104 lines
6.2 KiB
Markdown
104 lines
6.2 KiB
Markdown
# CLP Hedging Strategy Matrix (Jan 2026)
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*Based on ETH/USDC 0.05% Arbitrum Pool Stats: TVL $74.53M, 24h Vol $23.27M.*
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*Calculations include 0.045% round-trip Hyperliquid fees and concentration-adjusted Uniswap fees.*
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This document outlines the projected PnL, required hedge sizes, and estimated earnings for different CLP configurations, assuming a fixed hedge position is maintained from entry to exit.
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## Technical Assumptions & Methodology
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1. **Transaction Costs:** Calculations include Hyperliquid fees (~0.045% round-trip: 0.01% Maker Entry + 0.035% Taker Exit).
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2. **Uniswap Fees:** Est. Fees (1h) are calculated using the pool's volume/TVL ratio and a concentration multiplier based on the range width.
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3. **Static Hedge:** Assumes the hedge position is opened at the exact same time as the CLP and is **never rebalanced** until the CLP is closed at the range boundary.
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4. **Delta Calculation:**
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* **Lower Edge:** Position becomes 100% ETH (Max Long Delta).
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* **Upper Edge:** Position becomes 100% USDC (Zero Delta).
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---
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## Capital: $1000 USDC
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| Range | Strategy | Hedge Size | Margin (5x) | PnL Lower | PnL Upper | Est. Fees (1h) |
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| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
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| +/- 0.5 % | Neutral Down | 0.2746 ETH | $167.94 | +0.00 | -3.40 | $1.30 |
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| | Neutral Up | 0.0520 ETH | $31.81 | -3.40 | +0.00 | |
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| | Fixed | 0.1631 ETH | $99.75 | -1.70 | -1.70 | |
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| +/- 1.0 % | Neutral Down | 0.2598 ETH | $158.88 | -0.00 | -5.91 | $0.65 |
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| | Neutral Up | 0.0664 ETH | $40.63 | -5.91 | +0.00 | |
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| | Fixed | 0.1627 ETH | $99.50 | -2.97 | -2.94 | |
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| +/- 2.0 % | Neutral Down | 0.2522 ETH | $154.26 | +0.00 | -10.95 | $0.33 |
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| | Neutral Up | 0.0732 ETH | $44.76 | -10.95 | +0.00 | |
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| | Fixed | 0.1619 ETH | $99.00 | -5.53 | -5.42 | |
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| +/- 4.0 % | Neutral Down | 0.2482 ETH | $151.78 | +0.00 | -21.10 | $0.17 |
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| | Neutral Up | 0.0757 ETH | $46.28 | -21.10 | +0.00 | |
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| | Fixed | 0.1603 ETH | $98.02 | -10.75 | -10.35 | |
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| +/- 5.0 % | Neutral Down | 0.2473 ETH | $151.22 | +0.00 | -26.21 | $0.13 |
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| | Neutral Up | 0.0758 ETH | $46.37 | -26.21 | +0.00 | |
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| | Fixed | 0.1595 ETH | $97.53 | -13.42 | -12.79 | |
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| +/- 10.0 % | Neutral Down | 0.2450 ETH | $149.84 | +0.00 | -52.16 | $0.07 |
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| | Neutral Up | 0.0744 ETH | $45.52 | -52.16 | +0.00 | |
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| | Fixed | 0.1555 ETH | $95.12 | -27.36 | -24.80 | |
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## Capital: $2000 USDC
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| Range | Strategy | Hedge Size | Margin (5x) | PnL Lower | PnL Upper | Est. Fees (1h) |
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| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
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| +/- 0.5 % | Neutral Down | 0.5492 ETH | $335.88 | +0.00 | -6.81 | $2.61 |
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| | Neutral Up | 0.1040 ETH | $63.63 | -6.81 | -0.00 | |
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| | Fixed | 0.3262 ETH | $199.50 | -3.41 | -3.40 | |
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| +/- 1.0 % | Neutral Down | 0.5196 ETH | $317.75 | +0.00 | -11.83 | $1.31 |
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| | Neutral Up | 0.1329 ETH | $81.25 | -11.83 | -0.00 | |
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| | Fixed | 0.3254 ETH | $199.00 | -5.94 | -5.89 | |
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| +/- 2.0 % | Neutral Down | 0.5045 ETH | $308.52 | +0.00 | -21.90 | $0.66 |
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| | Neutral Up | 0.1464 ETH | $89.51 | -21.90 | -0.00 | |
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| | Fixed | 0.3238 ETH | $198.01 | -11.05 | -10.85 | |
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| +/- 4.0 % | Neutral Down | 0.4964 ETH | $303.56 | +0.00 | -42.20 | $0.33 |
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| | Neutral Up | 0.1514 ETH | $92.56 | -42.20 | +0.00 | |
