Hedging a Quanto Perpetual Swap

Hedging a quanto perpetual swap is not straightforward. The added component of correlation risk between two crypto assets complicates things. I will take things from first principles, then provide a more general formula. Assumptions: Symbol: ETHUSD Multiplier: 0.000001 XBT ETHUSD Price: $500 .BETH (ETH/USD Spot Index): $500 .BXBT (XBT/USD Spot Index): $10,000 Scenario 1 – Short ETHUSD and … Continue reading Hedging a Quanto Perpetual Swap