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snapshot: 2026-05-25 18:27:05 UTC

Hedge Comparison

Isolated PUT / CALL hedge analysis across all 15 setups on real Tardis data (16 weekly cycles). Base = the sold weekly position. Hedge = the daily long buys layered on top. Sold weekly is NOT included in any hedge stat — only the hedge legs.

Key findings from this data set:
  1. Hedge harvest works on real data: ALL 15 setups have hedge-cost < premium-farmed in calm weeks (ratio 0.23×–0.94×). The strategy structure isn't broken.
  2. Highest Net/calm-wk (best harvester): close-to-strike variants (btc-close-3-5 +0.36%/wk, eth-close-5-7 +0.28%/wk). Higher premium pays for more hedge.
  3. 3-Day hedge tightens the margin to almost break-even on calm-week net (0.02–0.03%/wk). Lower trade count = each leg's bad fill dominates.
  4. Call hedges burned premium: 0 of 16 cycles paid off in 4 months (BTC didn't have an 8%+ weekly up-move). Ratio is <1 but with 0% win-rate it's pure insurance cost. Could drop call-hedge entirely on naked-call basis.
  5. Conservative 8/8 wins on hedge Sum Net not by farming more — by losing less in calm weeks AND capturing the W2 crash.

PUT — Premium farmed vs Hedge Cost (per CALM week)

The structural question: when the weekly expires worthless (OTM), how much premium did we farm vs how much did the hedge cost?

Ratio = Hedge Cost / Premium farmed. <1 ✓ harvest works (hedge cheaper than premium). >1 ✗ broken (hedge eats more than we earn). Net/wk = Premium − Hedge Cost = what we actually keep on average per quiet week (× ~15 calm weeks/year for annualized harvest).

Sorted by Limit Net/wk descending. Color-coded rows highlight the Limit verdict (green ≤ 0.6× ratio, orange 0.6–1×, red ≥ 1×).
SetupConfigLIMIT @ MID (realistic)EXEC (worst case)
Prem/wkHedCost/wkRatioNet/wkVerdictPrem/wkHedCost/wkRatioNet/wk
btc-close-3-5P3/C5 × 2x daily+0.735%0.371%0.51×+0.364%good+1.163%1.477%1.27×-0.313%
eth-close-5-7P5/C7 × 2x daily+0.394%0.118%0.30×+0.276%EXCELLENT+0.747%1.876%2.51×-1.129%
btc-close-4-6P4/C6 × 2x daily+0.536%0.283%0.53×+0.253%good+0.909%1.120%1.23×-0.211%
btc-1x-hedgeP6/C8 × 1x daily+0.295%0.067%0.23×+0.228%EXCELLENT+0.552%0.381%0.69×+0.171%
btc-aggressive-5-5P5/C5 × 2x daily+0.409%0.187%0.46×+0.223%good+0.701%0.930%1.33×-0.229%
btc-close-3-5-3xP3/C5 × 3x daily+0.735%0.557%0.76×+0.178%tight+1.163%2.215%1.90×-1.051%
eth-asym-6-8P6/C8 × 2x daily+0.270%0.095%0.35×+0.175%good+0.542%0.870%1.61×-0.328%
btc-asym-6-8P6/C8 × 2x daily+0.295%0.134%0.45×+0.161%good+0.552%0.762%1.38×-0.210%
btc-conservative-8-8P8/C8 × 2x daily+0.187%0.073%0.39×+0.114%good+0.336%0.438%1.30×-0.101%
btc-close-4-6-3xP4/C6 × 3x daily+0.536%0.424%0.79×+0.112%tight+0.909%1.680%1.85×-0.771%
btc-3x-hedgeP6/C8 × 3x daily+0.295%0.201%0.68×+0.094%tight+0.552%1.143%2.07×-0.591%
eth-conservative-8-8P8/C8 × 2x daily+0.166%0.075%0.45×+0.091%good+0.345%0.566%1.64×-0.221%
btc-conservative-8-8-3dayP8/C8 × 2x 3day+0.187%0.158%0.84×+0.029%tight+0.336%0.619%1.84×-0.283%
eth-asym-6-8-3dayP6/C8 × 2x 3day+0.270%0.242%0.90×+0.027%tight+0.542%1.150%2.12×-0.608%
btc-asym-6-8-3dayP6/C8 × 2x 3day+0.295%0.278%0.94×+0.017%tight+0.552%0.950%1.72×-0.398%

CALL — Premium farmed vs Hedge Cost (per CALM week)

The structural question: when the weekly expires worthless (OTM), how much premium did we farm vs how much did the hedge cost?

