Ivy × Flow Foundation
Covered Call Vault + PYUSD Cash-Secured Puts
Two vaults, two jobs
Vault 1 — FLOW Foundation Covered Calls (treasury yield) The foundation holds idle FLOW. Covered calls earn yield on that inventory — collecting the volatility premium that today goes unpaid. Strike agreed at $0.04: FLOW is only called away if it rallies 43% above today’s spot. Premium lands upfront, every cycle.
Standard Ivy settlement: netted in-kind (vault delivers only the intrinsic FLOW fraction; no cash leg). TBD
Vault 2 — PYUSD Cash-Secured Puts * For the Flow foundation treasury – capture the best opportunity, one vault at a time * For the Flow ecosystem: PYUSD depositors post stablecoin and earn premium by selling puts on a curated basket. Foundation incentives (~3%) to attract TVL
Vault 1 — FLOW Covered Calls · $500k notional · K = $0.04
The vol picture FLOW sits at 100% realised vol, and dealer quotes confirm this. Expect 95% for 30 day, 105% at 60 days
| Metric | Value |
|---|---|
| FLOW spot | $0.0279 (Jun 29) |
| Strike K | $0.04 — 43% OTM |
| YZ realised vol, 30d / 60d | |
| Fair IV term structure | ~96% / 103% |
*$500k USD ÷ $0.0279 ≈ 17.9M FLOW tokens. Net APR after 20% Ivy fee.
Vault summary
Net APR after 20% Ivy fee. Netted in-kind settlement.
| Tenor | Fair IV | Net APR | Premium / cycle | Assign% | E[assigns/yr] | ||
|---|---|---|---|---|---|---|---|
| 30d | 96% | 14.2% | $7,300 | 7.4% | 0.9× | ||
| 60d | 103% | 25.8% | $26,500 | 14.2% | 0.9× |
Vault 2 — PYUSD Cash-Secured Puts
APR vs tenor — across the vol spectrum
The chart below shows how APR(τ) behaves for each asset across three OTM levels, using the actual implied-vol surface (Deribit for ETH, Derive for HYPE, YZ cone proxy for ZEC). This is the same analysis as the FLOW chart above — but mapped across the basket to show where the premium is richest and how tenor interacts with vol regime.
The three positions — 30-day baseline tables
Net APR after 20% Ivy fee. IV from actual surface where available.
ZEC — IV ~165% indicative
| Tier | OTM | Strike | Net APR | E[assigns/yr] |
|---|---|---|---|---|
| Conservative | 25% | $289 | 65% | 4.3× |
| Moderate | 20% | $308 | 81% | 5.2× |
| Aggressive | 15% | $327 | 99% | 5.8× |
ZEC spot $385. No exchange options; numbers are indicative. Assignment = accumulating ZEC at a 15–25% discount.
HYPE — IV ~116%
| Tier | OTM | Strike | Net APR | E[assigns/yr] |
|---|---|---|---|---|
| Conservative | 25% | $48.01 | 30% | 2.9× |
| Moderate | 20% | $51.21 | 43% | 3.7× |
| Aggressive | 15% | $54.41 | 59% | 4.5× |
HYPE spot $64.01
ETH — IV ~56% · 10% fee (liquid)
| Tier | OTM | Strike | Net APR | E[assigns/yr] |
|---|---|---|---|---|
| Conservative | 25% | $1,174 | 2% | 0.5× |
| Moderate | 20% | $1,253 | 6% | 1.1× |
| Aggressive | 15% | $1,331 | 13% | 2.1× |
ETH spot $1,566. Liquid blue-chip → 10% Ivy fee (vs 20% on FLOW/HYPE/ZEC).
Managed basket — moderate tier, equal weight
| ZEC | HYPE | ETH | Blended | |
|---|---|---|---|---|
| Net APR | ~81% | ~43% | ~6% | ~43% |
| Assign% / cycle | 43% | 31% | 10% | ~28% avg |
| Ivy fee | 20% | 20% | 10% | — |
With ~3% foundation incentive on top:
| Source | Yield |
|---|---|
| Option premium (blended moderate) | ~43% |
| Foundation incentive (bootstrap) | ~3% |
| Total depositor yield | ~46% |
ZEC is the yield engine, appetite and capacity to be confirmed; ETH is the anchor; HYPE balances the two.
How we run it
- Agree the envelope — OTM floor, maturity range, size — one short LOI per vault.
- Deposit — FLOW tokens (calls) or PYUSD (puts) into a dedicated vault/sub-account – More/Utila.
- Auction — Sealed IV bids from MMs. Ivy optimises ( eg tenor ) within mandate.
- Premium upfront — Paid at cycle start.
- Settle at expiry — CC: net in-kind (intrinsic FLOW fraction only). CSP v0: same, v1 with asset acquisition.
- Report — Strike, tenor, IV, gross + net premium, every cycle.