Size a hedge against LVR
Loss-versus-rebalancing is a variance bill. Pool value and horizon in; expected LVR and units per live market out.
Your position
Value of the position you want to hedge
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Why this works
Loss-versus-rebalancing for a constant-product LP is proportional to realized variance: E[LVR] ≈ V·σ²·T/8. A Tremor receipt pays unitNotional·σ², so (V·T/8) / unitNotional units estimate the gross variance notional. This is not an exact hedge: the premium is a real cost, the payout is capped, and fees, expiry mismatch and Chainlink-versus-pool basis all move the result. Sold units are fully collateralized, so writer default is not among the risks.
Gross hedge estimate
Units per live market
| Market | Status | Market vol | Hedge units | Cost (Lens quote) | |
|---|---|---|---|---|---|
Estimate only. Protection is capped and may diverge from pool LVR because of premium cost, fees, expiry mismatch and oracle basis. Below the cap the payout tracks the V·σ²·T/8 estimate by construction, so the residual is essentially the premium; at the cap it under-pays precisely where the bill is largest.