After in depth analysis, the solution is to customize our hedge structures and valuation models, and find something that best fits the ERC-20 market.
This method is not ideal for pricing options considering the volatility is very high for ERC-20 tokens, thus rendering the cost insignificant compared to the potential profit.
Xeon Protocol resolved to instead allow users to use OTC prevailing rates to price a premium for a hedge they write, options demand and token trend will be factors.
In our case the goal of creating ERC-20 options is to:
provide hedging tools for investors to manage risk
provide speculative opportunities for traders and farmers
leverage capital for more gains
lock in profit on assets
This requires the premium on deals to be significant enough not negligible, it benefits no-one in a free market.