Historical Probability of KI (FCN)

Historical analysis of knock-in probabilities by product

The probability of knock-in is zero for Cega's flagship 'Cruise Control' vault strategy and for other 'Pure Options' strategies. Specifically, in the last 3 years, there were no observations of BTC/ETH falling 90% in a 27 day timeframe, and just 10% instances of BTC/ETH losing 30% of its value.

Additional data on historical probabilities is provided in the table below.

Cega Product	Underlying Asset Exposure	Price-drop Protection Barrier	Implied probability from current pricing	Based on Last 6mo	Based on Last 1 yr	Based on Last 3 yr
Cruise Control	BTC, ETH	90%	0.00%	0.00%	0.00%	0.00%
Gotta Go Fast	BTC, ETH, SOL	50%	1.70%	0.00%	0.00%	5.30%
Insanic	ETH, SOL, AVAX	50%	2.00%	0.00%	0.00%	7.20%
Supercharger	BTC, ETH	30%	5.32%	0.00%	0.00%	10.10%
L2	ARB, OP	50%	4.24%	0.00%	0.00%	0.00%
Eth Stakers	LDO, RPL, stETH	50%	1.15%	0.00%	0.00%	0.00%
Gold rush	ETH, XAUT	30%	4.40%	0.00%	0.00%	4.40%

Implied probability from current pricing	Based on Last 6mo	Based on Last 1 yr	Based on Last 3 yr
as of 3/7/2024	June 2023-Jan 2024	Jan 2023-Jan 2024	Apr 2021-Jan 2024