Delta Neutral ETH With cbETH & USDC Yields
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Description
By combining 2 opposing Long and Short positions, this strategy earns yields while maintaining its value throughout short term market volatility. A fall in ETH’s price is covered by a short ETH position and vice versa.
Half of the USDC deposited is used to create a 2x USDC/ETH Short position with a 20% liquidation buffer. This earns 1x USDC lending interest (on initial deposit amount) with a 0.5x ETH borrow position. If ETH price drops relative to USDC, the debt owed decreases and vice versa.
To offset the risks of increasing debt on the USDC/ETH short position, the remaining USDC deposited is swapped for cbETH. The upside exposure of holding cbETH cancels out the downside exposure of the ETH debt from the above short USDC/ETH position. Additionally, cbETH continues to earn liquid staking yields which historically has been above the ETH borrow interest.
+ USDC Supply Interest
+ cbETH Liquid Staking Yields
- ETH Borrow Interest
Strategy
Create 2x USDC/ETH Short
Flash loan 2x of 50% $USDC balance
Lend 50% initial $USDC + flash loaned $USDC amount
Borrow $ETH to cover flash loan
Swap $ETH → $USDC
Swap 50% $USDC deposit for $cbETH
Protocol Parameters
Strategy Performance Conditions
USDC supply interest and cbETH liquid staking yields are greater than WETH borrow costs.
cbETH price continuously increases relative to WETH.
Calculation Template
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Estimated Returns
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