On-Chain options refer to option contracts, traded directly on a decentralized exchange on the Ethereum blockchain.
We report a novel set of stylized facts about the functioning of this so-called automated market making for options trading. We document the extent to which the On-Chain options differ from their Off-Chain counterparts traded on centralized exchanges. In particular, we identify a difference in implied volatilities between On-Chain and Off-Chain options, attributing it to factors like the complex On-Chain fee structure, trading volume, and net demand pressure.
We propose a theory explaining the difference in implied volatilities and empirically verify key model implications.
I am an Assistant Professor at the Collegio Carlo Alberto and the University of Turin. My area of interest is asset pricing, especially within the area of option-implied information, and decentralized finance (DeFi).
I am associated with the Fintech & Digital Finance Chair at Paris Dauphine University. I obtained my Ph.D. in Finance at the Frankfurt School of Finance and Management in 2020. I earned my B.Sc. and M.Sc. at the University of Mannheim where I studied Business Mathematics.
The seminar will be held in English.
Major information: Giulia Baschieri (giulia.baschieri@unibo.it).