CLP Hedging Strategy Matrix (Jan 2026)
Based on ETH/USDC 0.05% Arbitrum Pool Stats: TVL $74.53M, 24h Vol $23.27M.
Calculations include 0.045% round-trip Hyperliquid fees and concentration-adjusted Uniswap fees.
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.
Technical Assumptions & Methodology
- Transaction Costs: Calculations include Hyperliquid fees (~0.045% round-trip: 0.01% Maker Entry + 0.035% Taker Exit).
- Uniswap Fees: Est. Fees (1h) are calculated using the pool's volume/TVL ratio and a concentration multiplier based on the range width.
- 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.
- Delta Calculation:
- Lower Edge: Position becomes 100% ETH (Max Long Delta).
- Upper Edge: Position becomes 100% USDC (Zero Delta).
Capital: $1000 USDC
| Range |
Strategy |
Hedge Size |
Margin (5x) |
PnL Lower |
PnL Upper |
Est. Fees (1h) |
| +/- 0.5 % |
Neutral Down |
0.2746 ETH |
$167.94 |
+0.00 |
-3.40 |
$1.30 |
|
Neutral Up |
0.0520 ETH |
$31.81 |
-3.40 |
+0.00 |
|
|
Fixed |
0.1631 ETH |
$99.75 |
-1.70 |
-1.70 |
|
| +/- 1.0 % |
Neutral Down |
0.2598 ETH |
$158.88 |
-0.00 |
-5.91 |
$0.65 |
|
Neutral Up |
0.0664 ETH |
$40.63 |
-5.91 |
+0.00 |
|
|
Fixed |
0.1627 ETH |
$99.50 |
-2.97 |
-2.94 |
|
| +/- 2.0 % |
Neutral Down |
0.2522 ETH |
$154.26 |
+0.00 |
-10.95 |
$0.33 |
|
Neutral Up |
0.0732 ETH |
$44.76 |
-10.95 |
+0.00 |
|
|
Fixed |
0.1619 ETH |
$99.00 |
-5.53 |
-5.42 |
|
| +/- 4.0 % |
Neutral Down |
0.2482 ETH |
$151.78 |
+0.00 |
-21.10 |
$0.17 |
|
Neutral Up |
0.0757 ETH |
$46.28 |
-21.10 |
+0.00 |
|
|
Fixed |
0.1603 ETH |
$98.02 |
-10.75 |
-10.35 |
|
| +/- 5.0 % |
Neutral Down |
0.2473 ETH |
$151.22 |
+0.00 |
-26.21 |
$0.13 |
|
Neutral Up |
0.0758 ETH |
$46.37 |
-26.21 |
+0.00 |
|
|
Fixed |
0.1595 ETH |
$97.53 |
-13.42 |
-12.79 |
|
| +/- 10.0 % |
Neutral Down |
0.2450 ETH |
$149.84 |
+0.00 |
-52.16 |
$0.07 |
|
Neutral Up |
0.0744 ETH |
$45.52 |
-52.16 |
+0.00 |
|
|
Fixed |
0.1555 ETH |
$95.12 |
-27.36 |
-24.80 |
|
Capital: $2000 USDC
| Range |
Strategy |
Hedge Size |
Margin (5x) |
PnL Lower |
PnL Upper |
Est. Fees (1h) |
| +/- 0.5 % |
Neutral Down |
0.5492 ETH |
$335.88 |
+0.00 |
-6.81 |
$2.61 |
|
Neutral Up |
0.1040 ETH |
$63.63 |
-6.81 |
-0.00 |
|
|
Fixed |
0.3262 ETH |
$199.50 |
-3.41 |
-3.40 |
|
| +/- 1.0 % |
Neutral Down |
0.5196 ETH |
$317.75 |
+0.00 |
-11.83 |
$1.31 |
|
Neutral Up |
0.1329 ETH |
$81.25 |
-11.83 |
-0.00 |
|
|
Fixed |
0.3254 ETH |
$199.00 |
-5.94 |
-5.89 |
|
| +/- 2.0 % |
Neutral Down |
0.5045 ETH |
$308.52 |
+0.00 |
-21.90 |
$0.66 |
|
Neutral Up |
0.1464 ETH |
$89.51 |
-21.90 |
-0.00 |
|
|
Fixed |
0.3238 ETH |
$198.01 |
-11.05 |
-10.85 |
|
| +/- 4.0 % |
Neutral Down |
0.4964 ETH |
$303.56 |
+0.00 |
-42.20 |
$0.33 |
|
Neutral Up |
0.1514 ETH |
$92.56 |
-42.20 |
+0.00 |
|
|
Fixed |
0.3206 ETH |
$196.04 |
-21.50 |
-20.70 |
|
| +/- 5.0 % |
Neutral Down |