Ratio = Hedge Cost / Premium farmed. <1 ✓ harvest works (hedge cheaper than premium). >1 ✗ broken (hedge eats more than we earn). Net/wk = Premium − Hedge Cost = what we actually keep on average per quiet week (× ~15 calm weeks/year for annualized harvest).

Sorted by Limit Net/wk descending. Color-coded rows highlight the Limit verdict (green ≤ 0.6× ratio, orange 0.6–1×, red ≥ 1×).
SetupConfigLIMIT @ MID (realistic)EXEC (worst case)
Prem/wkHedCost/wkRatioNet/wkVerdictPrem/wkHedCost/wkRatioNet/wk
btc-aggressive-5-5P5/C5 × 2x daily+0.282%0.109%0.38×+0.174%good+0.476%0.637%1.34×-0.161%
btc-close-3-5P3/C5 × 2x daily+0.282%0.109%0.38×+0.174%good+0.476%0.637%1.34×-0.161%
btc-close-3-5-3xP3/C5 × 3x daily+0.282%0.163%0.58×+0.119%good+0.476%0.956%2.01×-0.480%
eth-asym-6-8P6/C8 × 2x daily+0.170%0.051%0.30×+0.118%good+0.336%1.068%3.18×-0.733%
eth-conservative-8-8P8/C8 × 2x daily+0.170%0.051%0.30×+0.118%good+0.336%1.068%3.18×-0.733%
btc-close-4-6P4/C6 × 2x daily+0.183%0.079%0.43×+0.104%good+0.349%0.434%1.24×-0.084%
eth-close-5-7P5/C7 × 2x daily+0.187%0.088%0.47×+0.099%good+0.390%0.526%1.35×-0.136%
eth-asym-6-8-3dayP6/C8 × 2x 3day+0.170%0.080%0.47×+0.089%good+0.336%0.503%1.50×-0.168%
btc-1x-hedgeP6/C8 × 1x daily+0.089%0.011%0.12×+0.078%EXCELLENT+0.207%0.129%0.62×+0.078%
btc-asym-6-8P6/C8 × 2x daily+0.089%0.022%0.25×+0.067%EXCELLENT+0.207%0.258%1.25×-0.051%
btc-conservative-8-8P8/C8 × 2x daily+0.089%0.022%0.25×+0.067%EXCELLENT+0.207%0.258%1.25×-0.051%
btc-close-4-6-3xP4/C6 × 3x daily+0.183%0.119%0.65×+0.064%tight+0.349%0.650%1.86×-0.301%
btc-3x-hedgeP6/C8 × 3x daily+0.089%0.033%0.37×+0.056%good+0.207%0.387%1.87×-0.180%
btc-asym-6-8-3dayP6/C8 × 2x 3day+0.089%0.049%0.55×+0.040%good+0.207%0.595%2.88×-0.388%
btc-conservative-8-8-3dayP8/C8 × 2x 3day+0.089%0.049%0.55×+0.040%good+0.207%0.595%2.88×-0.388%

PUT Hedges — daily buy long put @ K_W − weekly_mark

Column legend — all numbers are % of spot per CYCLE (one weekly position).
Mod = our pricing model (Black-76 + DVOL+smile). Mark = Deribit mark price. Exec = worst-case (buy ask). Lim = limit @ mid with realistic fill prob.

