Strategies/Crypto Volatility Arbitrage
Delta-Neutral · Deribit · Live Since Jul 2024

Crypto Volatility
Arbitrage Strategy

Delta-neutral volatility arbitrage on BTC and ETH options, exploiting short-term regime mispricings through statistical signals.

Enquire Now Download Factsheet PDF
Strategy Type
Delta-Neutral Volatility Arbitrage
Asset Class
BTC & ETH Options + Perpetual Futures
Exchange
Deribit
Live Since
July 2024
Custody
Investor-owned account (API)
Structure
Non-custodial SMA

Strategy Description

Identifies and exploits short-term volatility regime mispricings across BTC and ETH options markets through fully delta-neutral structures, driven by statistical entry and exit signals.

Consistent risk-adjusted returns with near-zero directional market exposure.

1
Volatility Risk Premium — Persistent divergence between implied and realised volatility creates structural yield extraction opportunity.
2
Regime Detection — Statistical signals identify low-vol vs high-vol regimes to flip gamma positioning dynamically.
3
Delta Neutrality — Continuous hedging via perpetual futures eliminates directional exposure entirely.

Investment Terms

Minimum Investment1,000,000 USDT / USDC
Lock-up Period3 Months
WithdrawalT+1
ExchangesDeribit
InstrumentsBTC & ETH Options, Perpetual Futures
CustodyInvestor-owned account (API)
Management Fee1.5% p.a.
Performance Fee
30%
carry above hurdle
full catch-up at 2.5%
6%
hurdle rate
perpetual HWM
Enquire Now Download Factsheet PDF
Live Performance — Monthly Returns Loading…

Loading performance data…

Other Strategies
Options · Deribit
BTC Options Yield
41.7% YTD
Options · Deribit
Volatility Arbitrage
28.5% Total
Binance · OKX
Multi-Factor CTA
94.6% Total
3 Exchanges
Statistical Arbitrage
2407% Total
Options · Deribit
BTC Compounding
58.8% Total
DISCLAIMER: For professional investors only. Past performance is not indicative of future results. Crypto assets involve significant risk including total loss of capital. All figures net of fees unless stated.