Ethereal Capital · Proprietary Trading
A quantitative market-making platform built to capture spread, decay, and structural advantage across CME futures options.
Ethereal Capital is the financial intelligence of the Ethereal Group. We operate a systematic market-making platform targeting CME futures options — posting two-sided quotes across strikes and expirations, earning bid-ask spread on round-trips, and harvesting theta on net option positions.
Our edge is structural: SABR-calibrated volatility surfaces with realized vol tracking, multi-factor inventory management weighted by Greeks, cross-product regime awareness, and automated risk controls — executed faster and more consistently than manual traders in illiquid option markets.
Every CME futures option we trade qualifies for Section 1256 treatment — 60/40 long-term/short-term capital gains regardless of holding period. Combined with the broader Ethereal Group tax strategy, this creates a material after-tax advantage that compounds over time.
Spread capture, theta harvesting, and tax-efficient yield — each reinforcing the others across every instrument we quote.
Each round-trip — buy at bid, sell at offer — earns the quoted spread minus commissions. Our quoter posts continuous two-sided markets across the strike/expiry grid, optimizing width for fill probability and edge.
Net short option positions decay in our favor daily. The inventory skew system naturally accumulates short positions in overpriced wings, turning time decay into a persistent, measurable revenue stream.
Section 1256 contracts receive automatic 60% long-term / 40% short-term capital gains treatment. At the top bracket, this saves ~10 percentage points versus ordinary income — a structural advantage that compounds.
Every component — from vol surface calibration to order execution — is purpose-built for the unique challenges of futures options market making.
Hagan (2002) stochastic vol model calibrated per expiry with staleness-weighted fitting, realized vol shading, and total variance interpolation across the term structure.
Event-driven quote generation with Greeks-weighted inventory skew, convex position penalties, age-adjusted urgency, and adaptive BBO undercutting.
Pre-trade Greek limits, daily P&L kill switch, automatic delta hedging, cross-product vol regime detection, and graduated portfolio overlays.
Vectorized Black-76 pricing with closed-form Greeks, implied vol inversion via Brent's method, and delta-scaled theo floors for adverse selection protection.
Five observation-mode signal overlays — variance risk premium, expiry pin risk, event vol crush, intraday activity detection, and cross-product vol skew.
Async order lifecycle management with token-bucket rate limiting, reconnection logic, fill handling, and hedge routing across products.
We don't compete on latency. Our edge comes from superior vol surface modeling, intelligent inventory management, and disciplined risk controls — advantages that compound with time, not hardware.
Every parameter is calibrated, every risk limit is enforced programmatically, and every decision is logged. The platform removes emotion and inconsistency from market making.
Instrument selection, holding period, and entity structure are designed from the ground up to maximize after-tax returns. The 1256/REPS combination is not an afterthought — it's a core strategy pillar.
Launch with micro gold and micro ether options. Validate strategy, establish track record, refine vol surface and inventory management.
Scale to full-sized contracts and additional asset classes. Add outright futures trading and directional delta overlays.
NFA registration as a proprietary trading firm. CME market maker programs with fee rebates, reduced margin, and allocation priority.
OTC block trading, cross-exchange arbitrage, equity options expansion, and volatility product market making.