Lemvi Crypto AMC says option arbitrage drove September performance

Lemvi Crypto AMC said option arbitrage was the main contributor to September 2026 performance, after positioning into the $16 billion quarterly Deribit expiry on September 25 was heavily tilted towards calls.

The fund said it sold rich upside wings against cheaper at-the-money and longer-dated volatility, captured their convergence at settlement and rolled into December maturities with vega kept tightly neutral.

Source: Lemvi SA.

Source statements are attributed; this is not investment advice.