ZAVARA
Options Market Making Software - Performance Track Record
2026-09-14 10:00 UTC
Inception: August 5, 2025
CONFIDENTIAL
Software: Zavara's options market making software generates systematic quoting signals across the BTC volatility surface on Deribit, combining short-dated volatility selling with delta-neutral hedging via perpetual swaps. The software monetises the persistent variance risk premium in crypto options markets through automated signal generation with pre-configured risk parameters. Execution is managed through custom order handlers operating autonomously on the counterparty's own exchange account via trade-only API credentials. Subaccounts are rotated periodically for operational security. Zavara does not provide investment management, portfolio management, or investment advisory services.
Cumulative Net Return on Allocated Capital
+78.69%
+$3,655,178 over 407 days
Track record: 1st August 2025 - 14th September 2026
Live trading data extracted from Deribit API keys
Annualised Return
+70.57%
Software Performance Metrics
Win Rate (Daily)
72.0%
255/354 days
Best Day
+$171,964
2025-11-04
Worst Day
-$84,653
2025-11-03
Avg Daily P&L
+$10,325
+0.22% / day
Avg Daily Volume
639 BTC
226,138 BTC total
Profits Swept to USDC
$3,908,490
Total Signals Executed
85,005
eSSVI Volatility Surface
Extended Surface SVI parametrises the total implied variance across all strikes and tenors simultaneously. Maturity-dependent correlation allows the skew to steepen at short maturities where >70% of Deribit open interest concentrates. Arbitrage-free constraints enforced in the optimiser. Target: <50 bps RMS fit quality. Full recalibration every 10 seconds, fast ATM updates in <5ms.
Bates-Kou Jump Diffusion
Heston stochastic volatility dynamics with Kou double-exponential jumps model BTC's asymmetric crash/rally behaviour. Characteristic function is analytically tractable for COS pricing. 20-40% lower RMS pricing error for OTM options vs Gaussian alternatives, directly reducing adverse selection on wing trades.
Complexity-Aware Spread Engine
11 canonical multi-leg structure types. 8-factor markup model incorporating model confidence, structure complexity, size impact, inventory position, urgency, counterparty toxicity, time of day, and SSR regime state. Primary revenue channel: Paradigm DRFQv2 institutional block flow.
Charm/Color-Aware Hedging
Bartlett model-consistent delta eliminates vanna P&L bleed. Charm enables forward-delta targeting - hedging toward where delta will be, reducing round-trips 30-50%. Whalley-Wilmott optimal bandwidth: narrow when gamma is high, wide when gamma is low.
Risk Architecture - Defence in Depth
Tier 1 (sub-ms): Exchange-native MMP groups + Cancel-on-Disconnect.
Tier 2 (ms): 10 independent software circuit breakers.
Tier 3 (sec-min): Vega management, funding rate hedging, adverse selection detection.
Infrastructure
Process-isolated: Rust + Numba JIT hot path, Python + CuPy/JAX calibration. Shared memory IPC. AWS eu-west-2 with sub-5ms Deribit connectivity at Equinix LD4. TimescaleDB, Redis, FIX 4.4 + WebSocket dual-path. 6-person team.
Monthly Net Returns (%)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|
| 2025 | - | - | - | - | - | - | - | +10.79% | +0.46% | +11.94% | +11.84% | -2.89% | +32.14% |
| Sharpe | - | - | - | - | - | - | - | 9.4 | 9.0 | 12.3 | 14.3 | 9.8 | |
| 2026 | +8.33% | +8.09% | +13.24% | +9.09% | +1.38% | -0.46% | +1.88% | +1.93% | +2.09% | - | - | - | +45.58% |
| Sharpe | 9.6 | 10.2 | 11.0 | 10.4 | 9.2 | 8.5 | 8.3 | 8.1 | 8.1 | - | - | - | |
SOURCE: Deribit production account | Returns on allocated capital base | Profits swept to USDC daily | Software vendor: Zavara Holdings LLC
Daily Return (% of Capital)
Monthly Performance
Capital Allocation Note: Allocated capital was reduced from $10M to $1-2M from December 2025 for two reasons. First, the BTC correction following the October 2025 highs led to a significant decline in retail taker activity on the options market making side, reducing the opportunity set for spread capture. Second, the reduction coincided with a planned capital reallocation toward our cross-venue basis model, which overlays between centralised exchanges (Deribit, Binance) and on-chain derivatives protocols (HyperLiquid, Derive). The options market making software continues to operate at reduced capital with consistent positive returns while the basis strategy scales.
