Pseudo-Delta-Neutral Strategy

The Strategy:

GMS Delta-Neutral vaults use a strategy we call the GMS pseudo-delta-neutral strategy, which will consist of 3 major key parts:

  1. Delta-Neutral Ratio

  2. Manual Rebalancing of Deposits

  3. Protocol's BLT Reserve (The Reserve)

The Strategy Explained:

Our pseudo-delta-neutral strategy is simple:

  • Deposited asset composition ratio is set equal to BLT asset composition ratio

  • The deposited assets will be manually rebalanced so that the composition ratio will be exactly equal to BLT's asset composition ratio

  • Any difference between deposited assets value and underlying BLT value will be made up by Protocol's BLT Reserve

PreviousMarket Volatility RisksNextDelta-Neutral Ratio

Last updated