A Loan Plus Options Deal, Priced Line by Line

What does a loan plus options deal actually pay the market maker?

It pays the desk the value of a call option on your float, and the quoting is what you get in return. The alternative priced here is a client-funded retainer, where you fund the trading account and keep custody and all P&L; Vandergrid works that way and takes no token loans and no options, so we have a commercial interest in this comparison and would rather state it here than bury it. The arithmetic below is the clearest way we know to show what the structure costs, and every number in it is illustrative.

The deal we are pricing

Every figure in this section is illustrative and chosen to be round, not drawn from any client. Nothing here is a quote, a benchmark or a claim about market rates.

• Circulating float at TGE: 100,000,000 tokens
• Loan size: 20% of float, so 20,000,000 tokens
• Last price before listing: $0.10, a $10m circulating market cap
• Call option strike: 1.5x last, so $0.15
• Option term: 12 months, European, settled in tokens
• Retainer alongside it: $0 — the loan and the option are the whole fee

That is the shape the structure usually takes: the desk borrows a fifth of the float, holds a call struck half again above the last price, and quotes against the borrowed inventory for a year.

Three price paths

The option is the trade. The quoting sits on top of it. So the honest way to read the deal is to ask what each side holds at expiry under a few prices, and the three below are chosen to bracket the range rather than to flatter either party.

Path 1, the token falls to $0.05. The call expires worthless. The desk returns 20,000,000 tokens and keeps nothing from the option, but it has been quoting all year with inventory it did not buy, so its downside was never its own. The issuer gets its tokens back at half the price it lent them at, having paid no cash and received a year of quoting. On this path the structure looks cheap, and this is the path every pitch deck models.

Path 2, the token holds at $0.12. Still below the $0.15 strike, so the call again expires worthless and the tokens come back. The issuer has paid nothing in cash and the desk has earned only its spread capture. This is the path where both sides shrug, and it is the one most likely to happen.

Path 3, the token runs to $0.40. The call is 2.67x in the money. Exercised at $0.15 against a $0.40 market, the desk takes 20,000,000 tokens worth $8,000,000 for $3,000,000, a $5,000,000 gain on the option alone. The issuer has handed over $5,000,000 of value, in tokens, at the exact moment its treasury was worth most, and it did so without a cash line ever appearing in a budget.

What the table does not show

Three things, and they are the ones that matter.

The first is that the desk is short nothing. Its inventory is your tokens, its upside is the option, and its downside is bounded at zero. A position with a floor at zero and no ceiling is a long call, which is what it is, and the counterparty to a long call is a short call. You are short it, and you wrote it for free.

The second is that the quoting quality you thought you were buying is a by-product. The desk's P&L is set by where the token ends up relative to $0.15, not by whether the book had depth at 2% from mid on a Tuesday in month seven. Those two things can point in the same direction and often do; nothing in the structure requires it.

The third is timing. The exercise lands when the price is high, which is also when the float is thinnest relative to demand and when the treasury is most tempted to sell into strength. The 20,000,000 tokens the desk takes at $0.15 are tokens that have to come from somewhere, and on most launches they come from the same float the desk has been quoting.

This structure is now something exchanges look at

It is not only issuers who have noticed. Binance named 5 market maker red flags in its updated trading rules in March 2026, as reported by The Block, and told projects to make sure token loan agreements clearly define how the loaned assets may be used. We made a related recommendation to the SEC: that market making arrangements be treated as material agreements, disclosed with the counterparty type, the size of any token loan and the strike and term of any call options, with detailed commercial terms able to stay confidential. The filings are on our regulatory page.

How to price it if you are going to do it anyway

The structure is not automatically wrong. A launch with real depth across enough venues can carry the short side, and the comparison between structures sets out where the line sits. But price the option rather than giving it away.

• Value the call. Even a crude Black-Scholes at the implied volatility of a comparable token turns the option into a number, and that number is the fee. Compare it with what a retainer would have cost.
• Shorten the term. A 12-month European call on 20% of float is an enormous amount of optionality. Three months is a different trade.
• Raise the strike, or cap the payoff. A strike at 3x rather than 1.5x changes the expected cost by more than any spread commitment in the contract.
• Separate the two deals. Pay a retainer for the quoting, fund the trading account yourself and keep custody of it, and if you still want the desk to hold inventory, lend it without writing an option against it.
• Write the KPIs in numbers. Depth, spread and uptime belong in the contract as figures, and the terms worth refusing are mostly the ones that are left vague.

What we do instead

Our mandates are client-funded and retainer-only: you fund the trading account and keep custody and all P&L, we trade it through exchange API keys, and there is no token loan and no option attached. We quote on Binance, on perpetual venues and on Uniswap pools from that account, and we are measured on spread, depth and uptime because that is the only thing we are paid for. The reason to run it that way is short enough to say in one line: there is structurally nothing to rug, because nothing of yours ever leaves your control.

Not investment advice. The numbers above are illustrative and do not describe any client, deal or market rate.