Volatility · Policy · Governance
Defend the balance sheet. Drive the narrative.
Gammon Capital is a non-discretionary derivatives advisor. We design the hedging program, board policy, and counterparty stack public-company digital-asset treasuries, hedge funds, and family offices use to compose volatility on their own terms, long, short, structured, or layered, sized by regime and aligned with the client.
Engagements are limited to accredited investors, qualified clients, and qualified eligible persons.
- Headquarters
- New York
- Mandate
- 8 service lines
- Engagement
- Non-discretionary
- Capacity
- By application
Pain → Posture
What changes when the architecture is right.
The pattern under most blow-ups isn’t a bad trade. It’s a balance sheet, a policy, and a counterparty stack that weren’t built for the regime that arrived. We work on all three, and on the hidden risks the rest of the market is missing.
From
A 60% drawdown forces selling at the bottom because converts mature into a bear market.
To
Liability ladder, liquidity buffer, and hedges sized to absorb the worst quarter you actually plan against.
From
The board approves a derivatives policy nobody in the room can defend in detail.
To
A written policy with sizing limits, regime triggers, and approval rights the audit committee, CFO, and chair all read from.
From
Your counterparties bid you wide because they know your flow and you have nowhere else to go.
To
Multi-dealer access, ISDA / CSA terms negotiated for an issuer, and pricing discipline on every roll.
From
Hidden concentration risk in the market (names, financing structures, rehypothecation chains) that nobody on staff is positioned to see.
To
An advisor whose career is the business of seeing those things first. We called a major industry counterparty failure 18 months before it happened in November 2022, and walked our clients out intact.
From
IR can’t articulate the hedging program on the call; analysts give it no credit; the discount-to-NAV widens.
To
Disclosure language, IR posture, and structured products designed to drive trading volume and the right narrative to the street.
Edge
Pedigree in the trade most of the industry can’t price.
Most firms servicing this space pitch vanilla call-overwrites or inefficient loans designed to milk DAT investors. We are paid by the client, not the spread, and the career we’re drawing on is one built around exactly the gap-risk geometry that defines a digital-asset balance sheet.
Special-situations options
Risk-arbitrage, M&A, and event-driven options trading at Barclays Capital. The job was pricing the gap, what happens when the binary outcome resolves and the market reprices in step-functions, not Brownian motion.
Biotech catalyst trading
Binary FDA outcomes have the same payoff geometry as a treasury hitting a margin call. Knowing how to size, hedge, and sleeve catalysts is how you survive them. Same muscle, different asset class.
Tail-risk pedigree
One of the largest open-interest holders in triple-leveraged ETF options during the March 2020 COVID dislocation. We do not learn what tail risk looks like from a back-test, we’ve been positioned for it.
That career translates directly to the digital-asset balance sheet. The same gap-risk geometry plays out at higher amplitude in a 24/7 market, and most advisors in this space do not have a portfolio manager whose job was structuring around it.
Who we work with
Treasuries first. Funds and family offices second.
Same framework, vol expressed both ways, sized by regime, governed by policy, aligned with the client, applied at two different points on the capital stack.
Digital-asset treasuries
Public-company treasuries holding BTC or other reserve assets, converting an implicit short-vol position into a defensible hedging program the board can sign off on. We also design derivatives products you can offer your own clients and trading partners.
Learn moreHedge funds & family offices
Allocators and operators using overlay design, structured exposure, and counterparty discipline to shape return profiles around an existing book.
Learn moreCapabilities
Eight service lines, one mandate.
Each capability is delivered as part of an integrated mandate, not a menu of one-offs. Engage the spine and add modules as the balance sheet evolves.
Governance Spine
Decision rights, sizing limits, approval workflows, and audit trail. The board sees a coherent record; the desk operates inside well-defined rails.
Board Pack
One monthly document that the audit committee, the CFO, and the board chair all read from. Performance, risk, scenarios, and capital-allocation recommendations.
Derivatives Governance
An overlay policy with explicit sizing rules, roll cadence, regime triggers, and reporting designed to survive auditor scrutiny and personnel turnover.
Balance-Sheet Architecture
Liability mapping, forced-sale avoidance, liquidity buffer design, and a capital structure that holds together through a regime change rather than a stress test.
