-Wolf Trails-

July 13th, 2018

On Roman General Maximus and Volatility Perseverance


They came nearer and nearer, and then a trumpet sounded, and Quintus Veronius, former commander of the Ala Petriana, and now Master of Horse in the Province of Upper Germany, raised his sword high, so that the blade glinted in the dying sun, and led his cavalry out across the snow on their last charge. The charge went home: the mass broke up, and the horsemen disappeared into a tumultuous, sea of men. I saw the bright helmets vanish, one by one; watched rigidly as the standard dipped suddenly, as though the Eagle dived in flight; had a glimpse of a red cloak thrown high by a triumphant foe; and then the Vandals were across the ditch and smashing at the palisade with their axes. They swept round on the flanks, riderless horses with blood-stained saddles amongst them, and Fredegar’s Franks fell back, dying at every step. A loose bay with a white star fled past, snorting with terror, as we closed up in a tight circle about the signal tower; Fabianus and Aquila on my left and right, while Artorius and Scudilio stood a little beyond. I called out then: “I am dying in good company,” and they turned, smiled and lifted their sword hilts in salute. As the enemy checked and fell back before the thrust of our swords, I heard, above the screams of the wounded, and the hard yells of the Vandals, a deep voice that shouted, “Hail and Farewell.” I turned. I saw the Eagle of the Twentieth, bright, fierce and once immortal, standing upon the fire. As I watched, it turned red and then black, and soon ceased to be anything but a lump of dripping, melted bronze.

- From Eagle in the Snow, by Wallace Breem, which covers Roman General Maximus’s final defense of the Roman Empire's frontier along the Rhine River.  The city of Rome would fall soon after. 

The novel details the Roman Generals' perseverance and sacrifice to duty, even though the Empire was crumbling entirely.  


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Volatility trading is in essence a waiting game – we set up our positions at the most advantageous price based on our projections and then wait for the markets to move. 

However, this waiting can be costly, as each day our long positions give up time value (also known as Theta).  It's akin to being fully prepared for a match yet willing to accept damage over the course of several rounds in boxing parlance. 

Hence to avoid Theta decline and maintain the offensive on obtaining yield we also take advantage of shorting volatility in the short-term with our proprietary automated hedging tool. 

Ultimately the primary advantage of our strategy is that we offer direct exposure to Bitcoin sans any directional risk – in other words, we specifically position ourselves to profit from large market movements as opposed to deciding on whether to go long or short. 

From Franck at our trading desk:

Over the past 2 weeks, implied volatility of Deribit December ATM options has been steadily increasing. The market has been hit by a mix of bearish and bullish news; Regulations in China on the one hand, and, on the other hand, the probable arrival of Bitcoin ETFs that would make it easier for large corporations to gain exposure to the crypto markets.  Over the past month, Bitcoin has been oscillating within a 1k range, between $5800 and $6800. If Bitcoin were to exit this range, it is likely to see IV continue to increase.


Until next time. 


Brian Koralewski is the Founder and Managing Member at Austere Capital. 

You can reach him directly at brian@austere.capital

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