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What is a dolphin strategy?
The vault earns a base APY from Lido and uses the remaining funding, plus the 0.5% of its deposits, to purchase weekly at-the-money knock-out barrier options.
The weekly barrier options enable the vault to participate in any ETH upside from 90% up to 110% of the ETH's spot level at the start of the week (upside barrier). However, if the price of ETH has increased by more than 10% at the end of the week, the barrier options expire worthless and the vault earns the base APY only.