Option chain

Fully on-chain options protocol allowing users to write covered calls and cash secured puts for arbitrary ERC20 token pairs. The options are American-style, meaning they can be exercised at any point prior to maturity. Options can be written against other options allowing for capital efficient advanced option strategies, e.g. vertical call/put spreads or calendar spreads.

The first version of the spec for Arbitrum Stylus was written as part of invisible.garden and has been adapted for this project, which improved capital efficiency. The project uses a standard Solidity + Foundry + OpenZeppelin stack.

Each option series has two corresponding contracts: ERC20 token representing options and ERC4626 vault for managing collateral. If an option is backed by another option then the backing option gets exercised to fulfill the assignment. Exercising is flash-loan-compatible, allowing for cash settlement without requiring oracles or complex risk-management and liquidation systems.