A floor, precisely defined.

The mechanism

Design proposal · 15 September 2026 · independent project for Robinhood Chain. No contracts, underwriting capacity or executable quotes are available. This brief replaces the earlier Solana-specific draft for the current website concept.

The promise

Pay once for the right to sell a fixed quantity of an approved asset for a fixed amount of settlement tokens, at any time strictly before expiry. This is a fully funded, physically settled American-style put. The buyer keeps the asset until exercise; the premium is non-refundable.

The first proposed market is wrapped ETH with a seven-day term. The precise wrapped-ETH and settlement-token contracts on Robinhood Chain still require verification. Dollar examples assume the settlement token is worth $1; they are not dollar guarantees. Tokenized stocks need separate transfer, eligibility and corporate-action rules and are outside this first design.

Example: 0.6 ETH, initially valued at $1,500, with a 90% floor gives a contractual exit of 1,350 settlement tokens. If the position falls to $900, exercising delivers all 0.6 ETH and receives 1,350 tokens. It does not pay an extra $450 while the buyer keeps the ETH. Net proceeds also subtract the premium and transaction costs.

How a position works

1. Fund an offer. An underwriter locks the entire exit amount in an isolated escrow. Terms fix the asset, quantity, payout, premium, protocol fee, designated buyer, nonce and quote deadline. Proposed quote validity: 30 seconds. Cancellation is possible only before acceptance.
2. Accept. One atomic transaction checks funding and quote validity, collects the premium, binds the buyer and starts the seven-day clock. The underwriter receives the premium less Floor’s disclosed fee. Neither premiums nor another buyer’s collateral may fund this position.
3. Exercise. Before the on-chain deadline, the buyer delivers the full asset quantity and receives the fixed payout atomically. The underwriter receives the asset. No market-price oracle or underwriter approval is required at exercise. Exercising above market is allowed even if economically unwise.
4. Expire. At or after the deadline, the exit right ends. Anyone may trigger release of unused collateral to the recorded underwriter. There is no automatic exercise, grace period or premium refund. Sending a transaction before expiry is insufficient if it is included too late.

Proposed v1 excludes partial exercise, option transfers, pooled leverage, collateral lending and auto-renewal. A buyer who sells their ETH elsewhere must reacquire the contracted quantity to exercise.

Money and controls

Floor earns a disclosed fee from the upfront premium, not from collateral or a failed exercise. The example assumes a 10% share of total premium; that is a planning parameter, not an approved launch fee. Underwriter premium is revenue before losses and expenses: after exercise the underwriter owns an asset that may have crashed.

Every active position must have at least its exact payout reserved. Store token amounts as integers; round required collateral upward and bind exact premium/fee amounts to the accepted quote. Reject replay, double exercise, wrong assets, unauthorized recipients and withdrawals from active escrows. Asset transfers and state changes must either all succeed or all revert. Exclude fee-on-transfer and rebasing assets; validate token behavior and use reentrancy protection.

Failure cases and remaining decisions

• Chain outage or congestion: exercise can miss expiry; full funding does not guarantee transaction inclusion. Show the exact deadline and encourage a time margin.
• Token freeze, depeg or bridge failure: payout can be blocked or worth less in dollars. No discretionary substitute asset is promised.
• Stale quote inputs: stop issuing new offers; already accepted terms remain fixed. A price feed is for quoting, not permission to exercise.
• Security incident: a proposed intake pause may stop new offers; it must not grant discretion to cancel existing exit rights. Upgrade powers and recovery policy require explicit design and review.
• Commercial readiness: validate token addresses, funding custody, capital charges, downside limits, pricing surface and operational costs before accepting money. Independent security review and distribution eligibility remain launch work. No outreach has been performed for this update.

References

• Options Industry Council: exercising options — American exercise background; Floor-specific rules above are proposals.
• Robinhood Chain documentation — chain context; this does not establish an affiliation or validate the proposed assets.

The pricing model

Research model v1 · 15 September 2026. This replaces the website’s arbitrary floor-percentage formula. It produces a reproducible estimate, not a validated underwriter quote, trading recommendation or live market feed.

Valuation and quote construction

The contract allows early exercise, so use a Cox–Ross–Rubinstein American put tree. At each node, take the greater of immediate exercise value and discounted continuation value. Average 400- and 401-step results to reduce strike-alignment noise. The website caches its six prices before slider interaction.

