Hypotheses
Deribit BTC OTM Put with Smile-Adjusted Perpetual Delta Hedge
Sell a liquid 20–30 day Deribit BTC put near 0.85–0.95 moneyness when implied volatility exceeds trailing 20-day realized volatility by at least 8 volatility points. Hedge dynamically with the Deribit BTC perpetual…
Hypothesis
Sell a liquid 20–30 day Deribit BTC put near 0.85–0.95 moneyness when implied volatility exceeds trailing 20-day realized volatility by at least 8 volatility points. Hedge dynamically with the Deribit BTC perpetual using a smile-adjusted sticky-moneyness delta. Use point-in-time rolling contracts; BTC-25DEC26-60000-P.DERIBIT is the initial representative contract.
Analysis
用微笑曲线对比特币期权进行Delta对冲
Backtest and paper results are hypothetical. Trading involves risk of loss.