Proposal to add Cally as a Trial Alternatives Strateegy

Proposal to add Cally (launching in next couple weeks) as a trial strategy to sell calls (1 epoch, at most 3 PUNKs or equivalent at risk)

Cally is developed by the creators of Putty. Call selling fits into Floordao’s overall treasury strategy as an alternative to NFTX yield, which enables generation of ETH that can be used for for pairing with NFTX collections to LP, operational flexibility, and diversifies our treasury revenue streams.

The proposal calls for a trial period to put up to 3 PUNK (or equivalent) at risk in call selling with plan to debrief and analyze, upon which we expect to gradually scale up to much larger and all other supported collections.

Selling calls makes sense for floordao as it enables us to generate ETH, and in the event we are exercised, the remainder of our inventories likely have increased in value, and we make NFTX trading fees (and future univ3 LP fees). It also provides revenue if our treasury assets go down or the market is not very volatile and trading dries up.


  • selling premium too cheaply to counterparties with insider info (airdrops, roadmap updates, etc.), probably not big risk with “boring”, old PUNK
  • not participating in price action above the strike price


  • collecting premium from selling calls

Proposed Trade Parameters

(As of 6/14/22 8pm EST)

Uses the vol calcs out of the box from the calculator, adjusts for spot listed on calc vs the ‘spot’ of PUNK, assuming we use PUNK directly…

PUNK spot current is 47.58

2.5 eth 07d → 46.7 reserve
2.5 eth 14d → 47.8 reserve
2.5 eth 30d → 50 reserve

Feel free to leave comments on doc/params


Cally Strategy Pilot Review ( 7/13/22)

  • Debrief
  • Issues
    • Coingecko daily token price quality
      • Daily price data retrieved via coin gecko (multiplied token * eth) but this had quality control problems cally team helped us sort out, leading to higher vol calculations than reality
      • Improvement process: use better input methods, possibly rely upon vol data from same api cally uses
    • Underlying movement
      • If spot moves down, then unlikely to get trade if priced at fair value
      • If spot move up, then likely to get picked off
      • Improvement:
        • Cally: We suggested delta neutral vaults which either involve either a delta hedge or some adjustment of auction price with underlying (but latter requires oracle, so probably former option better)
        • Floordao: we can split up vaults with different reserve prices to offer a range of movements to avoid being completely picked off or unable to get any fill, based on spot movement
    • Size
      • It might be hard for speculators to take down full PUNK on exercise
      • Improvement areas
        • Cally to offer exercise and cross service
        • Cally to offer partial fills of erc20 vaults
        • Floordao can setup 5X vaults with ⅕ size
    • Countering insider information
      • If insiders leak, then we will get picked off of even well priced historical volatility
      • The best way to mitigate this risk is to minimize the amount of eth at risk per collection
  • Plan going forward
    • Recommendation going forward
      • Signal vote for inclusion as strategy with limits of 200eth of risk (sum of collateral value in vaults at creation including those that are active)
      • Strategy tenets
        • Focus on higher delta premiums
        • Breaking up vaults into ~ 10eth sizes to encourage counterparty interest with less capital
        • Spread around the reserve auction prices in order to maximize fill and avoid getting picked off on all vaults (spread over a 5% range)
        • Limit to maximum of 30eth on any one collection active at a time
          • Unless we get request OTC for bigger size, in which we can ask for more edge