Options-Backed Credit
Every Stormbit loan is a collar. At origination, before any USDC moves, a put and a short call are written on the borrower’s collateral on Deribit. The put sets a hard floor under the collateral. The short call caps the upside. The net premium funds the loan.
One structure, three consequences:
0% APR, The borrower pays no interest. The short call premium funds the loan economics. The cost the borrower carries is the cap: upside above the call strike belongs to the desk for the duration of the term.
No liquidation, The floor is an option, not a margin monitor. No matter what the collateral does during the term, there is no liquidation bot, no margin call, no 10-minute price wick that closes the position. The put settles the downside at maturity.
Endogenous yield, Lender yield is the premium borrowers’ collars generate, priced at trade entry, paid from inside the trade. Not token emissions, not a pass-through of Fed rates.
The spread being underwritten, BTC implied volatility has averaged 5–8 vol points above realized across past cycles. The desk underwrites that spread loan by loan. It compresses and occasionally inverts, which is why soUSD carries a floor mechanism and the engine publishes its own error rate rather than assuming the spread persists.
The pricing engine, A 2D vol skew surface, calibrated weekly against a live OTC quote feed, backtested on 6+ years of Deribit data. Strike selection is adaptive, and the engine’s error rate is published cycle over cycle.
Next: How It Works, the full loan lifecycle, from deposit to settlement.