Thanks. That makes sense. I think having some sort LP incentive/ token to compensate for the short gamma is key for this strategy since both YFI and ETH can be quite volatile and fees only are probably not enough compensation at the moment. If Uniswap has larger volume + a token, that’s probably the best bet.
I don’t think there is a need to optimize across more than one AMM. If this strategy is supposed to function as some sort of insurance for the yETH pool, simple is probably better.
Unrelated, but from a UI perspective (@uhmpeps), it may be a good idea to distinguish levered vs. unlevered strategies. These carry different risks and I am not sure all LP are aware of this.