Axios Volatility
Live: Deribit ETH DVOL — 30-day implied volatility. AVX monetises the persistent gap between this implied level and what actually gets realised.
The view.
Crypto implied volatility trades persistently rich to realised — the market overpays for protection. AVX systematically harvests that volatility risk premium across BTC and ETH.
It's a market-neutral carry sleeve — uncorrelated to crypto direction — that diversifies the suite away from the directional, event-driven exposures everything else carries. Built on independent implied- and realized-volatility indices, with hard tail controls.
How it works.
Three mechanicsExpected-VRP sizing
Harvest more when implied sits rich to a mean-reverting realized-vol forecast, less when the edge is thin. The throttle keys off expected premium — never the vol level — so it leans in after spikes, when carry is richest.
Defined-risk iron-fly
Each cycle is a short straddle wrapped in long ±25% wings. The wings cap the tail by construction — a COVID-style overnight gap costs ~−13%, not −32%. No gate, no stop to mistime.
Market-neutral by design
Delta-hedged daily so returns come from the volatility premium, not from calling the direction of BTC or ETH.
The position.
Indicative · in backtestingThe carry — short volatility
Sell rich implied vol on the two deep crypto vol markets, through capped, defined-risk structures. Indicative split by options-market depth.
Sizing signal: scale exposure by expected VRP = implied − a mean-reverting realized-vol forecast. Size up post-spike (implied elevated, realized reverting), down when the spread is thin. Never keyed off the vol level.
Neutrality & risk
Returns come from the volatility premium, not the direction of BTC or ETH.
- Market-neutralDelta-managed so direction nets out — pure carry exposure
- Defined-riskCapped structures with a hard, pre-set tail-loss bound — never naked short vol
- BenchmarksDeribit DVOL · Volmex implied & realized volatility
The backtest.
2021–2026 · net of costs · interactiveHarvest equity curve
The defined-risk wings cap the tail: a synthetic COVID-style −40% overnight gap costs −13% here vs −32% for a naked short-vol book. A regime gate was tested and rejected — it destroyed value (delta-hedging already removes the directional tail). Hypothetical; sample begins 2021-03.
Specification
| Ticker | AVX |
| Asset class | Crypto volatility (BTC, ETH) |
| Style | Market-neutral vol-carry / VRP harvest |
| Expression | Iron-fly (±25% wings), delta-hedged |
| Sizing | Expected-VRP (mean-reverting RV forecast) |
| Benchmark | CRYPVIX · Deribit DVOL · Volmex |
| Status | Validated 2021–26 · net of costs |
Status
AVX is validated across 2021–26 net of costs. The carry is real — implied runs ~9 vol points rich to realized, 78% of cycles. The design pairs expected-VRP sizing with defined-risk wings so a vol spike is bounded, not fatal; a regime gate was tested and rejected because delta-hedging already removes the directional tail.
Follow AVX to launch.
Get the methodology and early backtests as they're published.