Risk20 Aug 20264 min4,452 reads
Selling volatility into a data week: the rule we do not break
The vol sleeve is flat through CPI and FOMC, every time, whatever the premium on offer. In August that cost roughly 0.3% of monthly carry. In March it would have saved 4%.
Depositors occasionally ask us to stay short through an event because implied is rich. Implied is rich because of the event. That is the whole point.
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InstitutionalDelta NeutralR3
Options Vol HarvestSells short-dated BTC and ETH volatility, delta-hedged. Earns the variance premium; loses in a gap.
APR
+14.63%
30D
+1.40%
TVL
$4.10M
Max DD
-6.30%
Lockup
14d
Min
$5,000
561 depositors · 477d
Trading involves risk. Past performance is not indicative of future results. Vault NAV can rise or fall.