Redemption delay
Waiting to convert a token back into the underlying exposure can tie up capital and introduce uncertainty.
MODEL INPUT: REDEMPTION TIMETOKENIZED EQUITIES / EXPLAINEDRedemption time + liquidity + rights + transfer frictionILLUSTRATIVE NUMBERS
THE WRAPPERBASIS OPPORTUNITYSame stock.
Same stock.
Different wrapper.
Explain the gap.
Look inside the premium or discount. Understand what the wrapper changes before deciding what the price means.
PRICE ≠ VALUEA discount can be the cost of waiting, exiting or holding different rights.
ONE FICTIONAL TOKEN / ONE SHARE
REFERENCE STOCK$150.00
↓WRAPPER QUOTE$146.00
RAW PRICE DIFFERENCE$4.00
−2.67%OF THE REFERENCEThe raw difference is the starting point. The next step is to explain how much of it comes from friction.
01 / NORMALIZE02 / EXPLAIN03 / MEASURE04 / INVESTIGATETHE SPREAD HAS A STORY.
FOUR REASONS A WRAPPER CAN TRADE DIFFERENTLY.
THE ECONOMICS UNDER THE TOKENExit liquidity
A thin market can make the displayed price difficult to realize when a holder actually needs to sell.
MODEL INPUT: LIQUIDITYHolder rights
Similar economic exposure can come with different redemption, lending and collateral permissions.
MODEL INPUT: RIGHTS PENALTYTransfer friction
Wallet eligibility, chain boundaries and transfer restrictions can reduce how freely a position moves.
MODEL INPUT: TRANSFER COSTEXPLAIN EVERY DOLLARFrom $4.00
From $4.00
of difference
to $1.75
to investigate.
A simple teaching model puts numbers on the assumptions. It makes the remaining gap visible.
Change the price & delay →Start with the reference$150.00One token represents one share in this example.
Subtract the assumed friction−$2.250.5% for five days + 0.5% liquidity + 0.5% rights.
Friction-adjusted model value$147.75$150 × (1 − 1.5%)
Compare with the fictional quote$146.00$1.75 below the model; z-score ≈ −1.17 at 1% basis volatility.
HOW A PRICE DIFFERENCE BECOMES A RESEARCH QUESTION.
THE PROPOSED APPROACHMake the comparison fair.
Align reference prices, token ratios, currencies and timestamps.
Explain the expected basis.
Model redemption, liquidity, rights and transfer frictions together.
Measure the deviation.
Compare observed basis with model basis using an explicit volatility assumption.
Test the explanation.
Investigate historical convergence, executable depth and actual wrapper terms.
INSIDE THE FAIR-VALUE MODEL THE MATH BEHIND THE DIFFERENCE
THE MATHEMATICAL FOUNDATION
A fair basis before a trading signal.
bⱼ = Pⱼ / Pref − 1 · zⱼ = (bⱼ − b̂ⱼ) / σb
b̂ⱼ = θ₀ + θ₁Tredeem + θ₂Liquidity⁻¹ + θ₃RightsPenalty + θ₄TransferFriction
- Pⱼ / Pref
- Wrapper price relative to reference
- Tredeem
- Days required for redemption
- b̂
- Model fair premium or discount
- σb
- Assumed basis volatility
THE ECOSYSTEM ROADMAPMore wrappers.