đ Block Scholes x D2X: How do stablecoin denominated options affect options pricing
đ” USD-denominated options that pay interest on collateral are more capital-efficient for short positions. In contrast, stablecoin-margined contracts (common on centralized exchanges) offer no yield, leading to higher premium demands.
â ïž Stablecoin settlement introduces FX risk. USDC/USD volatility (est. 4.71%) and BTCâUSDC correlation (~8.7%) impact pricing - particularly during market stress.
đ§ź Accurate pricing requires a quanto-adjusted model. A 1Y BTC call at $110K shows a 0.43% mispricing vs naive Black-Scholes. Correlation risk increases cost linearly.
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