Strategies
Deribit BTC OTM Put with Smile-Adjusted Perpetual Delta Hedge
Outcome: Abandoned
DeribitBtcOtmPutSmileDeltaHedge
Outcome Summary
This hypothesis proposed harvesting the BTC implied-over-realized volatility premium by selling rich OTM Deribit puts and delta-hedging them with the BTC perpetual using a smile-adjusted delta. The strategy was coded as DeribitBtcOtmPutSmileDeltaHedge. It was then abandoned after 1 iteration because no 1-hour bar data for the representative contract BTC-25DEC26-60000-P.DERIBIT could be collected in 5 retries. No backtest, optimization or analyst verdict was produced, so the thesis is still untested and can be re-evaluated once the contract data is backfilled.
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.
The option is the primary short-volatility leg and the Deribit perpetual is a declared same-timeframe hedge leg. Contract mark IV is matched point-in-time from deribit_book_summary; realized volatility is incrementally maintained from aligned perpetual closes, and sizing is bounded by account equity and maximum-loss/notional fractions. The representative fixed contract is used as requested; a production rolling-chain expansion should replace it with each contemporaneous 20-30 day contract.
data_unavailable: backtest data for BTC-25DEC26-60000-P.DERIBIT could not be collected after 5 retries: - bars (bar_type=BTC-25DEC26-60000-P.DERIBIT-1-HOUR-LAST-EXTERNAL): got 0, needed 100, or 30+ days span The data layer (not the strategy) is the blocker — re-evaluate this hypothesis once collection is fixed / the symbol is backfilled.
Implementation
Sells a liquid Deribit BTC put when contract IV exceeds point-in-time 20-day realized volatility by eight volatility points, and dynamically shorts the Deribit BTC perpetual against a smile-adjusted put delta.
Outcome Summary
Before coding a strategy that trades a specific dated Deribit option contract, confirm that bar history for that contract can be collected. Otherwise it cannot be tested, whatever the thesis is worth.
The run was abandoned with reason data_unavailable. After 5 retries, 0 of the 100 required 1-hour bars (or 30+ days of span) could be collected for BTC-25DEC26-60000-P.DERIBIT. The pipeline flagged the data layer, not the strategy, as the blocker, so backtest review, analyst and risk review never ran.
Sell a 20–30 day Deribit BTC put at 0.85–0.95 moneyness when implied vol is at least 8 vol points above trailing 20-day realized vol, and delta-hedge it with the Deribit BTC perpetual using a smile-adjusted sticky-moneyness delta (initial contract BTC-25DEC26-60000-P.DERIBIT).
There are no performance figures: the backtest report is empty, optimization never ran, and no return, Sharpe or trade count was produced.
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.