Hypotheses
ETH forecast-volatility gap with banded delta hedge
Buy a near-the-money Deribit ETH call when a forecast from prior ETH returns exceeds the option's ask-implied volatility by at least 12 annualized percentage points. Short the ETH perpetual to hedge the call's delta,…
Hypothesis
Buy a near-the-money Deribit ETH call when a forecast from prior ETH returns exceeds the option's ask-implied volatility by at least 12 annualized percentage points. Short the ETH perpetual to hedge the call's delta, adjusting the hedge only when delta moves beyond a fixed band. Select listed option contracts through the rolling-options path.
Analysis
Hedging predicted volatility
Backtest and paper results are hypothetical. Trading involves risk of loss.