Smilee Finance: Trading out of the money options has delta = 0 which breaks protocol assumptions of traders profit being fully hedged and can result in a loss of funds to LPs

Smilee's delta-hedging vault guarantees that traders' PnL is always covered by the hedge so LP payoff never falls below the underlying Uniswap LP benchmark. The finding shows that out-of-the-money Impermanent Gain options are assigned a delta of exactly zero i …