The initial goal for our project was to create a token which represented a delta-hedged exposure which could be traded amongst different parties. This would entail using Opyn's call and put options and hedging the option delta accordingly to have zero exposure to the underlying price. The utility here would be to allow users to gain outright exposure to volatility without having to manually hedge themselves. The problem we ran into which prevented us from proceeding further was that the excessive gas costs in rebalancing the delta-hedge would be extremely costly relative to the trading profits that could be earned by holding the token. As a result, our group collectively was not able to proceed further given the lack of real-world practicality for this specific hack.
How It's Made
Theoretically we would use the Opyn ETH options and find a way to pair them with Synthetix or Aave's synthetic version of ETH and package these two into one token. Note that we would go long or short the appropriate amount of ETH based on the option delta. For example, if an ETH put option had a delta of -0.43, then we would need to buy +0.43 units of synthetic ETH to remain delta-neutral for the token. Another key problem to address is how often to hedge given the prohibitively high gas costs.