Historical Performance
This strategy was backtested using simulated implied volatility levels for Solana options to price a tail-risk hedging strategy that allocated 50% of its lending interest to buying 7-day put options every week with a 5% fully collateralized lending rate assumption.
In the backtest, the downside protection in the strategy provided by the put options outperformed. The protection component generated 45% more yield when compared to lending.
Backtest Results: Depositor would have netted a 8.1% return on capital before fees.
The capital protection strategy underperformed vs. fully collateralized lending when SOL was in its historic bull run in Q4 2021, but outperformed dramatically in the volatile bear market of 2022.
If you have any questions or comments regarding the backtest, methodology, or strategy feel free to reach out via Discord or at [email protected]! We’re always open to feedback in our Analytics.

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