Three updates to the numbers I posted in July, since the thread has moved and so has the book (full re-run on the July book here):
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The worked example’s $1,150 strike now sits ~39% below spot (ETH ~$1,876 at the August 17 close, vs ~$1,784 when I posted #8). Modeling the ETH side at that level, the July book loses about $19.2M (−25%), and, worth noting for sizing, it still ends above the $49.34M floor figure. At the June book and July prices the same scenario landed closer to −23%; the difference is mostly ETH’s bounce raising the starting point.
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The settlement mechanics in #10 sharpen what assignment means for the book. Physical settlement leaves the Endowment holding the 622 ETH at the $1,150 strike, which is the “buying more ETH into a decline” case from #4 and #12 made concrete; cash settlement caps the outcome at the escrowed collateral. Same premium, materially different post-assignment book. That choice deserves to be explicit in any mandate language.
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On the pilot-sleeve idea in #14 by @estmcmxci: capped capital with explicit stop conditions is exactly the kind of structure these scenarios can size before anyone commits funds. Once a cap, venue list and stop conditions exist as numbers, we will run the paired books (with and without the pilot, assignment and no-assignment paths) at no cost, the same way the numbers above were produced. Without parameters there is nothing to model yet, which is itself worth saying: the thread’s open disagreement (premium income vs. wrong-way assignment) is quantifiable, and a parameterized pilot proposal would let the vote be about numbers rather than instincts.
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