Liquidity Review - August 2021

Hi All,

A review of the current state of our liquidity for different products. This follows on from the July review






  • Growth in price,
  • growth in in units
  • Both pools are containing more Units of each token
  • v3 pool depth look good with most symmetrical to the price.

I see no reason to make any changes.

Price Units AUM ($ m)
27Jun21 $52.56 524,623 $27.6
26Jul21 $84.59 713,687 $60.4
09Sep21 $157.16 833,754 $134.5
ETH2-FLI Unit 26 Jul Uni v2 26 Jul Uni v3 09sep21 v2 09sep21 v3
AUM Million $ $5.4 $15.9 $10.6 $33.9
24 H volume Million $ 1.2 11.6 $1.2 $11.8
Annualised average fee income % 24% 80% 12% 38%
ETH2-FLI in pool # ETH2-FLI 32,998 115,998 33,050 132,322
ETH in pool ETH 1,170 2,783 1,518 2,579
ETH2-FLI in pool $ M USD $2.8 $9.7 $5.4 $21.6
ETH in pool $ M USD $2.6 $6.2 $5.2 $8.8
Sell ETH for 1% price impact ETH 8.3 136.0 15.5 230
Buy ETH for 1% price impact ETH 8.3 47.8 15.5 230
Sell ETH for 2% price impact ETH 20.5 264.0 31.5 450
Buy ETH for 2% price impact ETH 20.5 179.4 31.5 465

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  • Price growth
  • slight unit growth
  • AUM growth due to price
  • Liquidity dropping in terms of units, underlying tokens and AUM.
  • Also rewards for LP’s are dropping due to lower Onsen rewards and lower volume (note only spot checks)

I don’t see a need to change any liquidity incentives, but the low income for LP’s is a concern for liquidity depth.

Price Units AUM ($ m)
27Jun21 $24.39 220,357 $5.4
26Jul21 $35.42 200,425 $7.1
09Sep21 $46.49 205,984 $9.6

The Uniswap v3 pool has gained some AUM, and volume.

Sushiswap Unit 27jun21 26Jul21 09sep21 09Sep21 Uni v3
AUM Million $ $5.7 $7.1 $5.3 $0.2
Annualised average fee income % 17% 0
Annualised Sushi rewards % 24% 29% 11% 0
24 H Volume Million $ 1.43 1.01 0.01
Total rewards for LP’s % 41% 47% 28% 6%
BTC2-FLI in pool # BTC2-FLI 115,800 88,052 56,637 3,462
wBTC in pool wBTC 90 80 57 1
BTC2-FLI in pool Million $ $2.8 $3.1 $2.7 $0.2
BTC in pool Million $ $2.8 $3.1 $2.7 $0.1
Sell BTC for 1% price impact $ $31,300 $22,000 $27,000 $8,000
Buy BTC for 1% price impact $ $31,300 $22,000 $27,000 $8,000
Sell BTC for 2% price impact $ $62,900 $54,000 $54,000 $16,000
Buy BTC for 2% price impact $ $62,900 $54,000 $54,000 $16,000

However, this is a very tight position and only captured 15% of the trade on Sushiswap.

DPI (Data to the 4th September)

We have loads of DPI liquidity in multiple pools.

In August the v2 liquidity mining stopped and we started a short campaign on v3.

I see no need for further incentives on DPI liquidity.

As expected we saw liquidity migrate from v2 to v3 with growth in the sushiswap pool as well.

AUM for different ETH:DPI pools

AUM in %

Daily trade is very variable, but we have seen more moving to v3 (taken as a rough indicator of where the bets depth is).

THis is best seen as a % of each days volume:

If we calculate LP income (using spot prices for INDEX and SUSHI) we see that incomes have dropped for all, but v3 generates the highest total reward (on average before Divergence Loss which is likely to be higher on v3)

Note, the Balancer pool collects BAL rewards, but includes exposure to wBTC as a 3rd token.

Current Liquidity

08sep21 Uni v2 Uni v3 Sushi Balancer Sushi Polygon FEI ETH
AUM ($M) $17.70 $18.40 $10.50 $8.70 $0.46 $9.30
Volume ($M) $0.98 $6.10 $0.42 $0.17 $0.01 $0.00
% fee 0.30% 0.30% 0.25% 0.50% 0.25% 0.25%
Trade income 6.1% 36.3% 3.7% 3.6% 1.4% 0.0%
LM 0 0 4.8% 8.1% 0 96.2%
Total 6.1% 36.3% 8.5% 11.7% 1.4% 96.2%

Note the FEI:DPI pool has a larger risk of Divergence loss.

