BTC LONG-GAMMA When Implied Vol Is CHEAP vs Realized — Deribit Short-Dated ATM Straddle BOUGHT on an INVERTED Variance Risk Premium (DVOL index < trailing realized vol), Delta-Hedged on a Band with the Binance Perp, Held to Vol Repricing or Expiry-1d (Cross-Venue, Market-Neutral Delta, 3-Parameter)

A MARKET-NEUTRAL (delta-hedged) CONVEXITY-BUYING strategy that is the deliberate INVERSE of every options experiment this factory has run. All prior options work in the corpus is short-premium carry (delta-hedged short straddles/strangles, cash-secured puts, covered calls) or directional long-premium (OTM calls in a trend). Every short-vol attempt died the same way: our own ETH delta-hedged strangle backtest reported the hedge leg LOSING $5,356 against only $2,560 of premium collected — i.e. realized gamma ran ~2.1x the vol that was sold. That is a direct measurement that, in the episodes the short-vol gate selected, BUYING and hedging that gamma would have been the profitable side. This hypothesis trades exactly that side, but only when the variance risk premium is measurably INVERTED, and it uses a 5.5-year, completely unused signal series to decide: Deribit's DVOL index (hourly 30-day forward implied vol for BTC, 47,938 hourly points from 2021-03-24 to today — zero prior experiments in the corpus use it). Structure: buy the nearest-expiry (3-10 DTE) ATM CALL + ATM PUT on DERIBIT (BTC options: 4,285 daily-bar instruments in the catalog back to 2020), then neutralize the resulting delta with BTCUSDT.BINANCE USD-M perpetual and RE-HEDGE ONLY WHEN |net delta| exceeds a band — band hedging, not daily hedging, so the hedge leg harvests the realized path instead of paying a fixed rebalancing tax. The position is long theta-negative convexity, so the entry gate must be strict: we only pay for gamma when the option market is quoting vol BELOW what the underlying has actually been delivering. This fills the single most under-represented venue bucket (options = 5.9% of 3,087 experiments vs a 15% target), is CROSS-VENUE (7.0% vs 15% target) and is delta-neutral rather than long-only (85.2% of the corpus is long-only).