Axios Volatility
Live: Deribit ETH DVOL — 30-day implied volatility. AVX monetises the persistent gap between this implied level and what actually gets realised.
The view.
Crypto implied volatility trades persistently rich to realised — the market overpays for protection. AVX systematically harvests that volatility risk premium across BTC and ETH.
It's a market-neutral carry sleeve — uncorrelated to crypto direction — that diversifies the suite away from the directional, event-driven exposures everything else carries. Built on independent implied- and realized-volatility indices, with hard tail controls.
How it works.
Three mechanicsImplied-vs-realized spread
Sell volatility when implied sits rich to a model of expected realised, measured on independent vol indices (Deribit, Volmex).
Defined-risk structures
Premium is harvested through capped, defined-risk structures — never naked short vol. Tail events have a hard, pre-set loss bound.
Market-neutral by design
Delta-managed so returns come from the volatility premium, not from calling the direction of BTC or ETH.
The position.
Indicative · in backtestingThe carry — short volatility
Sell rich implied vol on the two deep crypto vol markets, through capped, defined-risk structures. Indicative split by options-market depth.
Entry signal: sell when implied sits rich to a model of expected realized — the IV–RV spread, benchmarked to Deribit DVOL & Volmex.
Neutrality & risk
Returns come from the volatility premium, not the direction of BTC or ETH.
- Market-neutralDelta-managed so direction nets out — pure carry exposure
- Defined-riskCapped structures with a hard, pre-set tail-loss bound — never naked short vol
- BenchmarksDeribit DVOL · Volmex implied & realized volatility
Specification
| Ticker | AVX |
| Asset class | Crypto volatility (BTC, ETH) |
| Style | Market-neutral vol-carry / VRP harvest |
| Expression | Defined-risk option structures |
| Benchmarks | Deribit DVOL · Volmex implied/realized |
| Status | In development · backtesting |
Status
AVX is in active backtesting across multiple volatility regimes. Crypto's variance risk premium is well documented; the work now is on the entry rules and tail controls that keep the carry harvestable without blowing up in a spike.
Follow AVX to launch.
Get the methodology and early backtests as they're published.