Deriswap: Capital efficient swaps, futures, options, and loans

Andre Cronje
2 min readNov 23, 2020

I have become increasingly obsessed with capital efficiency. Current liquidity is segmented. You get to choose one of;

  • Swaps (Uniswap, Sushiswap, Bancor, …)
  • Options (Deribit, Hegic, Opyn, Primitive, …)
  • Loans (Aave, Compound, DyDx, …)

Deriswap (currently under audit), combines Swaps, Options, and Loans into a capital efficient single contract, allowing interaction between the two assets that make up the pair.

Lets consider ETH-BTC pair.


The swap contract is standard Uniswap x * y = k. LPs provide ETH-BTC as liquidity. Traders can swap ETH to BTC and vice versa. LPs earn trading fees.


The TWAP oracle was expanded to take readings every 30 minutes, this allows us to report realized variance, realized volatility, implied volatility (derived from Realizing Smiles), and price over an arbitrary selected time series.


The above derived values allow us to quote Call/Put options using Black Scholes. These are American options, and can be settled at any point in time. Settlement occurs in the pair assets, so a Call needs to buy the full value, and a Put needs to sell the full value.

Combining swaps and Options have an interesting interaction, options are a trade on volatility, trading fees are a hedge against volatility. The pair volatility(+ve trading fees) offsets the losses from settled options (-ve settlement).

Full settlement was also selected since the LPs have a perpetual position on the pair itself, if only profits are settled that is a permanent loss, however if the underlying is settled, that is impermanent loss.

Settlement can occur ITM, or OTM.


Futures extend and simplify off of Options, you pay a premium as well as the underlying and this allows you to settle against the other pair at user defined future date.


Loans extend and simplify off of Futures, you pay a premium as well as the collateral and this provides you the borrowed asset. You can then settle the borrowed asset before the user defined future date, or forfeit the collateral.

Secondary Markets

Loans, Futures, and Options are all tokenized via Non Fungible Tokens (NFT) that allow the trade/creation of secondary markets.


Deriswap allows for a consolidated, capital efficient market for trading, Options, Futures, and Loans, allowing LPs to keep their exposure and enjoy additional fees and rewards.