Internal — Juju's approval checklist (remove this block before publish)
Juju: you own final review of this page. Approve every item below before it goes external. Anything you cannot confirm, complete, or stand behind in front of the committee — check back with Nick before it moves. Nothing goes out with an open question on it.
1. Every amber-boxed value is pending a backtest output or Nick's sign-off. Fill or clear each one; nothing amber goes external.
2. Track-record figures (38% net CMFDH II; ~50% combined since Jul 2019) — confirm with Nick they are approved for this page/channel specifically.
3. Scenario C (Shadow Edge) performance is an approval item only — internal-only until Nick clears a figure for external use.
4. Daily-drawdown level and options-% per scenario get pinned at the Wednesday risk meeting; update this page after.
5. No client name, no ticket size, no named investors anywhere on this page — by design. Keep it that way.
6. When all items are cleared, delete this block, then publish / send via Paul.
BTC Options Strategies — Coincall SMA
1. The mandate ↑ top
Each strategy below is configured to a common mandate: at least 50% of each book held in exchange-traded options (not perpetuals or futures alone); a hard 5% monthly dollar-loss cap; a daily drawdown limit; and deployment through one or more separately managed accounts on Coincall, with full backtests presented for committee review before any capital moves. These criteria are the fixed specification for every scenario on this page.
| Criterion | Specification | How each strategy meets it |
|---|---|---|
| Options share | ≥50% of each book in options | Met by construction. The covered-call sleeve carries the book past the 50% line; where a configuration needs additional options weight, deep in-the-money options (delta ≈ 1) substitute for futures with equivalent hedge economics. |
| Monthly drawdown | 5% dollar-loss cap | Structural, not discretionary: a 95/5 architecture in which the maximum monthly loss is capped by arithmetic. No leverage, therefore no liquidation price. |
| Daily drawdown | Limit at level to be confirmed | Net delta of roughly 5% means a 5% move in BTC produces approximately a 0.25% move in the account. |
| Structure | SMA(s) on Coincall | Segregated accounts in the client's name; assets never commingled; the manager holds trading authority only. |
| Process | Backtested fact sheet → risk review → agreement → access | This document, with backtests per Section 6. |
The strategies can run singly or in parallel. Where a committee prefers to evaluate live rather than select in advance, two SMAs running Scenarios A and B side-by-side over a defined pilot window produce a like-for-like comparison and a built-in expansion decision.
2. The firm and the track record ↑ top
Nicholas Levenstein & Company runs concentrated BTC options strategies built around one principle: downside-protection asymmetry. The structure gives up a portion of profit in strong rallies in exchange for a hard floor under losses — it does not promise full upside participation, and we say so plainly, because the floor is the point. Committees evaluating drawdown-capped mandates tend to find this the right trade.
| Program | Record | Basis |
|---|---|---|
| CMFDH II | 38% net | Since January 1, 2023. Independent audit underway. |
| CMFDH I + II combined | ~50% net | Since July 2019. Independent audit underway. |
Current structure and tactics for the flagship program are published at levenstein.net/cmfdh-ii-current-status-and-tactics.
3. Scenario A — The 95/5 capital-preservation program ↑ top
Scenario A is the mandate answered directly. The book holds ~95% in the basis ("contango") trade — long spot against short dated exposure, harvesting the futures premium with essentially no directional risk — and ~5% in the covered-call sleeve, rebalanced each period. The drawdown cap is not a stop-loss; it is arithmetic: only the 5% sleeve carries market risk, so even a total wipe-out of the sleeve in a single period costs roughly 5% less the carry earned. Run against the manager's own 3.5-year record, the modeled book has no losing quarter — 14 of 14 positive — including the quarters in which the unconstrained strategy drew down double digits.
To show what the architecture produces, we ran it against 14 quarters of CMFDH II net returns (Q1 2023 – Q2 2026) as the sleeve's return stream, across three basis assumptions. Modeled — internal until Nick approves for external use
| Annualized basis assumption | Cumulative (3.5 yrs) | Annualized | Worst actual quarter | Arithmetic floor (sleeve −100%) | Losing quarters |
|---|---|---|---|---|---|
| 5% | +24.0% | 6.3% | +0.43% | −3.8% | 0 of 14 |
| 8% | +36.1% | 9.2% | +1.11% | −3.2% | 0 of 14 |
| 12% | +53.6% | 13.0% | +1.99% | −2.3% | 0 of 14 |
Two things follow. First, the modeled book has no losing quarter in the entire 3.5-year window — including Q4 2025, when the unconstrained strategy lost 14.8%: at an 8% basis the 95/5 book still earned +1.11% that quarter, because the sleeve's loss is diluted twenty-to-one by the carry leg. Second, the worst case is known in advance: a total wipe-out of the sleeve in one quarter costs roughly 3% net of carry — comfortably inside the 5% cap, with no reliance on execution, stops, or discretion.
The trade-off, stated plainly. Over the long run this is the less attractive configuration on raw return — by design. Across the same 3.5 years the unconstrained strategy compounded +132%; the 95/5 book models at +24% to +54% depending on realized basis. What the mandate buys with that foregone return is certainty: a hard arithmetic floor, no losing quarters in the modeled record, and no dependence on market direction. A committee whose binding constraint is the drawdown cap is paying for exactly this; an allocator whose priority is maximum long-term compounding should weight toward higher sleeve allocations (Scenario B) or the unconstrained program.
