Disclaimer: This repository is no longer being actively maintained and has not been audited. Proceed as your own risk.
Pareto's Theta Vault v1 is a Replicating Theta Vault built on top of Primitive's RMM-01 pools. Pareto's vault generates yield for depositors by operating an automated weekly covered call selling strategy. This involves selling upside token volatility in return for a premium.
The vault replicates the payoff of selling out-the-money Black-Scholes covered call options, which expire each Friday. It reinvest assets each week until users withdraw. It generates premiums by depositing in a replicating market maker (RMM), a type of automated market maker (AMM), rather than selling options via auctions. Please refer to this paper for more technical details.
A whitepaper for Pareto's Theta Vaults can be found here. Additionally, helpful background and discussion can be found in this paper from the Primitive team.
Compile contracts with yarn compile. Run Tests with yarn test. To measure coverage, run yarn coverage.
There is 100% test coverage, that is, all external and internal functions within Pareto have at least 1 test. However, we are sure our tests could be improved. If you have suggestions, please reach out to us via email (team@paretolabs.xyz), Twitter (@paretoxyz) or Discord.
This code is heavily based on Ribbon v2's implementation. Additionally, we incorporate feedback from Ante Finance's review.