Expand description
Delta-neutral short volatility hedger.
Tracks a short OTM call and put (strangle) on a configurable option family and delta-hedges the net Greek exposure with the underlying perpetual swap. Rehedges when portfolio delta exceeds a configurable threshold or on a periodic timer.
This strategy subscribes to venue-provided Greeks via
subscribe_option_greeks and uses them to track portfolio delta.
Strike selection uses a simple strike-percentile heuristic at startup.
Re-exports§
pub use config::DeltaNeutralVolConfig;pub use strategy::DeltaNeutralVol;