Hedge Lab Skill
Help the user evaluate hedging constructs for their crypto exposure. Each construct has different cost, complexity, and residual risk profiles.
Ask first
- What is the exposure? (e.g. long 10 BTC spot, short 100 ETH perp)
- What is the goal? (delta-neutral / reduce tail risk / capture funding / earn basis)
- What is the holding period? (overnight / weeks / structural)
- Exchanges available? (Binance, OKX, Deribit, Bybit, on-chain)
- Capital and leverage constraints?
Constructs — walk through each relevant one
1. Delta hedging with perpetual futures
- Short perp against spot → flat delta
- Earnings: funding rate when positive (longs pay shorts)
- Risks: funding inversion (shorts pay longs), basis move, forced liquidation if margin underfunded
- Capital efficiency: 1x margin on perp typically, so 50% of spot notional
2. Spot–perp basis trading
- Long spot + short dated futures
- Earnings: annualized basis, typically 2–15% on BTC
- Risks: basis widening before expiry (mark-to-market loss), funding (if perp instead of dated)
3. Funding rate capture
- Neutral position designed purely to collect funding
- Spot long + perp short (if funding > 0)
- Spot short (via borrow) + perp long (if funding < 0)
- Earnings: sum of funding payments
- Risks: borrow cost, funding can invert, slippage on entry/exit
4. Options — protective put
- Long spot + long OTM put (e.g. 15% OTM, 30d expiry)
- Earnings: none (pure cost)
- Protection: unlimited downside beyond strike
- Risks: premium cost, expiry timing, IV regime
5. Collar
- Long spot + long put + short call
- Earnings: premium from call offsets put cost (zero-cost collar if delta-matched)
- Caps upside above call strike
- Good for structural hedging of a long position you want to keep
6. Cross-exchange arbitrage
- Price discrepancy between exchanges → long on cheap venue, short on expensive
- Earnings: convergence of spread
- Risks: withdrawal latency, custody risk on both venues, slippage
7. Delta-neutral LP / market making
- Concentrated LP + directional hedge via perps
- Earnings: LP fees minus hedge cost
- Risks: impermanent loss model breakdown, perp basis divergence
For each construct, output
- Cost estimate (bps per day / per month)
- Tail exposure remaining
- Operational complexity (1–5, how many moving parts)
- Minimum capital to run efficiently
- When this is the right choice — specific regime / holding-period / risk-profile
Output format
Start with a 1-sentence "best fit" recommendation given their stated exposure + goal.
Then table of top 3 constructs with the columns above.
Then detail on #1 choice: exact implementation, position sizing, monitoring checklist.
Never recommend more leverage than the user stated capital supports. Always mention the liquidation price / margin buffer.
1---2name: hedge-lab3description: Explore hedging constructs for a crypto position — delta hedging, basis trading, funding-rate capture, cross-exchange arb. Use when holding directional BTC/ETH exposure and wanting to reduce risk without closing the position.4---56# Hedge Lab Skill78Help the user evaluate hedging constructs for their crypto exposure. Each construct has different cost, complexity, and residual risk profiles.910## Ask first11121. What is the exposure? (e.g. long 10 BTC spot, short 100 ETH perp)132. What is the goal? (delta-neutral / reduce tail risk / capture funding / earn basis)143. What is the holding period? (overnight / weeks / structural)154. Exchanges available? (Binance, OKX, Deribit, Bybit, on-chain)165. Capital and leverage constraints?1718## Constructs — walk through each relevant one1920### 1. Delta hedging with perpetual futures21- Short perp against spot → flat delta22- Earnings: funding rate when positive (longs pay shorts)23- Risks: funding inversion (shorts pay longs), basis move, forced liquidation if margin underfunded24- Capital efficiency: 1x margin on perp typically, so 50% of spot notional2526### 2. Spot–perp basis trading27- Long spot + short dated futures28- Earnings: annualized basis, typically 2–15% on BTC29- Risks: basis widening before expiry (mark-to-market loss), funding (if perp instead of dated)3031### 3. Funding rate capture32- Neutral position designed purely to collect funding33- Spot long + perp short (if funding > 0)34- Spot short (via borrow) + perp long (if funding < 0)35- Earnings: sum of funding payments36- Risks: borrow cost, funding can invert, slippage on entry/exit3738### 4. Options — protective put39- Long spot + long OTM put (e.g. 15% OTM, 30d expiry)40- Earnings: none (pure cost)41- Protection: unlimited downside beyond strike42- Risks: premium cost, expiry timing, IV regime4344### 5. Collar45- Long spot + long put + short call46- Earnings: premium from call offsets put cost (zero-cost collar if delta-matched)47- Caps upside above call strike48- Good for structural hedging of a long position you want to keep4950### 6. Cross-exchange arbitrage51- Price discrepancy between exchanges → long on cheap venue, short on expensive52- Earnings: convergence of spread53- Risks: withdrawal latency, custody risk on both venues, slippage5455### 7. Delta-neutral LP / market making56- Concentrated LP + directional hedge via perps57- Earnings: LP fees minus hedge cost58- Risks: impermanent loss model breakdown, perp basis divergence5960## For each construct, output6162- **Cost estimate** (bps per day / per month)63- **Tail exposure remaining**64- **Operational complexity** (1–5, how many moving parts)65- **Minimum capital to run efficiently**66- **When this is the right choice** — specific regime / holding-period / risk-profile6768## Output format6970Start with a 1-sentence "best fit" recommendation given their stated exposure + goal.71Then table of top 3 constructs with the columns above.72Then detail on #1 choice: exact implementation, position sizing, monitoring checklist.7374Never recommend more leverage than the user stated capital supports. Always mention the liquidation price / margin buffer.
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