On the options floor: the carry leg is implemented with dated deep in-the-money options (delta ≈ 1), which replicate the futures leg's economics while keeping well over 50% of the book in exchange-traded options — the mandate's instrument requirement is met by the same construction that produces the floor.
| Field | Scenario A |
|---|---|
| Structure & instruments | ~95% basis trade (spot + short dated exposure via deep-ITM options) + ~5% covered-call sleeve; periodic rebalance |
| % of book in options | ≥50% — configured at % pending final configuration |
| Net delta | ~5% confirm at deployment |
| Expected return (modeled) | 6–13% annualized at a 5–12% basis Nick to approve |
| Max monthly drawdown (modeled) | Capped at 5% by construction; ~3% net of carry in the sleeve-wipe-out case |
| Daily drawdown distribution | pending backtest — Nick to approve |
| Worst case, −100% BTC month | Loss bounded by the 5% cap; no leverage, no liquidation price |
| Leverage / liquidation risk | None / none |
| Capacity | pending — Nick to approve |
| Methodology | See Section 6 |
Model assumptions: book rebalanced to 95/5 each quarter; covered-call sleeve proxied by CMFDH II actual net quarterly returns (net of fees as reported, not independently audited); basis held flat at the stated annualized rate — realized BTC basis varies with market conditions and has at times exceeded or fallen below this range; quarterly granularity. Modeled results are illustrative, not a track record.
4. Scenario B — Quarterly-roll carry program ↑ top
The same architecture on a quarterly roll: richer premium capture per roll in exchange for wider intra-quarter variance. Suited to a committee weighting carry over cadence.
| Field | Scenario B |
|---|---|
| Structure & instruments | BTC spot + dated call options, quarterly roll cadence |
| % of book in options | ≥50% — configured at % pending final configuration |
| Net delta | ~5% confirm at deployment |
| Expected return (modeled) | pending backtest — Nick to approve |
| Max monthly drawdown (modeled) | Capped at 5% by construction (95/5 architecture) |
| Daily drawdown distribution | pending backtest — Nick to approve |
| Worst case, −100% BTC month | Loss bounded by the 5% cap; no leverage, no liquidation price |
| Leverage / liquidation risk | None / none |
| Capacity | pending — Nick to approve |
| Methodology | See Section 6 |
5. Scenario C — Shadow Edge (preview only) ↑ top
Shadow Edge is the firm's event-market program: it captures mispriced probability in exchange-listed prediction markets, holds positions measured in hours to days, and realizes gains daily. Its return stream is uncorrelated with BTC direction — it earns in flat, rising, and falling markets alike — and it is built on the same capital-preservation discipline as the flagship: positions are taken only where the firm's modeled fair value shows a material edge, and exited on defined rules.
Preview only. Scenario C is presented for completeness and is not offered for allocation under this mandate. It trades prediction-market instruments, not Coincall options, and its live record is early. Performance: figure pending Nick's approval for external use. Methodology overview at levenstein.net/polymarketinfo.
6. Backtest methodology and the Deribit–Coincall bridge ↑ top
Backtests for Scenarios A and B are run on Deribit's dated-options history — approximately three years of listed BTC options data, the deepest dataset available for this instrument class. The deployment venue is Coincall; the backtest venue is Deribit. We state this up front rather than leave it to be discovered: option quotes on Coincall track Deribit with minimal slippage, so Deribit history is representative of the strategy's economics, and live Coincall basis and options-market depth will be confirmed at deployment before capital scales. Ongoing positions are monitored against live market data, with exchange-feed integration confirmed as part of go-live.
| Item | Detail |
|---|---|
| Backtest dataset | Deribit dated BTC options, ~3 years — depth verification in progress |
| Venue bridge | Coincall quotes track Deribit with minimal slippage; live basis confirmed at deployment |
| Assumptions | fees, fill, roll-timing assumptions — pending backtest write-up |
| Monitoring | Daily mark-to-market against live data; exchange data-feed integration at go-live |
7. Risk factors and disclosures ↑ top
Exchange counterparty risk. Assets in an SMA custody at the exchange; the exchange itself is the principal counterparty risk. This is inherent to the structure and should be weighed accordingly.
Modeled figures. Expected returns and drawdown distributions marked as modeled are backtest outputs, not guarantees. Past performance, actual or modeled, does not predict future results.
Upside trade-off. The drawdown cap is purchased with foregone profit in strong rallies. The structure does not deliver full upside participation and is not presented as doing so.
Early-stage program. Scenario C has a short live history and is excluded from allocation under this mandate.
Nicholas Levenstein & Company operates under the laws of Georgia and is not registered with the U.S. Securities and Exchange Commission. This page is informational only. It is not an offer to sell, or a solicitation of an offer to buy, any security or advisory service, and no such offer is made to any person in any jurisdiction where it would be unlawful, including to U.S. persons. Separately managed account engagements are entered only by written agreement following the firm's diligence process. Inquiries: nick@levenstein.net.