Having up-to-date and reliable data is crucial for making informed decisions when trading. That's why we're pleased to share the results of a recent simulation we ran on the Bumper protocol, based on the most recent historical price action of ETH.
The purpose of this simulation was to discover real premia rates, including all the variables that affect your bottom line, such as gas fees. The results shown here cover most of the Q2 to Q3 period of 2023.
The simulation involved six different positions with varying parameters such as term length, floor level, and the amount of ETH protected. The data accounts for gas fees and calculates both the true and annualised premia, providing a comprehensive and realistic evaluation of Bumper's performance.
The table below shows the output of the simulated positions using real historic ETH price data over the last few months with each pass using historical ETH market data. The simulated data’s range, inputs and results are shown in the table below. Please note, in this simulation, gas fees have been set at a fixed average price of $44 and factored into the final premia calculation and profit & loss.
The period during which all positions are opened and closed falls between 06 April 2023 to 21 September 2023, during which time the price of ETH ranged from a high of $2120 to a low of $1535, representing a drop from the high to the low point of around 27.5%.
Most positions were in the date range between mid-June and mid-July to early/mid September, with price ranges between $2005 to $1535, a swing of 23.44% from the highest to the lowest point.
In this simulation, the true premia ranged from 3.0% to 5.9%, with annualised premia extending from 12.2% to 26.4%. These figures are competitive, especially when you consider the added layer of protection Bumper provides, but it should be noted that annualised premia is representative only, as Bumper does not offer year long terms.
In the crypto world, gas fees can often eat into profits. Our simulation takes this into account, ensuring that the results are as close to real-world scenarios as possible. The gas fees were consistent across all positions, making up less than 1% of the position value, a negligible amount given the potential returns.
The crux of any financial simulation lies in its profit and loss analysis. Profit and loss is calculated against the value of the wallet had the user chosen to simply hold their ETH without Bumpering.In this simulation, four out of the six positions made a significant profit, ranging from $256.94 to $428.91. Two positions incurred a minor loss, one at $2.67 and the other at $24.10.
As a risk market, Bumper simplifies the process of hedging against downside price moves. These simulated figures use actual, and recent, historical data based on Bumper’s existing parameter tuning to demonstrate that the cost of taking protection is in fact highly competitive compared to crypto options desks.
For more in-depth details about Bumper’s extensive economic modelling, please refer to our Simulation Report.
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