Tuesday, January 30th @ 11:00-12:30 PM, Zoom
Automated Market Makers (AMMs) are a decentralized approach for creating financial markets by allowing investors to invest in liquidity pools of assets against which traders can transact. Liquidity providers are compensated for making the market with fees on transactions. The collected fees, along with the final value of the pooled portfolio, act as a derivative of the underlying assets with price given by the pooled assets. Following this notion, we study the implied volatility constructed from the constant product market maker.