPool.sol LiquidityCertificate.sol OptionMarket.sol OptionMarketPricer.sol OptionGreekCache.sol OptionToken.sol ShortCollateral.sol PoolHedger.sol
Descriptions of these contracts can be found here.
Add 500,000 sUSD to the
LiquidityPool from Lyra's L2 DAO wallet.
Add the following OptionBoard, expiring 14 days from launch:
expiry=1631059200 baseIv=0.92 strikes=[2700,2900,3100,3200,3400,3600,3800] skews=[1.04,1,1,1,1,1.02,1.02]
This will set
OptionMarket.maxExpiryTimestamp == 1631059200 and initiate a two week round in which liquidity cannot enter or exit.
Add the following OptionBoard, expiring 7 days from launch:
expiry=1630454400 baseIv=0.95 strikes=[2800,3000,3100,3200,3300,3400,3600] skews=[1.04,1,1,1,1,1.02,1.02]
Test cases are included with the implementation and are available here
The following values are configurable for the ETH market. The core team has chosen the initial configuration.
optionPriceFeeCoefficient = 0.015 spotPriceFeeCoefficient = 0.004 vegaFeeCoefficient = 400 vegaNormFactor = 0.2 standardSize = 0.1 skewAdjustmentFactor = 0.0125 rateAndCarry = 0.09 minDelta = 0.15 volatilityCutoff = 0.55 tradingCutoff = 86400 quoteKey = sUSD baseKey = sETH
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