Visualize a Uniswap v3 LP position as a short strangle. Adjust range bounds, implied vol, fee APY, and hold period to see IL vs. the Black-Scholes fair premium — and whether your fee income covers the options risk.
The CLMM Strangle — Pa / Pb sliders — set the lower and upper range bounds as % of current ETH spot · IV slider — adjust implied volatility; starts at 50-hour realized vol from Crypto.com · Fee APY and hold-days sliders — compare fee income earned against the BS strangle fair premium · data as of · Crypto.com Exchange — ETH/USDT spot and 50-hour closes ↗
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A Uniswap v3 LP position in range [Pa, Pb] is mathematically a short strangle — short put at Pa, short call at Pb. Derive the equivalence, compute the Black-Scholes fair premium, and compare it to actual fee income at current ETH vol.