0.4946 ETH |
$302.44 |
+0.00 |
-52.43 |
$0.27 |
|
Neutral Up |
0.1517 ETH |
$92.74 |
-52.43 |
+0.00 |
|
|
Fixed |
0.3190 ETH |
$195.06 |
-26.85 |
-25.58 |
|
| +/- 10.0 % |
Neutral Down |
0.4900 ETH |
$299.68 |
+0.00 |
-104.31 |
$0.14 |
|
Neutral Up |
0.1489 ETH |
$91.05 |
-104.31 |
+0.00 |
|
|
Fixed |
0.3111 ETH |
$190.23 |
-54.72 |
-49.59 |
|
Capital: $4000 USDC
| Range |
Strategy |
Hedge Size |
Margin (5x) |
PnL Lower |
PnL Upper |
Est. Fees (1h) |
| +/- 0.5 % |
Neutral Down |
1.0985 ETH |
$671.75 |
-0.00 |
-13.61 |
$5.22 |
|
Neutral Up |
0.2081 ETH |
$127.25 |
-13.61 |
+0.00 |
|
|
Fixed |
0.6525 ETH |
$399.00 |
-6.82 |
-6.79 |
|
| +/- 1.0 % |
Neutral Down |
1.0392 ETH |
$635.51 |
-0.00 |
-23.65 |
$2.61 |
|
Neutral Up |
0.2657 ETH |
$162.51 |
-23.65 |
+0.00 |
|
|
Fixed |
0.6508 ETH |
$398.00 |
-11.88 |
-11.77 |
|
| +/- 2.0 % |
Neutral Down |
1.0090 ETH |
$617.03 |
+0.00 |
-43.80 |
$1.31 |
|
Neutral Up |
0.2928 ETH |
$179.03 |
-43.80 |
+0.00 |
|
|
Fixed |
0.6476 ETH |
$396.02 |
-22.10 |
-21.70 |
|
| +/- 4.0 % |
Neutral Down |
0.9928 ETH |
$607.12 |
+0.00 |
-84.40 |
$0.66 |
|
Neutral Up |
0.3027 ETH |
$185.12 |
-84.40 |
+0.00 |
|
|
Fixed |
0.6411 ETH |
$392.08 |
-43.01 |
-41.39 |
|
| +/- 5.0 % |
Neutral Down |
0.9891 ETH |
$604.89 |
+0.00 |
-104.85 |
$0.53 |
|
Neutral Up |
0.3033 ETH |
$185.48 |
-104.85 |
+0.00 |
|
|
Fixed |
0.6379 ETH |
$390.12 |
-53.69 |
-51.16 |
|
| +/- 10.0 % |
Neutral Down |
0.9801 ETH |
$599.36 |
+0.00 |
-208.63 |
$0.27 |
|
Neutral Up |
0.2978 ETH |
$182.10 |
-208.63 |
+0.00 |
|
|
Fixed |
0.6222 ETH |
$380.46 |
-109.45 |
-99.18 |
|
Capital: $8000 USDC
| Range |
Strategy |
Hedge Size |
Margin (5x) |
PnL Lower |
PnL Upper |
Est. Fees (1h) |
| +/- 0.5 % |
Neutral Down |
2.1970 ETH |
$1343.50 |
+0.00 |
-27.23 |
$10.43 |
|
Neutral Up |
0.4162 ETH |
$254.50 |
-27.23 |
+0.00 |
|
|
Fixed |
1.3049 ETH |
$798.00 |
-13.64 |
-13.59 |
|
| +/- 1.0 % |
Neutral Down |
2.0784 ETH |
$1271.02 |
-0.00 |
-47.30 |
$5.23 |
|
Neutral Up |
0.5315 ETH |
$325.01 |
-47.30 |
+0.00 |
|
|
Fixed |
1.3017 ETH |
$796.01 |
-23.75 |
-23.55 |
|
| +/- 2.0 % |
Neutral Down |
2.0180 ETH |
$1234.06 |
+0.00 |
-87.60 |
$2.63 |
|
Neutral Up |
0.5855 ETH |
$358.06 |
-87.60 |
+0.00 |
|
|
Fixed |
1.2952 ETH |
$792.04 |
-44.20 |
-43.40 |
|
| +/- 4.0 % |
Neutral Down |
1.9856 ETH |
$1214.24 |
+0.00 |
-168.80 |
$1.33 |
|
Neutral Up |
0.6054 ETH |
$370.23 |
-168.80 |
-0.00 |
|
|
Fixed |
1.2823 ETH |
$784.16 |
-86.02 |
-82.78 |
|
| +/- 5.0 % |
Neutral Down |
1.9783 ETH |
$1209.78 |
+0.00 |
-209.70 |
$1.07 |
|
Neutral Up |
0.6066 ETH |
$370.96 |
-209.70 |
-0.00 |
|
|
Fixed |
1.2759 ETH |
$780.24 |
-107.38 |
-102.32 |
|
| +/- 10.0 % |
Neutral Down |
1.9602 ETH |
$1198.71 |
+0.00 |
-417.26 |
$0.55 |
|
Neutral Up |
0.5956 ETH |
$364.20 |
-417.26 |
+0.00 |
|
|
Fixed |
1.2443 ETH |
$760.93 |
-218.89 |
-198.36 |
|
