Uniswap LP positions receive fees based on realized volatility, not implied volatility. Their VRP is zero. That’s why their profitability is ~zero or even negative w/ fees. To be profitable in expectation, they need to get paid based on IV 🟣 Thanks for coming to my TED talk.
Kris
Kris26.7. klo 12.02
VRP's tend to get fat at low levels of realized (implied's know vol is mean-reverting) but these premiums are extra fat because of upcoming events
3,14K