Strike prices should reflect realistic valuation premiums, not aspirational targets. A common approach structures tranches with escalating strikes, as illustrated below:
| Tranche | Strike Basis | Example Premium | Rationale |
|---|---|---|---|
| Tranche 1 | TGE listing price | +50% | Immediate upside participation if launch is strong |
| Tranche 2 | 7-day post-TGE TWAP | +50% | Rewards sustained early price performance |
| Tranche 3 | 7-day post-TGE TWAP | +100% | Requires meaningful appreciation to exercise |
| Tranche 4 | 7-day TWAP at 3 months post-TGE | +50% | Long-term alignment with token trajectory |
The key principle: If a strike is easily achievable, the call option becomes a discounted token sale. If a strike implies an unrealistic FDV, the market maker has little incentive to support the token constructively since their option is deeply out-of-the-money.