For quantity Q, starting spot S, floor fraction f and term T in years: strike K = S × f; collateral C = Q × K. Option value V = Q × AmericanPut(S, K, T, volatility, rate). Time uses actual days / 365. Demo spot remains a hypothetical $2,500, with 0.6 ETH and seven days; it is not the current ETH price. Pricing and staking/carry rates are assumed zero. A real quote needs a verified forward/carry curve.

The commercial estimate is:

Premium = round up to cents [(V + 0.20 × V + C × 0.08 × T + $0.50) / (1 − 0.10)].

The 20% option-value buffer, 8% annual capital hurdle, $0.50 operating allowance and 10% protocol share are unvalidated planning parameters carried forward from the earlier economics research. They are not inferred from the options feed. The capital hurdle prices full-term escrow commitment, not a promised yield; unused term is not refunded. The buffer is a heuristic, not a calibrated crash reserve. Hedging costs, capital costs and buffer can overlap and need underwriter calibration to avoid double-counting.

Floor’s fee is rounded to cents from 10% of the total; the underwriter receives the remainder. This split exactly conserves the charged premium. Internal model components retain precision, so displayed rounded components may differ by a cent. Contract code would use settlement-token integer units, not this floating-point research calculation.

Market anchor and reproducibility

The fixed snapshot was retrieved from Deribit’s public production API at 2026-09-15 01:03:54 UTC. It uses ETH inverse put mark implied volatilities with positive two-sided indicative prices. These are reference marks; order size, execution quality and usable liquidity are not established.

Interpolate variance across log strike/forward moneyness within each expiry. For 80–95% floors, interpolate total variance across the surrounding 18 and 25 September expiries to seven days. The 70–75% floors lack a supported shorter-tenor bracket and use the 25 September smile (10.3 days) as a flagged proxy. Never extrapolate beyond the observed strike range. This simple interpolation is not an arbitrage-free surface fit.

Deribit’s European inverse options differ from Floor’s proposed American, physically delivered, stablecoin-denominated contract. Only the volatility reference is borrowed. Settlement basis, token/bridge risk, volatility jumps, skew dynamics, issuer freezes and executable underwriting capacity are not solved by that reference. The fixed historical snapshot remains labeled with its date and is never silently presented as current pricing.

Saved observations: docs/data/eth-options-snapshot.json. Reproduce with python3 scripts/calibrate-pricing.py docs/data/eth-options-snapshot.json. Run numerical checks with node --test tests/pricing.test.cjs. No API credentials are required and no scheduled refresh is enabled.

Validation boundary

Numerical checks compare zero-rate values against an independent European Black–Scholes benchmark, check early-exercise behavior at positive rates, tree convergence, input rejection, monotonicity, and conservation of premium splits. These check implementation, not commercial adequacy. Sensitivity examples reprice volatility up/down 20 percentage points; they are not confidence intervals or forecasts.

A production quote must add fresh spot/forward and strike-specific volatility, stale-data rejection, depth and basis checks, approved token contracts, independently validated pricing and risk limits, and committed full collateral. Until then there is no purchase flow or executable offer. The website does not contact underwriters.

References

• Cox, Ross and Rubinstein: Option Pricing, A Simplified Approach — binomial valuation framework.
• Deribit: public market summaries — source field definitions.
• Deribit: inverse options — market-contract differences.

Example estimates

Fixed 15 September 2026 snapshot. All amounts describe the hypothetical $1,500 ETH position, for seven days. Lower/higher estimates move volatility by −/+20 percentage points with other inputs fixed; these are sensitivities, not confidence bounds.

70–75% use a 10.3-day tenor proxy. 80–95% use seven-day total-variance interpolation. Commercial charges are assumptions.

The 90% example

Premium: $11.32. Floor gross revenue: $1.13. Underwriter premium before losses/costs: $10.19. Full collateral required: $1,350.00.

Buyer values are net of premium, not profit; subtract the initial $1,500 to obtain P&L. Underwriter P&L marks received ETH at the scenario price and excludes operating, hedging and capital costs. There is no assumption of a realizable sale. Successful exercise assumes included transactions and working token transfers before expiry, with settlement tokens worth $1.

If settlement tokens fall to $0.90 while the ETH position is $900, an exercised payout is worth $1,215.00 before subtracting the already-paid premium. Full collateral protects a token quantity, not its dollar value.

1,000 identical active positions require $1,350,000.00 of collateral and generate $1,130.00 of gross protocol fees before protocol expenses. Their common ETH exposure does not diversify away.