Call Warrant
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Definition
섹션 제목: “Definition”A Call Warrant gives the holder the right—but not the obligation—to receive cash (or physical shares) equal to the difference between the underlying company’s valuation at exercise and the strike price, if positive.
Call Warrant Payoff = max(0, Valuation at Exercise - Strike Price)Structure
섹션 제목: “Structure”┌─────────────────────────────────────────────────────────────────┐│ CALL WARRANT STRUCTURE │├─────────────────────────────────────────────────────────────────┤│ ││ ┌───────────────┐ ┌───────────────┐ ││ │ BUYER │ │ ISSUER │ ││ │ (Anyone) │ │ (Platform) │ ││ └───────┬───────┘ └───────┬───────┘ ││ │ │ ││ │ Premium (USDC) │ ││ │ ───────────────────────▶│ ││ │ │ ││ │◀─────────────────────── │ ││ │ Warrant Tokens │ ││ │ │ ││ │ ▼ ││ │ ┌───────────────┐ ││ │ │ SPV VAULT │ ││ │ │ (Real Shares)│ ││ │ └───────────────┘ ││ │ ││ │ On Exercise (if ITM): ││ │ │ ││ │◀─────────────────────── │ ││ │ Cash Settlement │ ││ │ (or Physical Shares) │ ││ │└─────────────────────────────────────────────────────────────────┘Specifications
섹션 제목: “Specifications”| Parameter | Value |
|---|---|
| Type | European-style with Bermuda exercise windows |
| Underlying | Pre-IPO company valuation |
| Strike | Fixed valuation (e.g., $200B) |
| Premium | Market-determined via AMM |
| Expiry | Quarterly (Q1/Q2/Q3/Q4) |
| Settlement | Cash (default) or Physical (VIP only) |
| Collateral | 100% backed by SPV-held shares |
| Minimum Trade | $100 equivalent |
| Token Standard | ERC-20 Extended |
Collateral Backing
섹션 제목: “Collateral Backing”SPV Structure
섹션 제목: “SPV Structure”┌─────────────────────────────────────────────────────────────────┐│ SPV STRUCTURE │├─────────────────────────────────────────────────────────────────┤│ ││ Platform Entity ││ (Operating Company) ││ │ ││ │ 100% ownership ││ ▼ ││ ┌───────────────────┐ ││ │ PIPO Holdings Ltd │ ◄── Cayman Islands SPV ││ │ (SPV Parent) │ ││ └─────────┬─────────┘ ││ │ ││ ┌────────┼────────┬────────────┐ ││ ▼ ▼ ▼ ▼ ││ ┌─────┐ ┌─────┐ ┌─────┐ ┌─────────┐ ││ │SPV-1│ │SPV-2│ │SPV-3│ │ ... │ ││ │Space│ │Open │ │Stripe│ │ Future │ ││ │ X │ │ AI │ │ │ │Underlyings│ ││ └──┬──┘ └──┬──┘ └──┬──┘ └─────────┘ ││ │ │ │ ││ ▼ ▼ ▼ ││ [Shares] [Shares] [Shares] ││ │└─────────────────────────────────────────────────────────────────┘Backing Ratio
섹션 제목: “Backing Ratio”| Call Warrant Issued | SPV Must Hold |
|---|---|
| $1M notional | $1M equivalent shares |
| $10M notional | $10M equivalent shares |
No fractional reserve. No leverage. 100% backing.
Pricing
섹션 제목: “Pricing”AMM Price Discovery
섹션 제목: “AMM Price Discovery”Call warrant prices are determined by CPMM (Constant Product Market Maker):
Price = f(Supply, Demand, Time to Expiry, Oracle Valuation)Price Bounds
섹션 제목: “Price Bounds”| Scenario | Warrant Price | Rationale |
|---|---|---|
| Deep OTM | ~$0.05-0.15 | Low probability of profit |
| ATM | ~$0.35-0.50 | ~50% probability |
| ITM | ~$0.65-0.85 | High probability |
| Deep ITM | ~$0.90-0.98 | Near certainty |
Example
섹션 제목: “Example”Underlying: SpaceXCurrent Valuation: $180B (Oracle)Strike: $200BExpiry: 6 months
Warrant Price: $0.30
Interpretation:- Market implies ~30% probability SpaceX reaches $200B- Or ~30% expected return if valuation reaches targetExercise Scenarios
섹션 제목: “Exercise Scenarios”Scenario 1: In-the-Money (ITM)
섹션 제목: “Scenario 1: In-the-Money (ITM)”Strike: $200BValuation at Exercise: $250BNotional: $1,000
Payoff = $1,000 × ($250B - $200B) / $200B = $1,000 × 25% = $250 profit (+ return of premium if sold early)Scenario 2: Out-of-the-Money (OTM)
섹션 제목: “Scenario 2: Out-of-the-Money (OTM)”Strike: $200BValuation at Exercise: $180BNotional: $1,000
Payoff = $0 (worthless expiry)Loss = Premium paidScenario 3: At-the-Money (ATM)
섹션 제목: “Scenario 3: At-the-Money (ATM)”Strike: $200BValuation at Exercise: $200BNotional: $1,000
Payoff = $0 (no intrinsic value)Loss = Premium paidPhysical Delivery Option
섹션 제목: “Physical Delivery Option”Eligibility
섹션 제목: “Eligibility”- Minimum holding: $500K+ in Call Warrants
- KYC/KYB: Completed institutional onboarding
- Timing: Request during exercise window
Process
섹션 제목: “Process”Physical Delivery Process├── 1. Request submission (during exercise window)├── 2. KYC/AML verification (if not completed)├── 3. SPA (Share Purchase Agreement) signing├── 4. Payment settlement (USDC or wire)├── 5. SPV share transfer (T+15 typical)└── 6. Warrant token burnPricing
섹션 제목: “Pricing”Physical delivery price = Cash settlement value + 20% discount fee
Why the discount?
- Operational costs (legal, transfer)
- Illiquidity premium (shares are restricted)
- Incentive to take cash (simpler for platform)
Risk Factors
섹션 제목: “Risk Factors”| Risk | Description | Mitigation |
|---|---|---|
| Valuation Risk | Oracle may misprice | Multi-source oracle, dispute process |
| Time Decay | Value erodes as expiry approaches | Clear expiry schedule, rollover option |
| Liquidity Risk | AMM may have thin liquidity | LP incentives, platform seeding |
| Underlying Risk | Company may fail or down-round | Diversification, due diligence |
| Smart Contract Risk | Code vulnerabilities | Audits, bug bounties, insurance |
Use Cases
섹션 제목: “Use Cases”1. Bullish Speculation
섹션 제목: “1. Bullish Speculation”“I believe SpaceX will be worth $250B within 12 months. I buy $1,000 of Call Warrants at $0.35. If I’m right, my warrants are worth $1.25, a 257% return.”
2. Diversified Tech Exposure
섹션 제목: “2. Diversified Tech Exposure”“I want broad exposure to private tech without picking winners. I buy equal amounts of SpaceX, OpenAI, and Stripe calls. Portfolio approach to pre-IPO alpha.”
3. Employee Upside Amplification
섹션 제목: “3. Employee Upside Amplification”“I’m an OpenAI employee with stock options. I’m already exposed but want more upside. I buy additional Call Warrants to amplify my position.”