Core Viewpoint - The article emphasizes the potential of volatility trading strategies, particularly through options, which decouple profit from directional predictions and focus on price movement magnitude instead [1]. Group 1: Sources of Volatility Returns - Traditional asset strategies require precise directional predictions, while options allow for "Delta neutral" positions that profit from price movement volatility [1]. - The core logic of "long volatility" strategies is to capitalize on market transitions from calm to turbulent states, capturing volatility premiums [1][3]. Group 2: Core Strategy Construction - Two classic strategies are introduced: - Straddle Strategy: Involves buying equal amounts of call and put options at the same strike price, resulting in a "V-shaped" profit curve, but with higher costs [1]. - Strangle Strategy: Involves buying out-of-the-money call and put options, resulting in a "U-shaped" profit curve, with lower costs but requiring more significant price movements to achieve profitability [1][2]. Group 3: Dynamic Game of Greek Letters - The strategy's essence lies in the interplay of option sensitivity parameters: - Vega (volatility sensitivity) drives profits during market panic, leading to valuation expansion [1]. - Gamma (convexity) acts as an accelerator in significant market movements, allowing for "trend-following" positions [1]. - Theta (time decay) represents a primary cost, eroding capital during stagnant market conditions [1][3]. Group 4: Phases of Profit Generation - The profit realization process is dynamic and consists of three phases: - Latent Phase: "Long Vega" where implied volatility rises before significant events, leading to increased option prices [3]. - Realization Phase: "Realizing Gamma" occurs when asset prices experience sharp movements, enhancing Delta sensitivity [4]. - Decay Phase: "Countering Theta" is the most perilous stage, where lack of expected volatility can lead to significant losses due to rapid declines in implied volatility [5][6]. Group 5: Practical Application Scenarios - The "long volatility" strategy is not a year-round approach and requires specific market conditions for optimal odds: - Event-driven opportunities, such as earnings reports or macroeconomic decisions, often lead to significant price movements [6][7]. - Technical convergence signals, like narrow Bollinger Bands or low implied volatility percentiles, indicate potential upcoming volatility [7].

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The report focuses on how to capture asymmetric returns in a high - volatility market using options. It introduces the concept of volatility - based strategies, where the goal is to profit from the "magnitude" of price changes rather than the "direction". The core is to build "Delta - neutral" portfolios and use classic strategies like the straddle and strangle to capture volatility premiums[2][5]. 3. Summary by Directory 3.1 Volatility Return Source: From "Predicting Direction" to "Trading Magnitude" - Traditional stock or futures long - strategies require accurate prediction of price direction, and their returns are linear. However, options allow for a non - linear profit model that decouples returns from direction and only links them to the "magnitude" of price changes, which is the core logic of the "long - volatility" strategy[5]. - In the traditional trading world, "uncertainty" is often seen as risk, but in the options market, it can be priced and traded. The first step of the strategy is to build a Delta - neutral portfolio, which is insensitive to small price changes of the underlying asset at the moment of construction. The strategy aims to capture the volatility premium when the market moves from calm to chaotic or from narrow - range oscillation to significant breakthrough[6][7][8]. 3.2 Core Strategy Construction and Form Analysis - **Buy Straddle Strategy**: Constructed by buying an equal number of at - the - money (ATM) call and put options with the same expiration date. Its profit - loss graph is a sharp "V" shape. The maximum risk is limited to double the premium paid. It has the highest sensitivity to volatility (Vega) and the strongest explosive power, but the construction cost is high, and a large price movement of the underlying asset is needed to cover the premium cost[10][12]. - **Buy Strangle Strategy**: Constructed by buying an equal number of out - of - the - money call and put options with the same expiration date. Its profit - loss graph has a flat and wide "U" shape. It is a low - cost alternative when investors expect a big market but think the straddle strategy is too expensive. The premium cost is significantly lower than the straddle strategy, and the break - even points are more extensive, requiring a more significant price movement of the underlying asset to enter the profit zone[13][15][17]. 3.3 Dynamic Game: How Returns are Generated - **Latency Period: Long Vega**: Vega measures the sensitivity of option prices to changes in implied volatility. Before major events, market risk - aversion increases, causing option prices to rise and implied volatility to climb. The core of the strategy's profit at this stage is Vega, which can offset or cover the daily loss of time value (Theta). Holding positions at this time is essentially betting on the market's "panic" and "uncertainty premium"[18][19]. - **Realization Period: Realize Gamma**: Gamma measures the sensitivity of Delta to changes in the price of the underlying asset. When an event occurs, the price of the underlying asset makes a significant jump. As the price moves in a favorable direction, at - the - money options turn into in - the - money options, and the absolute value of Delta approaches 1. This "convexity" is the core advantage of options over futures[20][21][22]. - **Decay Period: Counter Theta**: This is the most dangerous stage. If the market does not fluctuate significantly after an event, the strategy faces a "double - kill" risk. Implied volatility may drop sharply, and the time value decays rapidly as the expiration date approaches. Long - volatility strategies are essentially a "race against time", and if profits are not locked in during the realization period, the portfolio value will decay exponentially[23][24]. 3.4 Practical Application Scenarios - **Event - Driven Opportunities**: These are the most classic scenarios for long - volatility strategies. For example, before the release of earnings reports of technology growth stocks or key macroeconomic data, there is often significant market divergence, indicating large daily price fluctuations. - **Technical Extreme Convergence**: When the underlying asset has experienced a long - term narrow - range consolidation and the market volatility is compressed to a historically low level, it often indicates an impending market change. For instance, when the Bollinger Bands contract to a very narrow state or the implied volatility is below the 10% percentile of the past year, it is a good time to build a long - term straddle portfolio with a low "trial - and - error cost" to capture potential large - scale breakthroughs[27][29].