| Month | Capital | BTC Price | P&L (BTC) | P&L (USD) | Return | Swept |
|---|
| 2025-08 | $4M |
$109,487 |
+3.7898 |
+$431,776 |
+10.79% |
$311,734 |
| 2025-09 | $10M |
$114,611 |
+0.4144 |
+$45,670 |
+0.46% |
$204,479 |
| 2025-10 | $10M |
$110,004 |
+10.6035 |
+$1,194,352 |
+11.94% |
$1,661,946 |
| 2025-11 | $10M |
$84,494 |
+11.9170 |
+$1,184,069 |
+11.84% |
$1,167,180 |
| 2025-12 | $1M |
$87,506 |
-0.3345 |
-$28,907 |
-2.89% |
$8,445 |
| 2026-01 | $1M |
$78,278 |
+0.9314 |
+$83,339 |
+8.33% |
$120,753 |
| 2026-02 | $2M |
$67,116 |
+2.3547 |
+$161,864 |
+8.09% |
$152,759 |
| 2026-03 | $2M |
$68,671 |
+3.8012 |
+$264,851 |
+13.24% |
$265,228 |
| 2026-04 | $2M |
$77,174 |
+2.6186 |
+$181,740 |
+9.09% |
$16,084 |
| 2026-05 | $2M |
$73,782 |
+0.3299 |
+$27,622 |
+1.38% |
$0 |
| 2026-06 | $2M |
$58,696 |
-0.1496 |
-$9,259 |
-0.46% |
$0 |
| 2026-07 | $2M |
$62,996 |
+0.5939 |
+$37,637 |
+1.88% |
$0 |
| 2026-08 | $2M |
$78,650 |
+0.5010 |
+$38,658 |
+1.93% |
$-118 |
| 2026-09 | $2M |
$78,127 |
+0.5333 |
+$41,766 |
+2.09% |
$0 |
| TOTAL | | |
+35.4934 |
+$3,655,178 |
+78.69% |
$3,908,490 |
ZAVARA HOLDINGS LLC | CONFIDENTIAL - For qualified counterparties only
This document is a software performance track record provided for informational purposes only. It does not constitute an offer to sell, a solicitation to buy, investment advice, portfolio management, or any regulated financial service. Zavara Holdings LLC is a software vendor that licenses trading signal generation software to qualified counterparties under a Software License and Services Agreement. Zavara does not manage accounts, hold client funds, exercise discretion over individual trading decisions, or act as an investment manager, investment adviser, fiduciary, or broker. The counterparty independently determines that the software is appropriate for their circumstances and bears full responsibility for all trading outcomes.
Performance data is sourced from Deribit production accounts operated by the counterparty under software license. Returns are calculated on allocated capital and valued at daily BTC/USD rates. The software operates autonomously on pre-configured algorithmic parameters via trade-only API credentials on the counterparty's own exchange account. All P&L figures exclude spot BTC/USDC conversions which represent profit extraction. Past performance of the software is not indicative of future results. Digital asset derivatives trading involves substantial risk, including the potential total loss of all capital. Sharpe and Sortino ratios annualised using sqrt(365). Max drawdown measured on cumulative % return series. Unaudited.
Generated 2026-09-14 10:00 UTC