wOETH Asset Listing on WETH Comet
If the community decides to list wOETH on WETH v3 Ethereum Mainnet Comet, Gauntlet recommends the risk parameters below.
Ethereum Mainnet Risk Parameters
WETH v3 Comet on Ethereum Mainnet
| Asset | Collateral Factor | Liquidation Factor | Liquidation Penalty | Supply Cap |
|---|---|---|---|---|
| wOETH | 88% | 90% | 5% | 5000 |
Analysis
Use of Exchange Rate Oracles
Gauntlet supports Exchange Rate Oracles for wOETH within the correlated WETH Comet if the community decides to pursue this strategy. The exchange rate-based risk parameters could facilitate higher caps and Liquidation Factors along with more conservative Liquidation Penalties.
Liquidity Sources
Origin Ether (OETH) is a liquid staking token (LST) and Wrapped OETH (wOETH) provides a non-rebasing version of OETH that still earns yield. wOETH can be un/wrapped/unwrapped atomically, so all the liquidity paths analyzed below utilize oETH liquidity.
The following table summarizes the liquidity sources for wOETH across various decentralized exchanges (DEXs) on Ethereum:
| DEX | Pool Name | Pool TVL (USD) | Volume (24h USD) | Pool URL |
|---|---|---|---|---|
| Curve | OETH/ETH | $24.36M | $889.81K | Link |
| Uniswap v3 | OETH/WETH 0.05% | $660.65K | $536.13 | Link |
| Curve | frxETH/OETH | $188.61K | $0.0 | Link |
| Sushiswap | OETH/WETH | $133.42K | $0.0 | Link |
| Balancer | OETH/WETH 0.04% | $169.52K | $0.0 | Link |
| Curve | InoETH/OETH | $7.81K | $0.0 | Link |
| Curve | OETH/primeETH | $2.55K | $52.44 | Link |
| Uniswap v3 | OETH/InoETH 0.05% | $1.23K | $0.0 | Link |
| Uniswap v3 | OETH/OGV 0.3% | $12.71 | $0.0 | Link |
Total DEX TVL: $25.58 million
The largest liquidity source is the Curve OETH/ETH pool, followed by the Uniswap v3 OETH/WETH pool. The Balancer OETH/WETH and Curve frxETH/OETH pools have lower TVL but can still provide important sources of liquidity.
OETH → ETH Liquidty Profile
| Chain | 1% Slippage | 5% Slippage | 10% Slippage | 50% Slippage |
|---|---|---|---|---|
| Ethereum | 4400 ($11.5M) | 5100 ($13.3M) | 5500 ($14.4M) | 10000 ($26.2M) |
Volatility Analysis
| Metric | Value |
|---|---|
| Min Price Change Log | -2.67% |
| Max Price Change Log | 0.90% |
| Daily Log Volatility | 4.89% |
| 30D Log Volatility | 1.33% |
The volatility metrics for wOETH indicate that it deviates from the price of WETH with a 30-day volatility of 1.33% and an annualized volatility of 4.89%, indicating minimal deviations from the mean price over the past month.
Supply Cap and Liquidation Penalty (LP)
Based on the available liquidity, we recommend setting a supply cap that would cause 5% slippage, ensuring that the total slippage, should the entire supply get liquidated, remains less than the Liquidation Penalty. Given the above liquidity sources, Gauntlet recommends a supply cap of 5000, with the optionality to increase them if the market shows demand. This level is aligned with the liquidity available and aims to balance liquidators’ incentives with minimal slippage risk.
Liquidation Factor (LF) and Collateral Factor (CF)
Gauntlet recommends setting the Liquidation Factor at 90% and the Collateral Factor at 88%. This approach aligns with the need to provide a safety margin while enabling efficient capital utilization within the protocol.
Next Steps
We welcome community feedback on the proposed risk parameters for wOETH on the WETH Comet.
Note: The data provided in this document is accurate as of the publication date. Market conditions and liquidity levels may change, and it is advisable to regularly review these parameters to ensure they remain appropriate.