PARKED · execution
Hypothesis
Implied variance exceeds realized variance on average (the VRP); systematically selling options/variance harvests the premium.
Math: variance risk premium
$$ \text{VRP}_t = \sigma^2_{\text{IV}}(t) - \mathbb{E}_t[\sigma^2_{\text{RV}}] $$
Method
Delta-hedged short-vol / short-strangle on BTC-ETH, measure VRP capture vs tail losses.
VRP is positive on average in crypto too, but harvesting it is picking up pennies in front of the steamroller: crypto’s fat tails make the short-vol drawdowns brutal, and delta-hedging at our latency is costly. Parked pending a proper tail-hedged structure and an options-execution stack.
Selling volatility earns a premium for absorbing tail risk. In an asset class defined by tails, that premium is rented, not owned, unless the tail is hedged.