Core Viewpoint - The article discusses the recent significant decoupling of USDe, the third-largest stablecoin, during a cryptocurrency liquidation event, raising concerns about its stability and the mechanisms behind it [1][5]. Group 1: USDe Overview - USDe is a synthetic dollar stablecoin launched by Ethena Labs, ranking third in market capitalization among stablecoins, with a market cap exceeding $12 billion [1]. - Unlike traditional stablecoins like USDT and USDC, USDe is not backed by fiat currencies or hard assets but is a combination of crypto assets and derivatives, designed to hedge against price risks [6]. Group 2: Market Events - On Saturday morning, USDe's price dropped to a low of $0.65 within half an hour, leading to a significant liquidation event in the cryptocurrency market, with nearly $19 billion in long positions liquidated and over 1.6 million accounts affected [4][7]. - The liquidation event was exacerbated by a collective downturn in the cryptocurrency market, causing a massive sell-off of USDe as leveraged users faced automatic liquidations [7][9]. Group 3: Mechanisms and Risks - The mechanism behind USDe allows users to mint it by collateralizing their crypto assets, while the project simultaneously establishes short positions in the derivatives market to hedge risks [6]. - A dangerous "USDe circular lending" strategy emerged, where speculators borrowed other stablecoins against USDe to mint more USDe, creating a cycle that became unsustainable during market stress [6][9]. Group 4: Response and Future Outlook - Following the incident, Ethena Labs asserted that USDe remained over-collateralized and that the minting and redemption mechanisms were functioning correctly [9]. - The affected exchange announced compensation for impacted users and implemented a minimum price threshold for USDe to enhance price stability [9].

Group 1 - The company announced plans to establish joint ventures on November 22, 2024, and December 13, 2024, to diversify its investment portfolio and capture emerging opportunities in the digital asset sector [1] - The board has approved a strategic investment framework, allowing the company to invest up to HKD 4.5 million through its indirect non-wholly owned subsidiary, Tiankun Digital Limited, in cryptocurrency investments [1] - The strategy will employ a mature, delta-neutral quantitative approach focused on capital preservation and robust risk-adjusted returns [1] Group 2 - The core objective is to achieve uncorrelated alpha returns and diversify the company's investments, leveraging the expertise of a professional team and a solid multi-layer risk management framework [1] - This strategic investment will only involve the company's own capital and will not constitute regulated third-party asset management services, thereby avoiding licensing costs and regulatory complexities [1]

Core Viewpoint - The company plans to establish a joint venture to diversify its investment portfolio and capture emerging opportunities in the digital asset sector, with a strategic investment framework approved by its board [1] Investment Strategy - The company will invest up to 4.5 million HKD of its own capital in cryptocurrency through its indirect non-wholly owned subsidiary, Tiankun Digital Limited [1] - The investment strategy will employ a mature, Delta-neutral quantitative approach, focusing on capital preservation and robust risk-adjusted returns [1] Objectives - The core objective is to achieve uncorrelated alpha returns and diversify the company's investments, leveraging the expertise of its professional team and a solid multi-layer risk management framework [1] - This strategic investment will solely involve the company's own funds and will not constitute regulated third-party asset management services, thereby avoiding licensing costs and regulatory complexities [1]