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Guillaume Lambert

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Guillaume Lambert

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.

7 min readJun 23, 2021

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Uniswap V3 LP Tokens as Perpetual Put and Call Options

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Guillaume Lambert

Designing a constant volatility AMM

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

9 min readApr 4, 2022

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Designing a constant volatility AMM

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Guillaume Lambert

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

8 min readFeb 23, 2022

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Gamma transforms: How to hedge squeeth using Uni V3

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Guillaume Lambert

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

10 min readJan 12, 2022

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

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Guillaume Lambert

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

6 min readNov 21, 2021

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On-chain Volatility and Uniswap v3

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Guillaume Lambert

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

11 min readOct 17, 2021

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

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Guillaume Lambert

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.

5 min readOct 1, 2021

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

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Guillaume Lambert

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.

8 min readSep 15, 2021

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

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Guillaume Lambert

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.

8 min readAug 24, 2021

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How to Create Perpetual Options in Uniswap v3

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Guillaume Lambert

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.

8 min readAug 4, 2021

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

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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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