Zero-Cost Wide Collar

The 2025 TGE reality

Most token launches trade down within 30 days.

We analysed 73 token launches with reliable 30-day data. The pattern is consistent across FDV, sector and market conditions: the first month of life is a structurally hostile period for a treasury.

TGEs analysed across 2025 with reliable 30-day data

~55%

Of launches drop 40–60% in the first 30 days

~15%

Of launches finish 30 days positive vs. TWAP reference

<5%
Of launches ever reach the +40% upside cap of the ZCWC

The structure

Four legs. Zero premium. Full protection between −20% and −60%.

The Zero-Cost Wide Collar pairs a long downside put with a smaller short put and short call package to finance it. The result is meaningful protection in the most likely drawdown range, no premium outlay, and retained upside to +40%.

BUY

1× PUT at ATM −20%. The protective leg. Delivers full downside protection from −20% to −60% on the notional struck during the 2h TWAP. Cash settled.

SELL

2× PUTs at ATM −60%. Finance the long put. The strike is set so the net downside payoff is never negative, so no collateral is required on these. Cash settled.

SELL

2× CALLs at ATM +40%. Finance the long put. These are collateralised in the issuer's own token. Treasury retains full upside to +40%; beyond that, tokens are delivered at the strike and the upside belongs to the counterparty. Physically settled.

What the treasury gets back at expiry

Total value (tokens + cash) vs. token price

With ZCWC Unhedged (tokens only)

How it works

From TGE to protected treasury in four steps.

2h TWAP sets ATM

Keyrock executes the initial delta hedge via a 2-hour TWAP. The volume-weighted average price becomes the strike reference (ATM).

Structure goes live

The four-leg ZCWC is struck at zero net premium. Typical notionals: USD 5–25M, sized to 16% of the 2h TWAP volume.

30-day expiry

At fixing, the long put pays out if the token has fallen below −20%. In half of the 2025 sample, the payout exceeded 20% of notional.

Roll or re-engage

After expiry: issue new calls at fresh ATM premiums (9–12%), roll a new collar, or use cash payouts to buy back at depressed prices.

Interactive tool

See what you get back.

Adjust the inputs to model the ZCWC against your token, then move the expiry slider to see exactly what comes back to your treasury at any price level. Tokens, cash, total. No options jargon needed.

Trade setup

Token ticker

Total token supply 1,000,000,000

Fully diluted valuation (FDV) $100,000,000

Token price S₀ (strike reference) = FDV ÷ supply

This is the ATM reference. Editing it adjusts FDV to stay consistent with supply.

Supply committed to strategy 1.0%

10.0M tokens committed · $1,000,000 at S₀

Token price at expiry $0.0600 · −40% vs ATM

Total value at expiry, across all expiry prices

Showing your full committed collateral marked to price, plus the option settlement. Downside protection on half, upside capped at the call strike — you keep the strike value, no cash is lost above it.

At expiry, you get back:

Token price $0.039 · 30 days from TGE

Tokens returned

153.8M

worth ≈ $6,000,000 at the expiry price

Cash settled

$1,000,000

realised, paid to your treasury

Total value (tokens + cash)

$7,000,000

tokens marked at expiry price · cash leg +$1.0M vs unhedged

Mid protection zone

The long put is in-the-money and pays out cash. Your tokens come back, now worth less because the token has fallen, and the cash payoff cushions the drawdown.

Settlement at this price

1× Long PUT · strike −20% +$400,000

2× Short PUTs · strike −60% $0

2× Short CALLs · strike +40% not triggered

Net cash settled +$400,000

Illustrative tool. Outputs reflect the ZCWC structure economics at expiry under a single-spot scenario and assume the cash and physical settlement mechanics described in the structure section. Execution slippage, financing of the 2h TWAP delta hedge, and post-expiry roll economics are not modelled. Strikes, sizing and collateral terms are bespoke per counterparty. For an indicative quote against your token and notional, get in touch with the Keyrock options desk.