Cost (calm wk): avg premium burnt per cycle when the hedge expired worthless — "what we pay per quiet week".
Worst calm: most expensive quiet-week cost in the sample.
Win %: fraction of cycles where the hedge had any payoff (≥ 1 leg expired ITM).
Avg Win: avg NET PnL on cycles where the hedge paid off.
Max Win: best single-cycle hedge net.
Sum Net: total net contribution over all 16 cycles (Sum Payoff − Sum Cost).
SetupConfigLIMIT @ MID (realistic)EXEC (worst case)MODEL (theory)
Cost (calm wk)Worst calmWin %Avg WinMax WinSum Net (16wk)Cost (calm)Win %Avg WinSum NetCost (calm)Sum Net
btc-conservative-8-8P8/C8 × 2x daily0.07%0.58%6%+8.99%+8.99%+7.89%0.44%6%+14.26%+7.70%0.05%+16.70%
btc-close-4-6-3xP4/C6 × 3x daily0.41%2.23%6%+12.70%+12.70%+6.60%1.68%12%+15.31%+7.09%0.97%+24.17%
btc-conservative-8-8-3dayP8/C8 × 2x 3day0.16%0.45%6%+8.96%+8.96%+6.59%0.62%6%+14.44%+5.15%0.21%+14.11%
eth-close-5-7P5/C7 × 2x daily0.12%0.45%6%+6.33%+6.33%+4.55%1.88%6%+8.17%-19.98%0.28%+25.96%
eth-asym-6-8P6/C8 × 2x daily0.09%0.45%6%+5.96%+5.96%+4.54%0.87%6%+10.34%-2.71%0.11%+25.29%
btc-3x-hedgeP6/C8 × 3x daily0.20%1.13%6%+7.46%+7.46%+4.45%1.14%6%+24.07%+6.93%0.34%+25.49%
btc-close-4-6P4/C6 × 2x daily0.27%1.49%6%+8.46%+8.46%+4.40%1.12%12%+10.20%+4.73%0.65%+16.11%
btc-close-3-5-3xP3/C5 × 3x daily0.56%2.52%6%+12.70%+12.70%+4.31%2.17%19%+10.56%+3.42%1.63%+18.29%
btc-asym-6-8-3dayP6/C8 × 2x 3day0.28%1.11%6%+7.40%+7.40%+3.24%0.95%6%+17.18%+2.92%0.54%+12.46%
eth-conservative-8-8P8/C8 × 2x daily0.07%0.40%6%+4.24%+4.24%+3.12%0.57%6%+4.45%-4.03%0.03%+23.50%
btc-asym-6-8P6/C8 × 2x daily0.13%0.76%6%+4.97%+4.97%+2.96%0.76%6%+16.04%+4.62%0.23%+16.99%
eth-asym-6-8-3dayP6/C8 × 2x 3day0.24%0.68%6%+6.60%+6.60%+2.96%1.15%6%+14.80%-2.45%0.44%+22.43%
btc-close-3-5P3/C5 × 2x daily0.37%1.68%6%+8.46%+8.46%+2.87%1.45%19%+7.04%+2.28%1.08%+12.19%
btc-aggressive-5-5P5/C5 × 2x daily0.18%0.85%6%+4.63%+4.63%+2.00%0.90%6%+15.76%+2.31%0.39%+15.26%
btc-1x-hedgeP6/C8 × 1x daily0.07%0.38%6%+2.49%+2.49%+1.48%0.38%6%+8.02%+2.31%0.11%+8.50%

CALL Hedges — daily buy long call @ K_W + weekly_mark

Column legend — all numbers are % of spot per CYCLE (one weekly position).
Mod = our pricing model (Black-76 + DVOL+smile). Mark = Deribit mark price. Exec = worst-case (buy ask). Lim = limit @ mid with realistic fill prob.

Cost (calm wk): avg premium burnt per cycle when the hedge expired worthless — "what we pay per quiet week".
Worst calm: most expensive quiet-week cost in the sample.
Win %: fraction of cycles where the hedge had any payoff (≥ 1 leg expired ITM).
Avg Win: avg NET PnL on cycles where the hedge paid off.
Max Win: best single-cycle hedge net.
Sum Net: total net contribution over all 16 cycles (Sum Payoff − Sum Cost).
SetupConfigLIMIT @ MID (realistic)EXEC (worst case)MODEL (theory)
Cost (calm wk)Worst calmWin %Avg WinMax WinSum Net (16wk)Cost (calm)Win %Avg WinSum NetCost (calm)Sum Net
btc-1x-hedgeP6/C8 × 1x daily0.01%0.09%0%——-0.18%0.13%0%—-2.06%0.04%-0.66%
btc-asym-6-8P6/C8 × 2x daily0.02%0.18%0%——-0.35%0.26%0%—-4.13%0.08%-1.32%
btc-conservative-8-8P8/C8 × 2x daily0.02%0.18%0%——-0.35%0.26%0%—-4.13%0.08%-1.32%
btc-3x-hedgeP6/C8 × 3x daily0.03%0.27%0%——-0.53%0.39%0%—-6.19%0.12%-1.98%
btc-asym-6-8-3dayP6/C8 × 2x 3day0.05%0.33%0%——-0.78%0.59%0%—-9.52%0.20%-3.27%
btc-conservative-8-8-3dayP8/C8 × 2x 3day0.05%0.33%0%——-0.78%0.59%0%—-9.52%0.20%-3.27%
eth-asym-6-8P6/C8 × 2x daily0.05%0.18%0%——-0.82%1.07%0%—-17.09%0.12%-1.96%
eth-conservative-8-8P8/C8 × 2x daily0.05%0.18%0%——-0.82%1.07%0%—-17.09%0.12%-1.96%
btc-close-4-6P4/C6 × 2x daily0.08%0.43%0%——-1.27%0.43%0%—-6.94%0.39%-6.24%
eth-asym-6-8-3dayP6/C8 × 2x 3day0.08%0.45%0%——-1.28%0.50%0%—-8.05%0.27%-4.26%
eth-close-5-7P5/C7 × 2x daily0.09%0.65%0%——-1.41%0.53%0%—-8.42%0.22%-3.52%
btc-aggressive-5-5P5/C5 × 2x daily0.11%0.43%0%——-1.74%0.64%0%—-10.20%0.57%-9.17%
btc-close-3-5P3/C5 × 2x daily0.11%0.43%0%——-1.74%0.64%0%—-10.20%0.57%-9.17%
btc-close-4-6-3xP4/C6 × 3x daily0.12%0.64%0%——-1.90%0.65%0%—-10.41%0.58%-9.36%
btc-close-3-5-3xP3/C5 × 3x daily0.16%0.64%0%——-2.61%0.96%0%—-15.29%0.86%-13.75%

