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Guillaume Lambert

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Guillaume Lambert

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Jun 23, 2021

Uniswap V3 LP Tokens as Perpetual Put and Call Options

An analysis of how Uniswap v3 liquidity positions effectively behave as perpetual cash-secured put and covered call options.

Uniswap V3 LP Tokens as Perpetual Put and Call Options

Guillaume Lambert

·

Apr 4, 2022

Designing a constant volatility AMM

We construct a constant volatility AMMs by changing the fee rate on a per-trade basis.

Designing a constant volatility AMM

Guillaume Lambert

·

Feb 23, 2022

Gamma transforms: How to hedge squeeth using Uni V3

Single-tick Uniswap v3 LP positions can be used to hedge the gamma of payoff curves like squeeth or any other power perpetual

Gamma transforms: How to hedge squeeth using Uni V3

Guillaume Lambert

·

Jan 12, 2022

How to deploy delta-neutral liquidity in Uniswap — or why Euler Finance is a game changer for LPs

LPs can use Euler Finance to deploy directionally strategic positions on Uniswap

How to deploy delta-neutral liquidity in Uniswap — or why Euler Finance is a game changer for LPs

Guillaume Lambert

·

Nov 21, 2021

On-chain Volatility and Uniswap v3

We can use the daily volumes and liquidity information directly from Uniswap v3 pools to extract the implied volatility of most assets

On-chain Volatility and Uniswap v3

Guillaume Lambert

·

Oct 17, 2021

Pricing Uniswap v3 LP Positions: Towards a New Options Paradigm?

Pricing Uniswap v3 LP Positions: Towards a New Options Paradigm?

Guillaume Lambert

·

Oct 1, 2021

An Analysis of the Expected Value of the Impermanent Loss in Uniswap

The expected impermanent loss follows a simple expression that depends on the drift and volatility of an asset.

An Analysis of the Expected Value of the Impermanent Loss in Uniswap

Guillaume Lambert

·

Sep 15, 2021

A Guide for Choosing Optimal Uniswap V3 LP Positions, Part 2

Uni v3 liquidity positions have to balance capital efficiency and the time spent in-the-money. We derive an expression that optimizes both.

A Guide for Choosing Optimal Uniswap V3 LP Positions, Part 2

Guillaume Lambert

·

Aug 24, 2021

How to Create Perpetual Options in Uniswap v3

Perpetual Uniswap v3 Options can be deployed right now between any two assets, for any DTE, and at any delta.

How to Create Perpetual Options in Uniswap v3

Guillaume Lambert

·

Aug 4, 2021

A Guide for Choosing Optimal Uniswap V3 LP Positions, Part 1

We derive the probability that a Uniswap LP position centered between an upper tick tH and a lower tick tL will end up ITM after a time T.

A Guide for Choosing Optimal Uniswap V3 LP Positions, Part 1

Guillaume Lambert

Guillaume Lambert

Asst professor in Applied Physics at Cornell. LambertLab.io PI and proud father. Interests: Biophysics, Math, Crypto, and Options (often all at the same time).

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