Asset Management
Recipe - Covered Call Roll
A policy for managing a DOV (DeFi Option Vault).
Recipe: Covered Call Roll
This policy manages the weekly "roll" of a Covered Call strategy. It ensures the manager mints options with a safe strike price and expiry.
The Strategy
Weekly Cycle: Every Friday, mint new OTM (Out-of-the-Money) call options.
Safety: Strike price must be > 10% above current spot price.
Safety: Expiry must be < 7 days.
Protect the vault from ITM rolls
Strike and expiry bounds ensure the manager cannot sell deep ITM calls or lock capital for too long.
The Policy
permission CoveredCallRoll -> 1.0.0 {
parameters: {
vault: address,
minStrike: uint256,
minExpiry: uint256,
maxExpiry: uint256
}
when: {
context.target == parameters.vault,
calldata.strike >= parameters.minStrike,
calldata.expiry >= parameters.minExpiry,
calldata.expiry <= parameters.maxExpiry,
calldata.collateralAmount == calldata.optionAmount
}
}Integration
This policy protects investors from a manager selling ITM (In-The-Money) calls, which would guarantee a loss for the vault. It enforces the "O" in OTM.