ETH Elephant

Product Details & Payoff Scenarios

Deposit ETH and earn a high fixed yield.

Strategic Use Cases

• You hold ETH and want to maximize yield on your holdings

• You want to earn yield in ETH

• You are comfortable selling your ETH for USDC at a profit if the market conditions are favorable (+10%)

Conversion likelihoods are based on backtesting data (Jan 2023 - Jan 2024)

Payoff Scenarios

For each scenario below, assume the following:

100 ETH investment in the 'ETH Elephant' Vault

ETH Elephant terms:

1. Investment duration: 27-day

2. Underlying asset = ETH

3. Strike price = 110%

4. APY = 25% (~2% per 27-day vault)

5. ETH price on Day 1 = $1620

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Scenario 1: No Currency Conversion - Deposit ETH, Receive ETH

Example Scenario: ETH price movements during 27 day period

What happens in this scenario?

• TLDR: deposit ETH, receive ETH

• ETH price on Day 1 is $1620 and ends on Day 27 at $1620 which is below the strike price of $1800 (110% of Day 1 price)

• Thus the vault trade expires and no currency conversion occurs. The full principal that was deposited by the user is returned (100 ETH). The user earns 2% yield paid in ETH (same currency as deposit)

• Deposit and yield are automatically reinvested for compounding returns into a new 27-day vault

What is the payoff for the investor?

• Initial deposit = 100 ETH

• Deposit returned = 100 ETH

• Yield earned = 2 ETH

  • APY = 25%, single 27-day vault yield = ~2%

• Total payoff = 102 ETH after 27 days (deposit + yield)

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Scenario 2: Currency Conversion - Deposit ETH, Receive USDC

Example Scenario: ETH price movements during 27 day period

What happens in this scenario?

• TLDR: deposit ETH, receive USDC

• ETH price starts at $1620 and ends above the strike price of $1800 (110% of Day 1 price) at expiry. This results in a 'conversion'.

• A conversion occurs, whereby the deposited ETH is automatically sold for USDC at a 10% profit (at the 'strike price').

• The user also earns 2% yield, which is paid in the same currency (USDC).

What is the payoff for the investor?

• Initial deposit = 100 ETH

  • Asset value = $162,000 @$1620 ETH price

• Deposit returned = $180,000 USDC

  • 100 ETH sold for +10% profit @$1800

• Yield earned = $3,600 USDC

  • 100 ETH * 2% yield = 2 ETH sold @$1800

• Total payoff = $183,600 USDC (+7.4% ROI) in 27 days

Scenario 3: Price Moves Above Strike During Trade

Example Scenario: ETH price movements during 27 day period

What happens in this scenario?

• TLDR: deposit ETH, receive ETH

• ETH price starts at $1620 and moves above the strike price ($1800) on day 10. However, the price at expiry ends below the strike price.

• No conversion occurs because the payoff is calculated based on the prices at expiry of the 27-day vault.

• The full principal that was deposited by the user is returned to them (100 ETH). The user also earns ~2% yield, which is paid in the deposit currency (ETH).

• Deposit and yield are automatically reinvested for compounding returns into a new 27-day vault

What is the payoff for the investor?

• Initial deposit = 100 ETH

• Deposit returned = 100 ETH

• Yield earned = 2 ETH

  • APY = 25%, single 27-day vault yield = ~2%

• Total payoff = 102 ETH after 27 days (deposit + yield)