📐 SYD Scoring Algorithm

Safety-Yield Density — 安全收益密度

Goal: maximise yield while avoiding strike-line exercise.
High score = strike far from spot + APR still attractive + short duration.

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Contents

  1. Core Formula
  2. Why Distance²?
  3. Worked Example
  4. Five-Tier Classification
  5. Colour Legend & Reference
1

Core Formula

SYD Score

The SYD score answers one question: "How much safe yield does this product deliver per unit of exercise risk?" Products that are far from the strike line and still pay a meaningful APR rise to the top. Products close to spot get penalised even if their APR looks high.

$$\text{SYD} = APR\% \;\times\; \left(\frac{|K - S_0|}{S_0} \times 100\right)^{\!2} \;\times\; \frac{1}{\sqrt{T}}$$
Score is unbounded — tiers are defined by absolute SYD thresholds (see Section 4)
$APR\%$
Annualised return in percent (e.g. 67.36% → use 67.36)
$K$
Strike price — the settlement price your principal converts at if exercised
$S_0$
Current spot price of the underlying asset (BTC or ETH)
$T$
Duration in days (e.g. 1-day product → T = 1). Shorter duration = less uncertainty = higher score
Intuition: APR alone is misleading — a 300% APR product that is only 0.4% from spot will almost certainly be exercised. Squaring the distance term creates a safety firewall: a product 4% from spot gets 100× more credit than one 0.4% from spot, reflecting how exercise probability drops super-linearly with distance in a normal distribution.
2

Why Distance²?

Design Rationale

In a lognormal price model, the probability that price moves by distance $d$ scales roughly as $e^{-d^2/2\sigma^2}$ — it drops exponentially as distance increases. A linear penalty would under-reward safety; squaring the distance better mirrors this real-world probability curve.

Distance from spotDistance²Approximate exercise probability*
0.4% (near spot)0.16~45% (nearly certain)
2%4~25%
4%16~8%
7%49~2%
10%100<0.5%

*Rough estimates for a 1-day BTC product at 60% annualised IV.

By using distance², a product at 4% away gets 100× the distance credit of one at 0.4% away — which closely matches the actual ratio of their exercise probabilities. This is why a 67% APR product at 3.9% away can outscores a 296% APR product at 0.4% away by 20×.
3

Worked Example

Real Data

Using two real products from the dashboard (BTC spot ≈ $69,500, T = 1 day):

Calculation

🔴 Product A — Near Spot
Strike $69,500 · APR 296% · 1 day
Distance = |69500 − 69500| / 69500 × 100 = 0.4%
SYD = 296 × (0.4)² × 1 = 296 × 0.16 = 47.4
47
Tier: 🛡️ 绿灯保守 — APR looks great but almost certain to be exercised
✅ Product B — Safe Distance
Strike $66,500 · APR 67% · 1 day
Distance = |66500 − 69500| / 69500 × 100 = 3.9%
SYD = 67 × (3.9)² × 1 = 67 × 15.2 = 1,019
1,019
Tier: 🔥 深绿进攻 — 20× better per unit of exercise risk
Conclusion: Despite Product A's APR being 4× higher, Product B is 20× more efficient by SYD. For a strategy that prioritises not crossing the strike line, Product B is the clear winner — it earns meaningful yield while sitting far from the danger zone.
4

Five-Tier Classification

Decision Framework

Tiers are defined by absolute SYD thresholds, not relative ranking, so they have consistent real-world meaning across different market conditions.

SYD ScoreTierMarket MeaningAction
> 150 🔥 深绿进攻 Sweet Spot — strike is far from spot AND APR is still high. Usually signals exchange subsidy or extreme IV skew. 重仓参与
80 – 150 ✅ 绿灯标准 Good balance — yield and safety in healthy equilibrium. Standard everyday allocation. 标准仓位
30 – 80 🛡️ 绿灯保守 Very safe but yield compressed by distance. Strike is far but APR has dropped steeply. Good for large capital preservation. 小仓位增币
10 – 30 ⚠️ 黄灯防守 Yield too low for the distance. Only useful as a hedge in extreme market conditions. 只做极远端
< 10 🔴 红灯暂停 Risk zone — strike too close to spot. APR increase does NOT compensate for near-certain exercise. 不做
⚠️ Important: SYD is optimised for investors who prioritise not being exercised. If you are comfortable holding the exercised asset (e.g. accumulating BTC on PUT products), a different strategy applies and high-APR near-spot products may be appropriate for you.
5

Colour Legend & Reference

Visual Guide
ColumnColour / Display Logic
Tier Badge 🔥 >150 ✅ 80–150 🛡️ 30–80 ⚠️ 10–30 🔴 <10
SYD numberRaw SYD score shown next to tier badge. No upper bound — Deep Green products commonly reach 500–2000+.
Δ Delta Green |Δ|<0.2 low exercise risk   Amber 0.2–0.4   Red >0.4 high exercise risk
IV Efficiency Green ≥1.2× exchange overpaying   White 0.8–1.2×   Red <0.8×
APR colourOrange/gold = high APR; Blue = low APR. Note: high APR alone is NOT a positive signal in SYD.
ParameterValueNotes
Distance squaring$(dist\%)^2$Mimics the super-linear drop in exercise probability with distance
Time factor$1/\sqrt{T_{days}}$1-day: ×1.0 · 2-day: ×0.71 · 7-day: ×0.38
BTC reference IV (Delta display)60%Used only for Delta and IV Efficiency columns, not SYD itself
ETH reference IV (Delta display)70%Used only for Delta and IV Efficiency columns, not SYD itself

🎯 Find the Sweet Spot

Sort by SYD to find products where safety and yield are in perfect balance — far from the strike line, but still earning meaningful returns

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