Anyone know off-hand, is it rebalancing to the delta implied by the sqrt(funding rate) implied vol black scholes? Does this sort of thing have a shadow delta component too? @KrisAbdelmessih @VolQuanthttps://twitter.com/wadepros/status/1476973745789186057 …
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Replying to @experquisite @VolQuant
@macrocephalopod has a good thread on the timeline about these types of strategies.1 reply 0 retweets 4 likes
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1:32 PM - 9 Jan 2022
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