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Volatility premium capture

Fully automated defined-risk delta-managed short-volatility strategy

Sells implied volatility when sufficiently above expected realized volatility; maintains a short-vega, positive-theta, approximately delta-neutral, defined-risk book and closes before expiry/settlement risk dominates

Volatility carry · Published 9 Sep 2026 · Updated 14 Sep 2026

Metrics

Reported return %24%

Maximum drawdown %−11%

Suggested capital USD5,000 USD

Typical holding period1-3 months

Status

Readiness: Experimental
Supported environments: Paper · Live · Shadow

Trading scope

Primary instrument: Options
Hedge instruments: Perpetuals
Underlyings: BTC · ETH · SOL · HYPE
Supported venues: Deribit · OKX · Derive · Coincall
Supported account currencies: BTC · ETH · USDT

Risk profile

Directionality: Market-neutral
Volatility exposure: Short volatility
Loss structure: Defined risk
Delta hedging: Continuous

Operation

Deployment model: Operated by author
Account model: User-controlled exchange account
Supported margin modes: Portfolio margin
Required API permissions: Read and trade
Subaccount: Unsupported
Runtime requirement: Continuous

Access terms

Author fee: Percentage of net new profit
Monthly operating cost: $50-$100
Venue fees: Charged by the venue
Minimum commitment: 3 months

Evidence

Evidence type: Estimated
Evidence period: -
Evidence continuity: -
Performance currency: USDT
Completed trades: 9
Capital used for results: -
Costs included in results: None

Proof & documentation

Documentation

https://github.com/LeanOS-Technologies/volatility-premium-capture-engine-public

Running proof-

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Author profiles

Engagements

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Access requests: 1
Build requests: 1