Contract details : The contract delivers the funding rate of the SOLUSD pair of the Bitmex exchange . Another long fixed rate position on FTX allows the contract to be delta neutral : when SOL goes up or goes down, the price of the contract is only marginally impacted.
Historical price of the contract :
Favorable scenario : Market is bullish/remains steady on SOL.The funding is very positive and offers more than 200%/year
Average scenario : Market remains steady or drops orderly with bounces : the funding is positive on average and we expect a positive performance of the product despite the downtrend and the increased pobability of negative fundings
Adverse scenario : Market dumps continuously without any buying appetite until maturity
Estimated move of the BTC if extreme scenario materializes (as of 23/06) : None. The capital is not at risk. The collateralization ratio is supposed to remain above 95% at all time. The only risk at maturity is having negative fundings more than positive fundings during the holding period
Estimated probability of materialization of the extreme scenario (as of 23/06): 0%