Systematic Theta Strategy with Synthetic Base
Strategy Overview
- Combine synthetic long (buy call + sell put) with short perpetual(Delta-neutral synthetic base)
- Systematically sell weekly options(call/put) for theta income
- Use Perp only when assigned for delivery
- Goal: steady theta income with minimal directional risk
Strategy Architecture
Core Components
| Layer |
Description |
Objective |
| Synthetic Long(1-2 months) |
Long Call + Short Put, same strike + Core short Perp |
Create synthetic long exposure with short perp (delta-neutral base) |
| Weekly Short option |
Sell weekly call or put |
Generate theta income |
| Trading Perp(conditional) |
Open only upon Assignment |
Settle exercised options via delivery |
Each week
- Sell one weekly option(call or put)
- Do not open any new perp unless that option finishes ITM
- If exercised, use perp to delivery (short call -> short perp; short put -> long perp)
Weekly Option Cycle
- Sell weekly call
- If call expires OTM -> Keep premium
- If call ITM -> open trading short perp (delivery)
- Next week, sell weekly put (same strike)
- If put ITM -> open trading long perp -> close short
- Repeat cycle
Example Flow
| Week |
Action |
BTC Close |
Delivery |
Outcome |
| 1 |
Sell 100K Call |
98K |
None |
+premium |
| 2 |
Sell 100K Call |
101K |
Short Perp |
Delivery + premium |
| 3 |
Sell 100K Put |
100K |
Long Perp |
Close short + premium |
Summary
- This strategy combines a synthetic long position with short perpetual futures to create a delta-neutral base, upon which a weekly options grid is systematically sold.
- The structure profits primarily from time decay (theta) and range-bound price action, while dynamically using perpetual contracts for delivery when options expire in-the-money.
- The key innovation is that no active delta hedging is performed — perpetual contracts are used only upon option assignment, making the structure highly capital-efficient and low-maintenance.
Real trade sample
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