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Value
Value
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JPMorgan Chase
YesNo
BNP Paribas
YesNo
Deutsche Bank
YesNo
Goldman Sachs
YesNo
Scotiabank
YesNo
HSBC
YesNo
UBS
YesNo
Citigroup
YesNo
AI Insights:
03.12 20:38 UpdatedFair Value Reasoning:
Although the current 'Yes' trading prices for all options range between 1.4 and 2.8 cents, the fundamental probability of any of these Global Systemically Important Banks (G-SIBs) failing by June 30, 2026, remains extremely low, approaching zero. The current premium does not reflect actual default risk but rather the cost of capital (opportunity cost) for market makers. To gain 100 cents (by buying 'No'), capital must be locked for approximately 109 days. The annualized yield implied by current prices is roughly 5-10%, which is a reasonable risk-free/low-risk arbitrage return in the current interest rate environment. Therefore, the fair value is maintained at 1 cent, serving as a liquidity floor in the prediction market microstructure rather than a true probability of default.
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Hedging
US 10Y Yield
Gold
XLF
S&P 500
The banks listed are primarily Global Systemically Important Banks (G-SIBs). The failure of any of them by 2026 would trigger a systemic financial crisis comparable to 2008. This would cause a massive crash in equities (S&P 500, XLF) and a flight to safety (dropping US Treasury yields, boosting Gold). This is a high-stakes 'black swan' hedging event.
