Crypto Volatility Arbitrage Strategy

Strategy Description

The Crypto Volatility Arbitrage Strategy is a systematic programme identifying short-term volatility regime mispricings across BTC and ETH options, exploiting them through fully delta-neutral structures driven by statistical entry and exit signals.

With Sharpe 4.55 and max drawdown of just 1.83%, this strategy delivers consistent risk-adjusted returns with near-zero directional exposure.

• Sortino Ratio: 6.76 — exceptional downside risk management
• Calmar Ratio: 11.69 — return per unit of maximum drawdown
• Win Rate: 69.9% — 306 positive days out of 438 trading days
• Avg daily return: 0.06% | Max day: +1.68% | Worst day: −0.60%
• Annualised volatility: 3.5% — extremely stable equity curve

Investment Terms