Option Volatility, Statistical Arbitrage

Shark

Available Coins

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Return on Investment

1week

2.04%

1month

8.26%

3months

13.31%

1week

2.64%

1month

7.41%

3months

-3.94%

Performance Chart

ROI
No Data

Cumulative Return

0%

MDD

0%

Sharpe

0

Performance Fee

30%

25%

Management Fee

2%

0%

Risk

Moderately High

Strategy

  • Trading Instrument: OKX option

A option statistical arbitrage strategy that takes advantage of disparities between implied volatility and statistical volatility. This strategy opportunistically buys synthetic positions when implied volatility is statistically lower and sells them when it's higher. This strategy generates profits by estimating the theoretical prices of various synthetic positions and betting that the gap between these theoretical prices and market prices will narrow. However, it's important to note that this strategy may result in losses if the gap between theoretical and market prices unexpectedly widens or if the associated Greeks are unfavorable.

Risk

  • Option Greeks Risk: Options trading carries inherent risks under the name of Greeks, including the possibility of price fluctuations and the potential loss of the option premium
  • Opportunity Risk: This strategy exclusively enters positions when it identifies statistical arbitrage opportunities. In the absence of such opportunities, a significant portion of available assets remains idle, awaiting a chance to be utilized.
  • Exchange Risk: The strategy is active on the exchange, making it susceptible to losses in the event of a security breach or insolvency of the exchange.
  • Crypto Volatility Risk: Due to the volatile nature of cryptocurrencies, may be exposed to significant losses in the event of large price fluctuations.
  • Programmatic Error Risk: Despite rigorous vetting, extensive testing, and continuous monitoring of automated trading programs, errors within the program can lead to financial losses.

FAQ

When and how are fees charged?

Fees are billed at the end of each quarter and are deducted from the fund NAV. The management fee is charged at the rate of the fee * fund subscription period for the quarter / 365, and the performance fee is charged at the rate of the fee * High Watermark Return.

When can I redeem?

You can apply for a redemption at any time. Please note that redemptions may take 1-3 business days to process and may incur a redemption fee depending on the product. However, there are currently no redemption fees during the initial promotional period.

What is High-Water Mark Performance fee?

A high water mark performance fee is a compensation structure used in investment funds, such as hedge funds. It establishes a benchmark representing the fund's highest value since inception or the last fee was charged. Managers can only collect performance fees when they generate returns that surpass this benchmark, aligning their interests with those of investors and encouraging responsible investment management.

Is the return of the product based on the number of coins or on the dollar value?

SmashFi calculates returns based on the quantity of specific coins, not their dollar value. This coin-based returns approach means that the performance of each product is measured by the change in the number of coins held, rather than their monetary value.