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Liberty Road ETH Covered Call Program - AlphaMaven Performance Report
September 2023 - Crypto
The Liberty Road Covered Call 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 obtain by selling calls at the peaks on the volatility surface. Strikes and maturity are laddered to minimize concentration, and risk is capped at a leverage of