The v3 liquidity is currently heavily off centre (DPI recently dropped vs ETH)

Even so, it would take 110 ETH trade to move the price by 1%.

IIP-62 proposed 1,000 INDEX be used for liquidity mining the sushiswap pool on polygon.

This has been approved by INDEX holders and is awaiting a farming contract to be deployed by the Sushiswap team.

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MVI is currently enjoying liquidity mining with 3,286 INDEX over 30 days as per IIP-62.

Due to delays in getting the staking contract topped up, there was about a week with no rewards on the contract. During this period, a number of LP’s moved to the Uniswap v3 pool and captured higher LP fees. Some of this returned when LM resumed.

Number of MVI:EHT Uniswap v2 LP tokens since launch

In addition, Sushiswap has started Onsen Rewards for MVI:ETH on polygon with SUSHI and MATRIC rewards.

MVI Liquidity AUM since 01 August:

MVI liquidity as a % of total

In terms of volume, most has stayed in the v2 pool:

Overall the v3 liquidity looks like this, which I think looks pretty good for a small pool with some LP’s being focused, and some being wider / very wide.

Since the v2 contract was refilled, the average income for LP’s has been:

Current Liquidity rewards

09Sep21 Uni v2 Uni v3 Sushi Polygon
AUM $7.20 $0.14 $0.48
Volume $0.97 $0.13 $0.04
% fee 0.25% 0.30% 0.25%
Trade income 12.3% 101.7% 7.6%
LM 29.5% 0 32.3%
Total 41.8% 101.7% 39.9%

In terms of current market depth, Uni v2 is giving the most depth, but the v3 is obviously much more capital efficient (28% of the volume, using 2% of the capital.

09Sep21 Uni v2 Uni v3 Sushi Polygon
1% Price impact $36,000 $10,000 $2,500

Other considerations

  • With ~$20 M total AUM, we currently have ~20% of the circulating MVI in the liquidity pool.
  • At 3,268 INDEx and $50 we are paying $5,000 per day on a product that generates $520 income.
  • The recent v3 staking contract for DPI:ETH has been successfully deployed

On additional data point for MVI:


$1 M volume at 0.3% is $3,000 LP fees or $1.095 M annual. If LP’s expect 25% then fees should sustain a $4.4 M v2 pool.


Good to see more liquidity living on Sushi. I wonder if you have any thoughts on the overall result of the Onsen program for 2x-WBTC. In my eyes it seems to have done a good bit to keep a decent amount of liquidity for 2xWBTC but not enough to jump-start strong organic growth.

For BTC2-FLI, I would say that the Onsen rewards are helping the pool maintain depth and I suspect we would see less AUM in the pool if the Sushi rewards stopped. Infact, I would say that without Onsen, BTC2-FLi would be short of liquidity.

I would certainly agree that the current rewards are not enough to grow BTC2-AUM. However, we know LM is a poor (/expensive) tool to grow AUM. More detailed analysis of the daily / average volume and comparison to the issue and redeem volume may give us a better idea of what is happening.

One thing to remember is we don’t expect AUM to grow like the sector products, we would expect the leveraged product to grow units when people are bullish and reduce when people are bearish. In a prolonged bear market, AUM will trend to zero, and I personally see no problem in the liquidity doing the same.


OK, With the end of Liquidity mining, all eyes are on MVI and whether it migrates to Uniswap v3.

(note analytics-polygon for sushi has a glitch, and values are out by a factor of ~ 2,530…).

Current liquidity is as follows


And volume looks like this:


Income for LP’s(including the INDEX rewards for v2)

The key criteria is the pool depth for trades:

1% price impact trade size Uni v2 Uni v3 Sushi Polygon
19 sept 21 $16,375 $4,270 $1,335

Main net is the key as that is where the issue / redemption arbitrage will occur and so influences the premium / discount to NAV.

My google sheet can be found here.

I forgot this ( v3 liquidity looks well placed with most depth at the rpice)

v2 LP token unit