Put Warrant
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Definition
섹션 제목: “Definition”A Put Warrant gives the holder the right—but not the obligation—to receive cash equal to the difference between the strike price and the underlying company’s valuation at exercise, if positive.
Put Warrant Payoff = max(0, Strike Price - Valuation at Exercise)Structure
섹션 제목: “Structure”┌─────────────────────────────────────────────────────────────────┐│ PUT WARRANT STRUCTURE │├─────────────────────────────────────────────────────────────────┤│ ││ ┌───────────────┐ ┌───────────────┐ ││ │ BUYER │ │ ISSUER │ ││ │ (Anyone) │ │ Platform Pool │ ││ └───────┬───────┘ │ + KYB Writers │ ││ │ └───────┬───────┘ ││ │ │ ││ │ Premium (USDC) │ ││ │ ───────────────────────▶│ ││ │ │ ││ │◀─────────────────────── │ ││ │ Warrant Tokens │ ││ │ │ ││ │ ▼ ││ │ ┌───────────────┐ ││ │ │ USDC VAULT │ ││ │ │(Cash Collateral)│ ││ │ └───────────────┘ ││ │ ││ │ On Exercise (if ITM): ││ │ │ ││ │◀─────────────────────── │ ││ │ Cash Settlement │ ││ │ (USDC) │ ││ │└─────────────────────────────────────────────────────────────────┘Specifications
섹션 제목: “Specifications”| Parameter | Value |
|---|---|
| Type | Bermuda-style with quarterly windows |
| Underlying | Pre-IPO company valuation |
| Strike | Fixed valuation (e.g., $150B) |
| Premium | Market-determined via AMM |
| Expiry | Quarterly (Q1/Q2/Q3/Q4) |
| Settlement | Cash only (USDC) |
| Collateral | 100% USDC in smart contract vault |
| Minimum Trade | $100 equivalent |
| Token Standard | ERC-20 Extended |
Dual Issuer Model
섹션 제목: “Dual Issuer Model”Why Dual Issuance?
섹션 제목: “Why Dual Issuance?”Unlike Call Warrants (platform-only issuance), Put Warrants can be issued by:
- Platform Pool: Primary issuer, uses protocol treasury
- KYB-Verified Writers: Qualified investors seeking yield
┌─────────────────────────────────────────────────────────────────┐│ PUT WARRANT ISSUANCE SOURCES │├─────────────────────────────────────────────────────────────────┤│ ││ ┌─────────────────────┐ ┌─────────────────────┐ ││ │ PLATFORM POOL │ │ KYB WRITERS │ ││ │ (70% of supply) │ │ (30% of supply) │ ││ ├─────────────────────┤ ├─────────────────────┤ ││ │ • Protocol treasury │ │ • Accredited investors│ ││ │ • Stable, predictable│ │ • Family offices │ ││ │ • Conservative strikes│ │ • Yield-seeking whales│ ││ │ • Primary liquidity │ │ • Custom strikes OK │ ││ └──────────┬──────────┘ └──────────┬──────────┘ ││ │ │ ││ └──────────┬───────────────┘ ││ ▼ ││ ┌─────────────────────┐ ││ │ COMBINED POOL │ ││ │ (AMM Liquidity) │ ││ └─────────────────────┘ ││ │└─────────────────────────────────────────────────────────────────┘KYB Writer Requirements
섹션 제목: “KYB Writer Requirements”| Requirement | Detail |
|---|---|
| Status | Accredited investor or institutional |
| KYB | Full identity verification |
| Collateral | 100% USDC upfront deposit |
| Minimum | $50K per position |
| Lock-up | Until expiry or buyback |
Collateral Backing: Cash-Secured Put
섹션 제목: “Collateral Backing: Cash-Secured Put”Put Warrants are 100% backed by USDC—the concept is identical to a Cash-Secured Put in traditional finance:
Cash-Secured Put Mechanism├── Writer deposits USDC = Strike × Notional├── USDC locked in smart contract vault├── If Put exercised (ITM): USDC paid to buyer├── If Put expires (OTM): USDC returned to writer + premium└── No margin. No liquidation. No counterparty risk.Example
섹션 제목: “Example”Put Writer Action:- Writes $100K notional of SpaceX Put at $150B strike- Deposits $100K USDC to vault- Collects $8K premium from buyers (8% yield)
Scenario A (OTM - SpaceX at $180B):- Put expires worthless- Writer receives $100K + $8K = $108K- 8% return over period
Scenario B (ITM - SpaceX at $120B):- Put is exercised- Writer pays out ($150B - $120B) / $150B × $100K = $20K- Writer receives $100K - $20K + $8K = $88K- 12% lossPricing
섹션 제목: “Pricing”Premium Determination
섹션 제목: “Premium Determination”Put warrant premiums are influenced by:
| Factor | Impact |
|---|---|
| Strike vs Current | Higher strike = higher premium |
| Time to Expiry | Longer = higher premium |
| Implied Volatility | Higher volatility = higher premium |
| Interest Rate | Higher rates = slightly lower premium |
| Supply/Demand | More demand = higher premium |
Expected Yield for Writers
섹션 제목: “Expected Yield for Writers”| Strike Distance | Expected Annualized Yield |
|---|---|
| ATM | 15-25% |
| OTM-10% | 10-15% |
| OTM-20% | 5-10% |
Yields vary with market conditions and underlying volatility.