Per-Setup Detail (click to expand charts)

btc-1x-hedge
BTC P6/C8 × 1x daily
Put-Lim +1.48%
Put-Exec +2.31%
Call-Lim -0.18%
Call-Exec -2.06%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+8.50%
MID Net (16wk)
+4.01%
EXEC Net (16wk)
+2.31%
LIMIT Net (16wk)
+1.48%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-0.66%
MID Net (16wk)
-1.65%
EXEC Net (16wk)
-2.06%
LIMIT Net (16wk)
-0.18%
btc-3x-hedge
BTC P6/C8 × 3x daily
Put-Lim +4.45%
Put-Exec +6.93%
Call-Lim -0.53%
Call-Exec -6.19%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+25.49%
MID Net (16wk)
+12.04%
EXEC Net (16wk)
+6.93%
LIMIT Net (16wk)
+4.45%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-1.98%
MID Net (16wk)
-4.94%
EXEC Net (16wk)
-6.19%
LIMIT Net (16wk)
-0.53%
btc-aggressive-5-5
BTC P5/C5 × 2x daily
Put-Lim +2.00%
Put-Exec +2.31%
Call-Lim -1.74%
Call-Exec -10.20%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+15.26%
MID Net (16wk)
+5.86%
EXEC Net (16wk)
+2.31%
LIMIT Net (16wk)
+2.00%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-9.17%
MID Net (16wk)
-7.50%
EXEC Net (16wk)
-10.20%
LIMIT Net (16wk)
-1.74%
btc-asym-6-8-3day
BTC P6/C8 × 2x 3day
Put-Lim +3.24%
Put-Exec +2.92%
Call-Lim -0.78%
Call-Exec -9.52%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+12.46%
MID Net (16wk)
+5.49%
EXEC Net (16wk)
+2.92%
LIMIT Net (16wk)
+3.24%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-3.27%
MID Net (16wk)
-4.55%
EXEC Net (16wk)
-9.52%
LIMIT Net (16wk)
-0.78%
btc-asym-6-8
BTC P6/C8 × 2x daily
Put-Lim +2.96%
Put-Exec +4.62%
Call-Lim -0.35%
Call-Exec -4.13%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+16.99%
MID Net (16wk)
+8.03%
EXEC Net (16wk)
+4.62%
LIMIT Net (16wk)
+2.96%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-1.32%
MID Net (16wk)
-3.30%
EXEC Net (16wk)
-4.13%
LIMIT Net (16wk)
-0.35%
btc-close-3-5-3x
BTC P3/C5 × 3x daily
Put-Lim +4.31%
Put-Exec +3.42%
Call-Lim -2.61%
Call-Exec -15.29%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+18.29%
MID Net (16wk)
+9.90%
EXEC Net (16wk)
+3.42%
LIMIT Net (16wk)
+4.31%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-13.75%
MID Net (16wk)
-11.26%
EXEC Net (16wk)
-15.29%
LIMIT Net (16wk)
-2.61%
btc-close-3-5
BTC P3/C5 × 2x daily
Put-Lim +2.87%
Put-Exec +2.28%
Call-Lim -1.74%
Call-Exec -10.20%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+12.19%
MID Net (16wk)
+6.60%
EXEC Net (16wk)
+2.28%
LIMIT Net (16wk)
+2.87%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-9.17%
MID Net (16wk)
-7.50%
EXEC Net (16wk)
-10.20%
LIMIT Net (16wk)
-1.74%
btc-close-4-6-3x
BTC P4/C6 × 3x daily
Put-Lim +6.60%
Put-Exec +7.09%
Call-Lim -1.90%
Call-Exec -10.41%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+24.17%
MID Net (16wk)
+12.34%
