Primitive Finance · interactive mechanism simulation

RMM-01's Replicating Market Maker: a two-asset pool whose curve (strike, implied vol, time-to-expiry) makes LP shares passively track a Black-Scholes covered call. Arbitrageurs — not an oracle — keep the pool on-model, paying fees ("theta") to LPs as they trade it back to spot. Near expiry, a fixed-point CDF approximation error opened a real exploit window.
Spot market ETH/USD (external) Arbitrageurs trade pool ↔ spot RMM-01 Pool PrimitiveEngine · covered-call curve K=$2000 σ=80% τ=14d 0h live · pricing via arbitrage LP position tracks covered-call value Attacker exploit window: closed CDF approximation error, Sept 2022
Spot price
$2,000
Time to expiry
14d 0h
LP position value
0.000 ETH
Arb fees earned (theta)
0.000 ETH
Exploit drained
$0
Parameters — edit me
$2,000
80%
14d
40%
1.2/s
Controls

Illustrative simulation. Spot follows a randomized walk; the pool's LP value is computed from a Black-Scholes covered-call approximation (strike, implied vol, time-to-expiry) exactly as RMM-01's curve was designed to replicate — no oracle involved, arbitrage keeps it on-model. The exploit button models the real September 2022 incident: the on-chain CDF approximation was only accurate outside a window of <65,810 seconds to expiry with spot above strike; trade sizes, timing and dollar amounts are simplified for visualization — not live onchain data. Part of The Onchain Experiment Atlas.