November performance and newsletter
November was a busy month of trading activity. There were good volumes in the futures spread across both the Deribit and Okx exchanges. Futures basis found a steady bid, in line with a strong bid in spot. The market was relatively well behaved. However, we would expect it to become more chaotic, and conducive to the volatility strategy, if $100k convincingly breaks to the upside.
We’re starting to see the benefits of our engineers’ development work undertaken earlier this year, on DAFM’s algorithm.
October performance and newsletter
Crypto markets were relatively benign until the final days of the month as we approached the US election. The march higher and then through 70k in BTC saw yields rally materially which the strategy took advantage of. The uptick in yields and prices also saw the return of trading/volume differences
across venues and contracts. The desk remains prepared to take advantage of November’s volatility regardless of the outcome.
September performance and newsletter
Yields remained subdued from the tail end of August. The strategy captured cross-exchange opportunities when they presented during sporadic bursts of volatility. The addition of futures spread products delivered a positive incremental source of returns.