Strategy Description

Crypto Volatility Arbitrage Strategy is a systematic volatility arbitrage strategy focused on the most liquid crypto options, primarily BTC and ETH. The objective is to identify short-term volatility regimes and exploit them through long or short gamma positions, using fully delta-neutral structures driven by statistical entry and exit signals.

The strategy operates across different market environments with short holding periods and fast signal-based rotation. Risk management is embedded at every level, with positions concentrated in a small number of highly liquid instruments, allowing full portfolio liquidation within minutes. The portfolio is enhanced through basis trades (Spot vs Perpetual) to capture positive Funding on major crypto assets.

Strategy Highlights

Systematic, delta-neutral volatility arbitrage on BTC and ETH options.
Long/short gamma exposure based on statistical volatility regime signals.
Short holding periods with fast signal-based rotation across market environments.
Portfolio enhanced via Spot vs Perpetual basis trades to capture positive Funding.
Full liquidation possible within minutes — positions in highly liquid instruments only.
Risk management embedded at every portfolio level.

Strategy Key Facts

Strategy Type	Crypto Volatility Arbitrage
Underlying Assets	BTC & ETH Options
Structure	Delta-neutral, Long/Short Gamma
Signal Type	Statistical entry & exit signals
Holding Period	Short-term, fast rotation
Enhancement	Basis trades (Spot vs Perpetual)
Liquidity	Full liquidation within minutes
Live Since	11 July 2025
Reporting	Monthly

25.5%

Return Since Inception

21.2%

Annualised Return

4.55

Sharpe Ratio

−1.83%

Max Drawdown

How to Invest

Wealth Management

Available Now

Minimum Investment	1M USDT / USDC
Management Fee	0%
Performance Fee	50%
Lock-up Period	3 Months
Withdrawal Period	T+1
Custody	Deribit
Instruments	BTC & ETH Options, Perpetual Futures
Reporting	Monthly

Strategy Metrics

Annualised Volatility	3.5%
Sortino Ratio	6.76
Calmar Ratio	11.69
Win Rate	69.9%
Positive Days	306 of 438
Avg Daily Return	0.06%
Max Daily Return	+1.68%
Min Daily Return	−0.60%

Strategy Performance — Net Returns (%)

Cumulative Return Since Inception · Jul 2024 – Feb 2026

* Returns are live from 11th July 2025. Prior data reflects historical performance.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2024	—	—	—	—	—	—	—	—	—	—	—	3.5%	3.5%
2025	3.7%	4.4%	1.7%	0.1%	2.6%	2.9%	1.1%	0.8%	0.7%	1.4%	1.7%	1.0%	22.2%
2026	0.6%	−0.8%	—	—	—	—	—	—	—	—	—	—	−0.2%

* Returns are live from 11th July 2025. Prior figures reflect historical performance of the underlying strategy.

DISCLAIMER: THIS IS A MARKETING COMMUNICATION. PLEASE ENSURE A COMPLETE UNDERSTANDING OF THE RISKS AND SEEK THIRD PARTY ADVICE INCLUDING TAX ADVICE. If you are not a professional investor, please disregard this document. Past performance and figures shown do not guarantee future results. Target returns are aspirational only. Crypto assets involve significant risks including extreme volatility, potential total capital loss, and limited regulatory oversight. THE STRATEGY IS NOT MANAGED AGAINST ANY BENCHMARK.