Ribbon uses financial engineering to create structured products that deliver sustainable yield. Ribbon's first product focuses on yield through automated options strategies. The protocol also allows developers to create arbitrary structured products through combining various DeFi derivatives. Structured products are packaged financial instruments that use a combination of derivatives to achieve some specific risk-return objective, such as betting on volatility, enhancing yields or principal protection. Theta Vault is a new product that automates a covered call strategy to earn high yield on ETH. The vault runs a covered call strategy and sells out of the money call options on a weekly basis for yield. The primary risk for running this strategy is that depositors could potentially give up upside in exchange for guaranteed yield. By selling a call option, users are basically promising to sell the asset at the strike price, even if it goes above it (a.k.a selling early). Because of this, if the price of the asset moves up significantly in a short period of time, it is possible for depositors to have "negative yield" on their ETH. However, this only happens if ETH/USD appreciates significantly, so depositors will still be up in USD terms. The vault also sells call options that are very out of the money, which means there is a relatively low chance of the options getting exercised.