BTC Active Treasury
Low-risk, options-based BTC strategy targeting 5–7% annualised volatility (Sharpe 2 target), using AI/ML to actively trade the BTC volatility surface with a 1× leverage cap.
Strategy Highlights
AI/ML trade filter
A proprietary AI programme analyses the BTC volatility surface and maximises premium collection by selling calls/puts at volatility peaks; trades must pass an AI backtest success threshold (>90%) before execution.
CC/CP options construction
Combines Covered Call (CC) and Covered Put (CP). Allocation between Calls and Puts is set by a medium-term proprietary directional indicator (more CP in bull, more CC in bear).
Active turnover on the vol surface
Actively rebalances and turns over positions to harvest option risk premia while maintaining the programme’s low-volatility profile.
Proactive risk management
Leverage capped at 1× with hard limits for Ruin Matrix, EVaR, Delta, and hard monthly stop losses; soft limits manage Theta, Vega, liquidity, fixing, and settlement risk.
Key Information
|
Launch Date |
1 Dec 2023 |
Average Duration |
0.25-12 months |
|
Investment Vehicle |
Cayman Fund |
Max Leverage |
1× |
|
Liquidity |
Monthly |
Currency Exposures |
BTC/USD |
|
Fee Structure |
2/20 |
Asset Classes |
BTC/USD |
|
Auditor |
MGS |
Minimum Investment* |
20 BTC |
Why Active Treasury BTC?
The Active Treasury BTC is a low-risk programme that targets 5–7% annualised volatility with a targeted Sharpe Ratio of 2. It employs Artificial Intelligence and Machine Learning to dynamically turn the portfolio over, seeking opportunities on the BTC volatility surface in real-time. The programme differentiates itself with a higher entry threshold (>90% AI backtest success rate) and a unique volatility target.
This page is informational only and not an offer or solicitation. Distribution is intended for professional investors; please refer to the relevant Private Placement Memorandum and risk factors before investing.
Frequently Asked Questions
Q: Who is this strategy for?
Institutional investors seeking a low-risk, options-based BTC strategy with a defined volatility target and institutional risk controls.
Q: How does it work?
The programme sells covered calls and covered puts on BTC, using AI/ML to identify and filter trades on the volatility surface; allocation between calls/puts adapts to a medium-term directional indicator, with leverage capped at 1× and monthly liquidity.
Q: What are the risks?
Market shocks and volatility spikes, gap risk, liquidity and operational risks, and model risk can impact returns. Past performance is not indicative of future results.