Exercise Scenarios
섹션 제목: “Exercise Scenarios”Scenario 1: In-the-Money (ITM)
섹션 제목: “Scenario 1: In-the-Money (ITM)”Strike: $180BValuation at Exercise: $140BNotional: $1,000
Payoff = $1,000 × ($180B - $140B) / $180B = $1,000 × 22.2% = $222 profitScenario 2: Out-of-the-Money (OTM)
섹션 제목: “Scenario 2: Out-of-the-Money (OTM)”Strike: $180BValuation at Exercise: $200BNotional: $1,000
Payoff = $0 (worthless expiry)Loss = Premium paidScenario 3: Deep ITM (Severe Down-Round)
섹션 제목: “Scenario 3: Deep ITM (Severe Down-Round)”Strike: $180BValuation at Exercise: $80BNotional: $1,000
Payoff = $1,000 × ($180B - $80B) / $180B = $1,000 × 55.6% = $556 profitUse Cases
섹션 제목: “Use Cases”1. Employee Hedging
섹션 제목: “1. Employee Hedging”“I’m a SpaceX engineer with $2M in vested stock options. I’m worried about a down-round before IPO. I buy Put Warrants to protect my downside.”
Strategy:
- Hold $2M in SpaceX options (bullish exposure)
- Buy $200K notional of Put Warrants at $150B strike
- If SpaceX drops to $100B, options lose 45% value, but puts pay out 33%
- Net loss reduced from 45% to ~12%
2. Bearish Speculation
섹션 제목: “2. Bearish Speculation”“I think OpenAI is overvalued at $80B. I expect a correction to $50B within 12 months.”
Strategy:
- Buy Put Warrants at $70B strike
- If OpenAI drops to $50B, puts pay 28% of notional
- Asymmetric risk: max loss = premium, max gain = up to 100%
3. Yield Generation (Writers)
섹션 제목: “3. Yield Generation (Writers)”“I have $500K in stablecoins earning 5% in DeFi. I want higher yield with controlled risk.”
Strategy:
- Write Put Warrants on SpaceX at $150B (OTM-15%)
- Collect 12% premium annually
- Risk: If SpaceX drops below $150B, lose money
- Comfortable because: “I’d be happy owning SpaceX at $150B anyway”
4. Market Making
섹션 제목: “4. Market Making”“I’m a sophisticated trader. I want to provide liquidity and capture spreads.”
Strategy:
- Write both OTM Calls and OTM Puts
- Collect premiums on both sides
- Profit if underlying stays within range
- Delta-neutral market making
Risk Factors
섹션 제목: “Risk Factors”| Risk | Description | Mitigation |
|---|---|---|
| Counterparty Risk | Writer may not pay | 100% collateralized, no counterparty |
| Valuation Risk | Oracle may misprice | Multi-source oracle, disputes |
| Time Decay | Puts lose value approaching expiry | Clear schedule, rollover |
| Basis Risk | Settlement price may differ from spot | Defined settlement methodology |
| Smart Contract Risk | Vault vulnerabilities | Audits, formal verification |
Writer Dashboard
섹션 제목: “Writer Dashboard”KYB-verified writers access a dedicated dashboard:
┌─────────────────────────────────────────────────────────────────┐│ PUT WRITER DASHBOARD │├─────────────────────────────────────────────────────────────────┤│ ││ Active Positions ││ ├── SPACEX-PUT-150B-Q42025: $200K written, $16K premium ││ ├── OPENAI-PUT-60B-Q22025: $100K written, $12K premium ││ └── STRIPE-PUT-50B-Q32025: $50K written, $4K premium ││ ││ Portfolio Summary ││ ├── Total Written: $350K ││ ├── Total Premium: $32K (9.1% yield) ││ ├── Collateral Locked: $350K USDC ││ └── Available Balance: $150K USDC ││ ││ Risk Metrics ││ ├── Max Loss (all ITM): $87.5K ││ ├── Current Delta: -0.15 ││ └── Days to Nearest Expiry: 45 ││ ││ Actions ││ ├── [Write New Put] ││ ├── [Buy Back Position] ││ └── [Withdraw Collateral] ││ │└─────────────────────────────────────────────────────────────────┘