YieldNest MAX Delta Neutral

MAX LRT Strategies
1

Delta Neutral Strategy Using ynETHx, ynUSDx, and ynBTCx

Objective

This strategy aims to:

  1. Earn yield from yield-bearing assets (ynETHx, ynBTCx, and ynUSDx).

  2. Maintain delta neutrality by offsetting crypto exposure with hedging.

  3. Automate rebalancing to maintain neutral exposure and optimize returns.

Step-by-Step Strategy Implementation

1. Construct the Portfolio with Yield-Bearing Assets

  • Deposit ETH → Get ynETHx (staked ETH with yield).

  • Deposit BTC → Get ynBTCx (staked BTC with yield).

  • Deposit USDC or DAI → Get ynUSDx (yield-bearing stablecoin).

2. Hedge the Portfolio to Maintain Delta Neutrality

Since ynETHx and ynBTCx are exposed to price fluctuations, hedge by:

  • Shorting ETH to offset ynETHx exposure.

  • Shorting BTC to offset ynBTCx exposure.

This ensures that even if ETH or BTC price moves, the portfolio remains delta-neutral.

3. Deploy ynUSDx in Yield-Bearing Pools

  • Provide liquidity in Curve, Aave, Morpho, or similar DeFi protocols.

  • Consider farming opportunities with auto-compounding rewards.

4. Automate Rebalancing Based on Market Movements

Use a volatility-based rebalancing mechanism:

  • Monitor ETH and BTC price movements using standard deviation thresholds (e.g., ±2σ moves).

  • If ETH/BTC price rises too fast → Reduce short positions.

  • If ETH/BTC price drops significantly → Increase short positions.

This ensures that the portfolio stays delta-neutral while maximizing yield.

Expected Returns

| Component | Estimated APR |

|----------------------|------------------|

| ynETHx Staking Yield | 3-6% |

| ynBTCx Yield | 2-5% |

| ynUSDx Yield | 4-8% |

| Hedging Costs (Shorts) | (-1 to -3%) |

| Net Estimated APR | 7-16% |

Risk Considerations

  • Liquidation Risk: Overleveraging short hedges can cause forced liquidations.

  • Funding Rate Sensitivity: Shorting ETH/BTC in perpetual markets incurs variable funding costs.

  • Depegging Risk: ynUSDx should maintain a strong peg to minimize deviations.

Implementation

2 Likes
2

Appreciate you sharing this—super thoughtful and shows deep understanding of how our products can be composed creatively.

Positives

  • Delta neutrality opens up a whole new avenue for risk-adjusted strategies, especially attractive to more conservative DeFi users or institutions.
  • Great synergy across ynETHx, ynBTCx, and ynUSDx—this is the kind of internal composability we aim for.
  • Smart use of volatility-based rebalancing; it adds a dynamic edge without over-engineering.

Considerations

  • Hedging costs and execution complexity could eat into yield—especially during volatile markets or if funding rates flip negative.
  • Shorting via perps introduces centralization and smart contract risk—might be worth exploring hedging through DeFi-native options or basis trades for a cleaner delta-neutral setup.
  • Rebalancing logic needs tight guardrails to avoid whipsaw risk in chop-heavy markets.

We’ll definitely take this into consideration—feels like a strong candidate for our “Advanced Strategy” track once automation and monitoring layers are more robust. Keep this kind of thinking coming; it pushes us all forward.

1 Like