Capital-Markets Advisory
Pre-trade convexity and risk consultations on proposed financings, equity issuance, converts, and balance-sheet transactions. Pre-trade, not post-mortem.
Convexity Audit
We map every asymmetric payoff already on the book, including the ones nobody named as such, and identify the cheapest places to add convexity.
IR & Disclosure Posture
How the company talks about volatility, hedging, and balance-sheet posture, to the market, to lenders, to its own investors.
Counterparty Stack
Multi-counterparty access, ISDA / CSA negotiation support, pricing discipline, and execution workflows so quality of fills doesn't depend on a single relationship.
Strategic Treasury Network
Your counterparty stack, on your side of the table.
The dealer is paid on the spread. Gammon is paid by the client. Once you internalize that, every advantage in the network falls out of it.
Multi-dealer pricing
Curated access to OTC dealers, options market-makers, and prime brokers vetted for digital-asset workflow. Pricing power on every roll.
Operator backchannel
Industry-level intelligence, financing flows, rehypothecation patterns, hidden concentration risks, that no single client surfaces alone.
Issuer-grade ISDA
CSA terms, eligible collateral, and termination language negotiated for a public-company issuer, not a fund counterparty.
Product engineering for your clients
We design and structure derivatives products the DAT itself can offer to its institutional investors and trading partners, turning the treasury into a product platform.
Client Intelligence Hub
The work doesn’t come from a status email on Friday.
Each engagement is anchored to a private hub the CFO, treasurer, and audit-committee chair use every week. Daily intelligence. Live overlay performance. Document vault. Scenario triggers. Network access.
Daily intelligence brief
What your counterparties priced overnight, what financing windows opened or closed, what regulatory or market-structure signals matter for your book today.
Overlay PnL · live
Every overlay leg, mapped to portfolio Greeks, settled against your benchmark hurdle. Auditor-ready export on demand.
Counterparty pricing matrix
Multi-dealer indications across the products you trade, refreshed throughout the day. The dealer knows you have other quotes.
Document vault
ISDAs, CSAs, trade confirms, board packs, policy versions. Versioned, audit-logged, searchable.
Scenario monitor
Live status against the regime triggers in your policy. Green / amber / red on each indicator, with the pre-defined response next to it.
Network access
Anonymous peer comparisons across the Strategic Treasury Network. What other operators are pricing, hedging, and disclosing, without anyone disclosing themselves.
Compounding
Each layer feeds the next.
We design the engagement so every output earns the next one. The policy informs the overlay; the overlay informs the board pack; the board pack informs IR; the IR posture drives narrative; the narrative drives volume and NAV-discount compression, which expands capacity for the next overlay. The architecture compounds.
- 01
Governance spine
Decision rights and sizing rules
- 02
Overlay program
Right-sized vol expression
- 03
Board pack
Defensible monthly artifact
- 04
IR posture
Disclosure aligned to policy
- 05
Market narrative
Volume + NAV-discount compression
- 06
Expanded capacity
Larger overlay, larger network
Background
Twenty-plus years of regime change, applied to the digital-asset balance sheet.
Gammon Capital was founded by Michael Mescher. Prior seats: Head of Special-Situations Options Volatility Trading at Barclays Capital; previously a Partner and Equity Options Portfolio Manager at Ronin Capital. Gammon's fund vehicle was named by the Financial Timesamong the publication's top-performing managers.
“Hedge fund Gammon gains 600% with well-timed bets on volatility.”
Insights
Operator notes from the desk.
Bi-weekly. Long-form. For treasurers, board members, and allocators who want the mechanics, not the headlines.
Treasury Engineering
Why a BTC treasury is implicitly short volatility
A balance sheet built around BTC reserves carries a structural short-volatility exposure most boards never name. Naming it is the first step toward fixing it.
Read the noteCapacity
Survive the next regime change. Display competence to the market.
The CFO who comes through a meltdown is the CFO whose hedging program has a written audit trail, a board-approved sizing matrix, and a counterparty stack that bids for the flow rather than away from it. We work with a small number of clients each year. If you want a call, ask.
Engagements are limited to accredited investors, qualified clients, and qualified eligible persons.