E2-V1 systematically harvests the volatility risk premium — the persistent spread between implied and realised volatility in the Nifty options ecosystem. The model identifies regime-specific mispricings in the volatility surface and constructs delta-hedged positions that isolate pure volatility exposure.
Unlike directional strategies, E2-V1 is agnostic to market direction. It captures the structural tendency of implied volatility to overstate realised movement during defined volatility regimes. The mandate targets consistent, low-correlation returns with minimal beta exposure to equity indices.
Execution timing is calibrated to liquidity windows. The model avoids deployment during low-liquidity periods where slippage would erode the captured premium.
The primary risk in volatility arbitrage is gap risk — sudden, discontinuous moves that cause realised volatility to exceed implied. E2-V1 architecturally limits tail exposure through strike selection, mandatory delta hedging, and hard portfolio-level VaR constraints.
Position rebalancing follows a time-decay schedule that front-loads risk reduction. Gamma exposure is actively managed across the portfolio, with automatic position compression during elevated VIX regimes.
Full trade log gated. Access requires NDA execution.
Annualised | Net of execution costs
Founding Partner slots remaining: 8/10 per model.