The Quantitative Delta-Hedging & Volatility Parameter Matrix

Systematic 0.18 Delta Overlay Calibration, Asymmetric Put Budgets & VIX Regimes

FLOURISH MANAGEMENT

Investment Committee Directive

RESTRICTED ALLOCATOR CIRCULATION

1 THE 0.18 DELTA OVERLAY ENGINE (THETA HARVESTING)

Target: 1.0% - 1.5% Monthly Yield

Mandate: Passive long equities surrender severe drawdowns during macro tightening. By writing systematic 0.18 Delta Out-of-the-Money Options on 30- to 45-day cycles, we capture non-linear theta time decay while maintaining an 82% statistical probability of expiring out-of-the-money.

Horizon Horizon (DTE) 30 to 45 Days to Expiration

Delta Strike Selection Δ = 0.16 to 0.18 OTM Calls

Profit Monetization Trigger Close at 80% Max Profit; Roll Out

2 THREE-TIER VIX VOLATILITY REGIME PLAYBOOK

Dynamic Regime Tuning

Regime Level	Market Condition	Derivative Execution Mandate	Portfolio Action
VIX < 15.0	Tranquil / Complacent	Options are cheap. Allocate 1.0% annual cash budget to deep OTM crash puts (90-120 DTE, Δ ≤ 0.05).	[ Buy Insurance ]
VIX 15.0 - 28.0	Normal / Oscillating	Deploy systematic 0.18 delta covered call overlays and cash-secured index strangles. Harvest theta.	[ Active Yield ]
VIX > 28.0	Liquidity Panic / Crash	Monetize appreciated put hedges (+500% to +1,000%). Cease writing short calls into oversold bottoms.	[ Sweep Capital ]

3 ASYMMETRIC TAIL-RISK PUT MONETIZATION RULES

Pre-Committed Exits

Mandate: The most common error in tail-risk hedging is failing to monetize crash insurance before implied volatility collapses. We enforce strict, pre-programmed take-profit tiers regardless of financial news headlines.

Tier 1: Harvest 50% At +500% Gain on Put Contract

Tier 2: Harvest 100% At +1,000% Gain on Put Contract

Redeployment Target Deploy into T-Bills & Dislocated RE

4 COLLATERAL MANAGEMENT & CASH SWEEP PROTOCOL

Zero Counterparty Speculation

A. 100% Cash-Secured Mandate	Never write naked puts or uncollateralized options. All option obligations must be 100% backed by cash in Treasury Bills or underlying unencumbered equity.
B. 4-Week Treasury Bill Ladder	All dry powder cash is swept into revolving 4-week US Treasury Bills, earning risk-free sovereign yield while serving as margin collateral.
C. Weekly Rebalancing Audit	Portfolio beta-weighted delta is reconciled every Friday at 4:00 PM EST. Maximum allowed portfolio beta delta is maintained within -0.15 to +0.35.

Confidential // Strictly For Qualified Institutional Allocators