Options MM
OPTIONS MM
BTC / ETH options market-making — provide two-sided quotes on Deribit / Aevo / Lyra, monetising the bid-ask spread and pricing vega/gamma risk into steady mid-frequency yield.
Transparency
Strategy alpha is executed entirely off-chain; the protocol receives only a totalAssets signal from the reporter. Capital boundaries remain enforced by the on-chain vault and capBps, but the strategy behaviour itself is opaque.
The integrator has self-reported a transparency tier; community verification is not yet complete. Treat this assessment as preliminary.
MTM for the market-making book on Deribit / Aevo / Lyra is off-chain; high-cadence reporter required.
Rating
QUANTITATIVE METRICS
HUMAN REVIEW (1-5)
Steady spread income offset by occasional vega events; this seed reflects a vega-spike year.
The profit of options market-making is the stable spread between two-sided quotes; the risk is vega (IV change) and gamma (sharp underlying moves). Options MM strips that risk via continuous delta hedge + vega-limit pricing, isolating the steady yield from market-making itself. This is the engineered path for productising "providing options-market liquidity".
Signals
SIGNALSReal-time IV surface · order-book imbalance · CEX/DEX spread · ETF options flow
Sizing
SIZINGVega limit (≤ 0.5% AUM per name) · gamma limit · real-time delta hedge (perp) · per-contract max position 5–10%
Risk bounds
RISK BOUNDSVega breaks -8% → de-risk · IV >100 → pause MM · day -5% liquidate · exclude illiquid contracts (OI < 1M)
| POLICY | FIT | SUGGESTED WEIGHT (BPS) | NOTES |
|---|---|---|---|
| ThreePoolPolicy | ★ Recommended | 1500–2500 | B-pool mid-freq PnL · three-pool friendly |
| KellyPolicy | ○ Compatible | 1000–2000 | Fractional Kelly efficiently caps vega |
| Vendor Policy | ○ Mountable | Custom | Suits Policies with explicit vega exposure limits |
Options MM is a high-IOPS Allocation Engine adapter — market-making quotes update at high frequency, but totalAssets() reporting still follows daily tick. The off-chain trading system maintains internal mark-to-market and uses each day's close as the standard reporting point. Risk Layer's EmergencyController can pause immediately when IV > 100.
OptionsMmStrategy.sol carries the most demanding reporter cadence — the market-making book swings sharply intraday. The skeleton reserves an emergency-pause interface so the reporter can proactively stop accepting new capital when internal risk controls trigger.
For funds in setup: Options MM works as a 10–20% sleeve alongside Active Alpha's multi-strategy main book. Its drawdown profile has low correlation with Active Alpha (vega events often happen when funding is calm), making it a strong Sharpe lifter. But it demands an options specialist on the fund operator side — not a strategy you can "outsource to DeFi protocols" like Yield+ Adapter.
Backtest
NAV trajectory (1 year)
2025-06-01 → 2026-06-01Drawdown
Simulator
This simulator uses synthetic backtest data and is not investment advice; actual performance may differ materially.
Skeleton contract · undeployed · derivatives-account adapter integration surface