Gamma Vault
Level
Expert
Components
Combining options and futures powered by Lyra and Synthetix Futures.
Direction
Volatile market (either bull or bear)
Not ideal for
Sideways market
An option’s price can be influenced by a number of factors; these risk factors are measured using the Greeks. Delta, Gamma, Vega and Theta are the primary greeks.
With this assumption, we can also define Greeks for Perpetual Futures. Unlike options, Perpetual Futures have a constant delta of 1 since price increments of underlying assets are reflected equally in Perpetual Futures. They also have a zero Gamma since the Delta is constant.
Gamma vault tries to profit from short-term volatility by taking advantage of option’s gamma. To achieve this the vault buys a near at-the-money call option with highest gamma and shorts perpetual futures equal to the delta of the option. This initial position structure is delta-neutral, which means the position is directionally neutral.

Who can deposit

Since the vaults are an experimental strategy, the vault will be running in beta mode. While in beta mode, the vault capacity will be limited to only $50k, and only specific selected addresses are allowed to deposit. These include :-
  • Polynomial Earn v1 users: Early users of Polynomial Earn who've been with the project since the beginning. Those who used v1 version of Covered Call and Put Selling vaults.
  • CryptoTesters NFT holders: The cryptotesters are on a mission to onboard people to crypto - and help them find the coolest products.
  • DegenScore Addresses with a 450+ DegenScore and applied for the opportunity.

Vault Capacity

Vault capacity is 50k sUSD.

Risks

Apart from smart contract risk, this strategy loses money when we assume the market goes sideways. This strategy will make money if the market is aggressively bullish or bearish.
Generally, Delta neutral is a low-risk strategy, but sometimes we need to adjust the delta too many times, which can result in numerous transactions. A large number of transactions can lead to costly fees.

Backtest

Introducing the Gamma Vault
Read the following blog to access backtesting data:
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Who can deposit
Vault Capacity
Risks
Backtest