Volatility Seasonality
- Bespoke systematic long gamma / long vega exposure
- Exploits persistent short term volatility anomaly across BTC and ETH
- Clear first principles and empirical explanation for the strategy edge
- Robust effect across different windows over the specific time period
- Trades liquid options a few times a month for short holding periods only
- Instrument selection and a focused trading cadence keep transaction costs and turnover low
- Outperforms during times of extreme market stress like 10/10
- Fully automated execution across RFQ and orderbook
- Automated 24/7 greeks and drawdown limit monitoring tailored to any allocator risk preference
- Accommodates both conservative (max DD 5%, annual return target 10%–20%) and high risk tolerance (crypto native) allocators (max DD 20–30%, annual return target 50%+)
- Annualized return
- 32.21%
- Annualized volatility
- 11.98%
- Sharpe
- 2.41
- Max DD
- −3.09%
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | — | — | — | — | — | — | — | −0.78 | 0.23 | 2.80 | 4.95 | −1.58 | 5.61 |
| 2025 | 6.37 | 3.66 | 13.01 | 6.16 | 0.31 | 3.33 | 1.37 | 7.62 | −0.09 | 3.54 | 2.65 | −0.01 | 58.82 |
| 2026 | 2.10 | 6.65 | 1.86 | 0.43 | 0.39 | −0.26 | 0.75 | −3.09 | 0.25 | — | — | — | 9.18 |
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Asymmetric Convexity & Mean Reversion
- Core multi-leg long gamma / long vega exposure across 2–4+ week tenors
- Calendars are adjusted to ATM IV term structure
- Risk-reversal overlays partially realize profits, trim convexity and asymmetrically monetize mean-reversion
- Capped-cost, same-maturity hedges for selected short options
- Adds wing convexity within portfolio position limits
- Identifies most asymmetric opportunities for long volatility to deliver excess returns
- Outperforms during times of extreme market stress like 10/10
- Multi-asset strategy across crypto (BTC, ETH etc.), equities and commodity futures both via IBKR or RWA options in crypto
- 200–1,000 contract capacity at allocations of up to $100 million in crypto, stablecoins or USD
- Automated and manual execution across RFQ and orderbook
- Automated 24/7 greeks and drawdown limit monitoring tailored to any allocator risk preference
- Accommodates both conservative (max DD 5%, annual return target 10%–20%) and high risk tolerance (crypto native) allocators (max DD 20–30%, annual return target 50%+)
- Annualized return
- 39.47%
- Annualized volatility
- 21.32%
- Sharpe
- 1.67
- Max DD
- −5.48%
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.72 | 26.65 | −0.32 | 4.00 | −0.05 | −0.82 | −0.03 | 5.49 | 13.55 | 2.10 | — | — | 61.87 |
| 2025 | 0.00 | 10.20 | 0.00 | −0.87 | 10.33 | −3.79 | −1.76 | 0.00 | 0.00 | 8.59 | 0.00 | 0.00 | 23.70 |
| 2026 | 0.00 | 11.24 | 0.00 | 0.00 | −0.50 | 8.95 | 0.00 | 0.00 | 0.00 | 0.55 | — | — | 21.26 |
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