Aug. 24 at 2:27 PM
Met a young man who has on this pair trade and thinks it is liquid gold. And it is for the guys running the ETF but not for the individual who puts on the trade...
$MSST &
$WNTR bottom line...
At current rates you collect roughly 4% of capital per month in cash. That cash is mostly return of capital. The expected total return of the pair is substantially lower than the distribution rate and is negative in most realistic
$MSTR/ #BTC paths outside of a prolonged high-vol range-bound regime. This is a pure volatility-harvesting structure with residual directional and gap exposure, not a hedged income engine.
Risks...
The pair is not market-neutral. Residual directional exposure remains because the two funds use different strikes, different deltas, different roll schedules, and different path-dependent management rules. Large directional gaps in MSTR (common given its Bitcoin beta) produce net P&L that the combined premiums will not fully offset in the short term.
