Investment Overview
Strategy Description
The Liberty Road Negative Gamma strategy utilises world class quantitative methods to map a live volatility surface from individual exchanges, and produces both individual exchange and combined volatility surfaces. A proprietary Artificial Intelligence programme then analyses the volatility surface and maximizes the risk premium obtained by selling puts and calls at the peaks and troughs on the volatility surface. Strikes and maturity are laddered to minimize concentration.
The AI Machine Learning algorithm incorporates various factors to determine a “probability of success” for each trade, therefore the absolute level of risk premium is not deterministic. The algorithm evaluates the medium-term trend using a combination of fundamental blockchain analysis and technical indicators. It assigns a higher threshold for success for puts or calls that are against the trend, and a lower threshold for those that are with the trend. This allows the portfolio to gradually be positioned with the underlying trend, while still generating significant alpha from trading the volatility.
