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12min read
September 12, 2025
Delta Optimization in Panoptions - Part 1
We study short strangles in Panoptic by backtesting different delta placements on the ETH/USDC pool. Results show that higher deltas increase returns but also raise breach risk and drawdowns; only frequent rebalancing improves risk-adjusted performance. Effective design requires combining delta optimization with gamma control and rebalancing discipline.