Premium Distribution Simulator

Monthly laddered options strategy with rolling positions — compare 3 distribution policies

A: 0% dist
B: 50% dist
C: 100% dist

Strategy A: 0%

0% (Accumulate) 100% (Income)
Final NAV: 1.015096 BTC (+1.51%)

Strategy B: 50%

0% (Accumulate) 100% (Income)
Final NAV: 1.005295 BTC (+0.53%)

Strategy C: 100%

0% (Accumulate) 100% (Income)
Final NAV: 1.000204 BTC (+0.02%)

Annual Yield: 2%

0.5% 10%
Weekly yield: 0.0385%

Quick Reference

  • • 0% = NAV grows (yield on redemption)
  • • 100% = NAV flat (weekly income)
  • • Annual yield: 2% net / 2.4% gross
  • • Exercise @ W25 = -0.5% NAV drawdown
  • • NAV < 1 = 50%+ reduced distribution

Model Assumptions

Premium Strategy

  • • 1 exercise event @ Week 25 – Option exercised ITM, causing 0.5% NAV drawdown
  • • Monthly laddering – Staggered expiries (weekly tranches) for smoother income
  • • Rolling positions – Each tranche rolled at expiry to maintain exposure
  • • Constant volatility – Implied vol assumed stable for premium pricing

Fee Structure

  • • 15% haircut – Management/performance fee applied to gross premium
  • • Net yield ~2% p.a. – After fees, based on ~2.35% gross premium income
  • • No trading costs – Execution fees excluded from this simulation

NAV Protection Rule

  • • NAV < 1.0 → Reduced distribution – 50% cut + NAV/1.0 scaling
  • • Haircut waived – 15% fee redirected to NAV, accelerating recovery
  • • Steeper recovery slope – More retained premium = faster return to par

This simulator is for illustrative purposes only. Actual returns may vary based on market conditions, option exercise events, and changes in implied volatility. Past performance does not guarantee future results.