About
Volatility is structural. We treat it that way.
Gammon Capital was founded in 2015 in New York to apply institutional volatility-trading discipline to balance sheets and books that traditionally sat passively short volatility. The firm anchors a focused advisory practice for digital-asset treasuries and institutional capital, expressing volatility long, short, or structured as the regime warrants, sized inside policy, governed by an audit-ready process, and aligned with the client rather than the spread.
Why we’re different
Most advisors in this space pitch what they have, not what fits.
The category sells call-overwrites and inefficient loans because that’s what their balance sheets and product shelves are built around. We are paid by the client, not by the trade, and the career we’re drawing on is one built around the trade most of the industry can’t price.
Aligned, not adversarial
Dealers price off their own inventory and are paid on the spread. We are paid by the client, sit on the client’s side of the table, and run multi-dealer pricing on every roll. The two are complements, not substitutes, but only one of them works for you.
Tail-risk pedigree, not a back-test
One of the largest open-interest holders in triple-leveraged ETF options during the March 2020 COVID dislocation. Special-situations options vol trading at Barclays Capital. Biotech catalyst trading. Twenty-plus years of being right on the gap.
Hidden risk is our job
Eighteen months before the BlockFills counterparty failure in 2026, we identified the funding-and-rehypothecation pattern in the firm’s public disclosures and walked our clients out of the exposure. They came through intact. The market still has hidden concentration risk; we help defend against it.
Market-friendly outcomes
The right hedging program isn’t just defense. Done well, the disclosure language and the structured products coming off the program drive trading volume, the right narrative to the street, and NAV-discount compression. The flywheel is the point.
Founder & CIO
Michael Mescher
Michael Mescher is the Founder and CIO of Gammon Capital. An expert in derivatives markets and hedging techniques, he has spent the last twenty-plus years building, sizing, and governing volatility positions across regimes, risk arbitrage, biotech catalysts, levered-ETF tail trades, and the COVID dislocation among them.
He was previously a Partner and Equity Options Portfolio Manager at Ronin Capital, focused on index options and volatility trading. From 2008 to 2012 he was Head of Special-Situations Options Volatility Trading at Barclays Capital, building strategies around risk arbitrage and event-driven catalysts, an environment defined by gap risk and binary outcomes, the same payoff geometry that defines a digital-asset balance sheet today. He began his career in equity derivatives at Chicago Trading Company.
In March 2020 the firm was one of the largest open-interest holders in triple-leveraged ETF options as the COVID dislocation reshaped equity volatility. The Gammon Tailwind fund, launched in 2019, was named by the Financial Timesin 2020 among the publication's top-performing managers of that period; that vehicle is not currently open for investment. The advisory practice now anchors the firm.
Operating model
Non-discretionary throughout. Custody never with us.
All advice from Gammon Capital is non-binding and subject to client approval. The firm does not take physical custody of any client asset; all assets remain with a custodian selected by, and contracted with, the client. Gammon Capital is not registered as an investment adviser with the U.S. Securities and Exchange Commission under the Investment Advisers Act of 1940.
Engagements run on a 12-month initial term with annual renewal; either party may wind down with sixty days' written notice. Counterparty relationships, custody, and the books and records of the client remain the client's throughout. Engagements are accepted by application; capacity is constrained by intent.
Philosophy
Right-sized vol expression. Architecture before tactics.
Vol expression, sized by regime
Long convexity is not a religion; neither is yield. The right expression depends on the balance sheet, the regime, and what the board has authorized. We design the program; the client implements.
Architecture before tactics
Liabilities, liquidity, and decision rights come before any options trade. Most blow-ups are balance-sheet failures dressed as bad trades.
Capacity over scale
We cap the number of treasuries and books we advise each year. The work earns its way into the portfolio of clients, not the other way around.
Talk to us.
Request CapacityEngagements are limited to accredited investors, qualified clients, and qualified eligible persons.
Derivatives, digital assets, and overlay strategies involve substantial risk, including the risk of total loss. Past performance is not indicative of future results.