Active Vol Arb — Allocator FAQ | Active Digital Asset Management
Allocator FAQ for Active Vol Arb strategy. Volatility arbitrage, crisis performance, Greek management, and quantitative overlay. For Qualified Investors Only.
What happens to the portfolio during a market crisis?
The strategy is structurally long volatility — crisis events are P&L-positive by design. When the broader market is dislocating, this strategy is typically moving in the opposite direction, providing a natural hedge for investors with existing crypto exposure. The portfolio is positioned correctly into crises, benefits from volatility spikes, and requires no forced exits.
Natural gas traders trading Bitcoin — what's the connection?
Natural gas is one of the most difficult commodities to trade — prices can move 20%+ in a single session. Bitcoin exhibits a structurally similar volatility profile. Both markets are characterised by fat-tailed return distributions, sudden vol regime shifts, and episodes of extreme dislocation. Peer-reviewed research demonstrates a significant volatility spillover effect from natural gas to Bitcoin through mining electricity costs.
If you run quantitative models, what happens when they fail at the extremes?
Fully systematic models are trained on historical data and assume return-distribution stationarity. At the extremes, those assumptions break down. We maintain an experienced discretionary overlay to intervene when quantitative signals are extrapolating from a regime that no longer applies. Quant models underpin the overlay — including term structure and skew modelling — but the discretionary layer governs when and how they are applied.
How do you prevent a single Greek from becoming a point of failure?
Every position and the aggregate book are monitored across Delta, Gamma, Vega, and Theta. No single dimension is allowed to dominate. Balanced construction means the portfolio is resilient across a wide range of market scenarios. Delta is continuously rehedged as the market moves, and Gamma and Vega are managed through position selection and sizing.