PARTIAL · rare + tail
Hypothesis
Temporary stablecoin depegs (e.g. USDC to $0.97) revert to $1.00; buying the depeg captures the reversion.
Math
$$ \text{edge} = (1 - P_{\text{stable}}) - P(\text{permanent depeg})\cdot \text{loss} $$
Method
Buy below a peg threshold, size by an estimated permanent-failure probability, exit at reconvergence. Studied on historical depeg events.
Results
| Reversion when peg holds | fast, reliable |
| Event frequency | very rare |
| Tail (true de-peg / failure) | total loss |
Works almost always, until the one time it does not — a textbook negative-skew trade (small frequent gains, rare total loss). Tradeable only with hard sizing caps and a real assessment of issuer solvency. Opportunistic, not systematic.
Buying a depeg is selling insurance on the peg. The premium is reliable; the claim, when it comes, takes the whole position.