Vault StrategiesVault D — Covered Call

Vault D — Covered Call + PT/YT

Risk: Medium | Target APY: 12-25% | Entry: BTC

Strategy

Vault D combines two yield mechanisms:

  1. Covered call writing: Sells BTC call options at strike prices above spot. Collects premium income. If BTC stays below strike at expiry, vault keeps premium + BTC. If above, vault delivers BTC at strike price.

  2. PT/YT tokenization (Pendle-style): Splits remaining yield into:

    • Principal Tokens (PT): Redeemable for underlying BTC at maturity — purchased at discount for fixed yield
    • Yield Tokens (YT): Receives all variable yield until maturity — leveraged yield exposure

Epoch Structure

PhaseDurationActions
Active7 daysOptions written, premiums collected, yield accrues
SettlementEnd of epochOptions settled, collateral distributed, new epoch begins
MaturityEnd of termPT holders redeem underlying, YT yield finalized

Key Mechanics

Covered Call Writing

1. Vault holds BTC collateral
2. Keeper writes call options at 10-15% OTM strike
3. Premium collected immediately → distributed as yield
4. At expiry:
   - BTC < strike → option expires worthless, vault keeps BTC + premium
   - BTC ≥ strike → vault delivers BTC at strike, keeps premium

PT/YT Split

After covered call settlement, remaining yield is split:

Total yield = option_premiums + funding_income - expired_option_losses

PT value at maturity = initial_deposit (guaranteed BTC return)
PT purchase price = initial_deposit × (1 - fixed_yield_rate)

YT value = accumulated_variable_yield
YT holders receive: all yield generated until maturity

Example

  • Deposit 1 BTC when BTC = $60,000
  • 7-day covered call at $66,000 strike earns 0.5% premium ($300)
  • PT issued at 5% annual discount → PT buyer pays 0.99 BTC now, gets 1 BTC in 90 days
  • YT holder receives all premiums during the 90-day term

API Reference

User Functions

fn deposit(ref self: TContractState, btc_amount: u256) -> u256       // returns shares
fn withdraw(ref self: TContractState, shares: u256)
fn mint_pt_yt(ref self: TContractState, shares: u256) -> (u256, u256) // returns (pt_amount, yt_amount)
fn redeem_pt(ref self: TContractState, pt_amount: u256)               // at maturity
fn claim_yt_yield(ref self: TContractState)

Keeper Functions

fn settle_epoch(ref self: TContractState)        // settle expired options
fn write_options(ref self: TContractState)        // write new covered calls
fn distribute_premiums(ref self: TContractState)  // distribute premium income

Read Functions

fn get_current_epoch(self: @TContractState) -> EpochData
fn get_pt_price(self: @TContractState) -> u256
fn get_yt_accumulated(self: @TContractState, user: ContractAddress) -> u256
fn get_option_strike(self: @TContractState) -> u256
fn get_option_expiry(self: @TContractState) -> u64

Risks

  • Assignment risk: If BTC rallies above strike, vault caps upside at strike price
  • Yield variability: YT returns depend on option premiums, which vary with volatility
  • Maturity lock: PT/YT positions are locked until maturity
  • Smart contract complexity: Options + tokenization + CDP interactions
  • Oracle dependency: Strike price calculation depends on accurate BTC/USD feeds
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