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| | Fixed | 0.3206 ETH | $196.04 | -21.50 | -20.70 | |
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| +/- 5.0 % | Neutral Down | 0.4946 ETH | $302.44 | +0.00 | -52.43 | $0.27 |
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| | Neutral Up | 0.1517 ETH | $92.74 | -52.43 | +0.00 | |
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| | Fixed | 0.3190 ETH | $195.06 | -26.85 | -25.58 | |
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| +/- 10.0 % | Neutral Down | 0.4900 ETH | $299.68 | +0.00 | -104.31 | $0.14 |
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| | Neutral Up | 0.1489 ETH | $91.05 | -104.31 | +0.00 | |
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| | Fixed | 0.3111 ETH | $190.23 | -54.72 | -49.59 | |
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## Capital: $4000 USDC
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| Range | Strategy | Hedge Size | Margin (5x) | PnL Lower | PnL Upper | Est. Fees (1h) |
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| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
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| +/- 0.5 % | Neutral Down | 1.0985 ETH | $671.75 | -0.00 | -13.61 | $5.22 |
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| | Neutral Up | 0.2081 ETH | $127.25 | -13.61 | +0.00 | |
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| | Fixed | 0.6525 ETH | $399.00 | -6.82 | -6.79 | |
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| +/- 1.0 % | Neutral Down | 1.0392 ETH | $635.51 | -0.00 | -23.65 | $2.61 |
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| | Neutral Up | 0.2657 ETH | $162.51 | -23.65 | +0.00 | |
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| | Fixed | 0.6508 ETH | $398.00 | -11.88 | -11.77 | |
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| +/- 2.0 % | Neutral Down | 1.0090 ETH | $617.03 | +0.00 | -43.80 | $1.31 |
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| | Neutral Up | 0.2928 ETH | $179.03 | -43.80 | +0.00 | |
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| | Fixed | 0.6476 ETH | $396.02 | -22.10 | -21.70 | |
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| +/- 4.0 % | Neutral Down | 0.9928 ETH | $607.12 | +0.00 | -84.40 | $0.66 |
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| | Neutral Up | 0.3027 ETH | $185.12 | -84.40 | +0.00 | |
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| | Fixed | 0.6411 ETH | $392.08 | -43.01 | -41.39 | |
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| +/- 5.0 % | Neutral Down | 0.9891 ETH | $604.89 | +0.00 | -104.85 | $0.53 |
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| | Neutral Up | 0.3033 ETH | $185.48 | -104.85 | +0.00 | |
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| | Fixed | 0.6379 ETH | $390.12 | -53.69 | -51.16 | |
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| +/- 10.0 % | Neutral Down | 0.9801 ETH | $599.36 | +0.00 | -208.63 | $0.27 |
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| | Neutral Up | 0.2978 ETH | $182.10 | -208.63 | +0.00 | |
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| | Fixed | 0.6222 ETH | $380.46 | -109.45 | -99.18 | |
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## Capital: $8000 USDC
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| Range | Strategy | Hedge Size | Margin (5x) | PnL Lower | PnL Upper | Est. Fees (1h) |
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| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
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| +/- 0.5 % | Neutral Down | 2.1970 ETH | $1343.50 | +0.00 | -27.23 | $10.43 |
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| | Neutral Up | 0.4162 ETH | $254.50 | -27.23 | +0.00 | |
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| | Fixed | 1.3049 ETH | $798.00 | -13.64 | -13.59 | |
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| +/- 1.0 % | Neutral Down | 2.0784 ETH | $1271.02 | -0.00 | -47.30 | $5.23 |
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| | Neutral Up | 0.5315 ETH | $325.01 | -47.30 | +0.00 | |
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| | Fixed | 1.3017 ETH | $796.01 | -23.75 | -23.55 | |
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| +/- 2.0 % | Neutral Down | 2.0180 ETH | $1234.06 | +0.00 | -87.60 | $2.63 |
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| | Neutral Up | 0.5855 ETH | $358.06 | -87.60 | +0.00 | |
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| | Fixed | 1.2952 ETH | $792.04 | -44.20 | -43.40 | |
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| +/- 4.0 % | Neutral Down | 1.9856 ETH | $1214.24 | +0.00 | -168.80 | $1.33 |
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| | Neutral Up | 0.6054 ETH | $370.23 | -168.80 | -0.00 | |
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| | Fixed | 1.2823 ETH | $784.16 | -86.02 | -82.78 | |
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| +/- 5.0 % | Neutral Down | 1.9783 ETH | $1209.78 | +0.00 | -209.70 | $1.07 |
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| | Neutral Up | 0.6066 ETH | $370.96 | -209.70 | -0.00 | |
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| | Fixed | 1.2759 ETH | $780.24 | -107.38 | -102.32 | |
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| +/- 10.0 % | Neutral Down | 1.9602 ETH | $1198.71 | +0.00 | -417.26 | $0.55 |
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| | Neutral Up | 0.5956 ETH | $364.20 | -417.26 | +0.00 | |
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| | Fixed | 1.2443 ETH | $760.93 | -218.89 | -198.36 | | |