EXEC Net (16wk)
+7.09%
LIMIT Net (16wk)
+6.60%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-9.36%
MID Net (16wk)
-8.61%
EXEC Net (16wk)
-10.41%
LIMIT Net (16wk)
-1.90%
btc-close-4-6
BTC P4/C6 × 2x daily
Put-Lim +4.40%
Put-Exec +4.73%
Call-Lim -1.27%
Call-Exec -6.94%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+16.11%
MID Net (16wk)
+8.23%
EXEC Net (16wk)
+4.73%
LIMIT Net (16wk)
+4.40%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-6.24%
MID Net (16wk)
-5.74%
EXEC Net (16wk)
-6.94%
LIMIT Net (16wk)
-1.27%
btc-conservative-8-8-3day
BTC P8/C8 × 2x 3day
Put-Lim +6.59%
Put-Exec +5.15%
Call-Lim -0.78%
Call-Exec -9.52%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+14.11%
MID Net (16wk)
+6.63%
EXEC Net (16wk)
+5.15%
LIMIT Net (16wk)
+6.59%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-3.27%
MID Net (16wk)
-4.55%
EXEC Net (16wk)
-9.52%
LIMIT Net (16wk)
-0.78%
btc-conservative-8-8
BTC P8/C8 × 2x daily
Put-Lim +7.89%
Put-Exec +7.70%
Call-Lim -0.35%
Call-Exec -4.13%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+16.70%
MID Net (16wk)
+9.03%
EXEC Net (16wk)
+7.70%
LIMIT Net (16wk)
+7.89%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-1.32%
MID Net (16wk)
-3.30%
EXEC Net (16wk)
-4.13%
LIMIT Net (16wk)
-0.35%
eth-asym-6-8-3day
ETH P6/C8 × 2x 3day
Put-Lim +2.96%
Put-Exec -2.45%
Call-Lim -1.28%
Call-Exec -8.05%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+22.43%
MID Net (16wk)
+19.88%
EXEC Net (16wk)
-2.45%
LIMIT Net (16wk)
+2.96%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-4.26%
MID Net (16wk)
-6.26%
EXEC Net (16wk)
-8.05%
LIMIT Net (16wk)
-1.28%
eth-asym-6-8
ETH P6/C8 × 2x daily
Put-Lim +4.54%
Put-Exec -2.71%
Call-Lim -0.82%
Call-Exec -17.09%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+25.29%
MID Net (16wk)
+19.86%
EXEC Net (16wk)
-2.71%
LIMIT Net (16wk)
+4.54%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-1.96%
MID Net (16wk)
-15.54%
EXEC Net (16wk)
-17.09%
LIMIT Net (16wk)
-0.82%
eth-close-5-7
ETH P5/C7 × 2x daily
Put-Lim +4.55%
Put-Exec -19.98%
Call-Lim -1.41%
Call-Exec -8.42%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+25.96%
MID Net (16wk)
+18.19%
EXEC Net (16wk)
-19.98%
LIMIT Net (16wk)
+4.55%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-3.52%
MID Net (16wk)
-7.02%
EXEC Net (16wk)
-8.42%
LIMIT Net (16wk)
-1.41%
eth-conservative-8-8
ETH P8/C8 × 2x daily
Put-Lim +3.12%
Put-Exec -4.03%
Call-Lim -0.82%
Call-Exec -17.09%
show charts ▾

PUT Hedge — Net contribution per pricing series

MODEL Net (16wk)
+23.50%
MID Net (16wk)
+17.40%
EXEC Net (16wk)
-4.03%
LIMIT Net (16wk)
+3.12%

CALL Hedge — Net contribution per pricing series

MODEL Net (16wk)
-1.96%
MID Net (16wk)
-15.54%
EXEC Net (16wk)
-17.09%
LIMIT Net (16wk)
-0.82%