About · Track record
Pricing discontinuous risk, in production, in size.
The relevance of past trading is not that it predicts future returns; the relevance is that the founder has spent a career structuring around exactly the kind of gap-risk geometry that defines a public-company digital-asset balance sheet. The artefacts below are evidence of capability, not a performance promise.
External recognition
Named by the Financial Timesamong top-performing managers, March 2020
During the March 2020 COVID dislocation, the firm's fund vehicle was named by the Financial Times among the publication's top-performing managers of that period. That vehicle is not currently open for investment. The advisory practice now anchors the firm.
What the trade was
One of the largest open-interest holders in triple-leveraged ETF options going into the dislocation. The position was sized against the realised gap-risk that materialised in the underlying, not against historical-volatility back-tests of the same product. Tail-risk pedigree is a posture, not a model output.
What it demonstrates
Capability that translates to a digital-asset balance sheet.
Pricing the gap
Markets reprice in step-functions during dislocations. Pricing the discontinuity, rather than smoothing through it, is a different muscle than running a vanilla volatility book. That is the muscle that translates to a BTC reserve.
Sizing through stress
Holding meaningful open interest through a tail event requires a sizing discipline that survives multiple regimes. The same discipline applies to overlay sizing for a public-company treasury.
Convexity in production
The position was structured for convex payoff in the underlying tail outcome. The same structuring logic underpins the put-protection layer on a BTC reserve.
What it doesn't claim
Past performance is not the asset.
Nothing on this page should be read as a prediction of future performance. The firm's prior fund vehicle is not currently open for investment, and Gammon Capital's current advisory engagements are non-discretionary: clients decide and approve all activity. The relevance of the prior trading is that it gives Gammon's founder the production-grade experience of pricing discontinuous risk and convexity, which is the experience the engagement is built on.
Past performance is not indicative of future results. Derivatives, digital assets, and overlay strategies, long, short, or structured, involve substantial risk, including the risk of total loss. Information published on this site is for general informational purposes only and does not constitute investment, legal, tax, or accounting advice, nor an offer or solicitation in any jurisdiction.