Gammon Capital

Practice · Digital-Asset Treasuries

Derivatives advisory for bitcoin and digital-asset treasuries.

Defend the balance sheet. Drive the narrative.

A bitcoin or digital-asset treasury sits implicitly short volatility AND implicitly long basis, financing, and counterparty risk it was never paid to hold. Drawdowns concentrate decisions (margin calls, financing renegotiations, dilutive issuance) at the worst possible price. Done well, the same exposure is engineered into a posture the regime calls for, using the full derivatives toolkit (volatility, futures and basis, swaps, structured products, financing trades). Long, short, structured, or layered, sized inside policy, and presented to the market through disclosure and structured products that drive trading volume rather than discount-to-NAV.

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Engagements are limited to accredited investors, qualified clients, and qualified eligible persons.

Who it serves

Built for the people who sign the policy.

Public companies that hold bitcoin, ether, Solana, or other digital assets as a treasury reserve. The work is written for the four seats that own the decision and answer for it afterward.

CFO

Owns the liability calendar, the financing plan, and the earnings-call answer on hedging. Needs every derivatives decision traceable to a policy the board already approved.

Treasurer

Runs the rolls, the collateral calls, and the dealer relationships. Needs a sizing matrix, a roll calendar, and a multi-dealer pricing record that survives an audit.

Audit committee

Signs off on accounting elections, disclosure, and controls. Needs a monthly board pack that ties every position back to permitted instruments and limits.

Board

Approves the policy, the approval tiers, and the risk appetite. Needs to understand what the program does in a 50% drawdown before it happens, not after.

Bitcoin treasuries

The deepest listed and OTC options market in digital assets, and the most common financing stack: convertible notes, perpetual preferreds, at-the-market equity, and BTC-backed loans. The binding constraints are usually convert puts and maturities, preferred dividend coverage, and mNAV.

Ether treasuries

A liquid but thinner options surface than BTC, plus staking. Staked and liquid-staked ETH changes what a dealer will accept as collateral, and staking yield has to be weighed against the cost of a hedge that may require unstaked collateral.

Solana and other reserve assets

Listed options depth falls off quickly beyond near tenors, so longer-dated protection usually prices OTC, and proxy hedges in BTC or ETH carry basis risk the policy has to name. Lockups and validator economics shape what can be pledged.

Pain → Posture

What changes when the architecture is right.

Five places the naive treasury breaks, and the operator-state we work toward in each.

From

A 60% drawdown forces selling at the bottom because converts mature into a bear market.

To

Liability ladder, liquidity buffer, and overlays 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 dealer bids you wide because they know your flow and they’re paid on the spread.

To

Multi-dealer access on every roll. Pricing discipline. ISDA / CSA terms negotiated for an issuer, not a fund counterparty.

From

Hidden concentration and counterparty risk in the market (names, financing structures, rehypothecation chains) that nobody on staff is positioned to see.

To

An advisor whose job is seeing those things first. When a client engagement began in late 2024, we flagged the credit quality of its incumbent options dealer and migrated the book to ISDA’d tier-one dealers and listed options. The last positions with that dealer expired about three and a half months before it halted withdrawals in February 2026.

From

IR can’t articulate the hedging program; analysts give it no credit; the discount-to-NAV widens.

To

Disclosure language, IR posture, and structured products that drive trading volume and the right narrative to the street.

Instruments we advise on

The full treasury toolkit, priced before it is signed.

Gammon advises; the client decides and implements. Each instrument below is evaluated against the company's liabilities, policy limits, and accounting elections, and every trade is bid out across multiple dealers before the client executes in its own name.

Long puts

A floor under the reserve for a known premium. We match tenor to the liability dates the floor protects and size premium spend to the policy budget.

Put spreads

Protection across a band rather than to zero, for less premium. Fits when the risk the board cares about is a covenant, LTV trigger, or mNAV threshold, not total loss.

Collars

A put financed by selling upside. Zero-cost is a strike choice, not free protection; we set the call strike so the treasury keeps the upside its equity story depends on.

Call overwrites

Premium collected for capping upside. Often marketed as income; on a treasury balance sheet it is a short-convexity position, and we size it as one.

Futures and basis

Hedges or synthetic exposure without moving coins, and basis capture when the curve pays for it. The cost is margin, so the liquidity buffer is sized before the position.

BTC-backed loans

Liquidity without selling. The rate is rarely the term that matters; LTV triggers, margin-call cure periods, and rehypothecation rights decide the outcome in a drawdown.

Convertible notes

Cheap coupon in exchange for a call sold to the convert desk, plus holder puts and maturities that can land in a bear market. We price the embedded options before the terms are set.

Preferreds

Perpetual capital with a fixed dividend. The question is dividend coverage through a drawdown and what the call, conversion, and step-up features cost the common holder.

ATM programs

Issuance that is accretive above 1x mNAV and dilutive below it. We model issuance pace against the premium so the program does not compress the multiple it relies on.

Worked detail on the two structures boards ask about most: collar strategy for a bitcoin treasury and the risk inside a convertible note.

The CFO outcome

Job security in the meltdown. Competence in the headline.

The CFO who comes through a regime change is the CFO whose derivatives program has a written audit trail, a board-approved sizing matrix scoped to the full toolkit, and a counterparty stack that bids for the flow rather than away from it. Defending the balance sheet in public is a different career arc than defending it in private.

Defensible by paper

Every recommendation is grounded in a board-approved policy with sizing limits, regime triggers, and an audit log. The CFO never has to extemporize on the call.

Friendly to the market

Disclosure language, IR posture, and the structured products coming off the program are calibrated to drive volume and shape the narrative, not to suppress vol for its own sake.

Compounding

Each engagement layer earns the next: governance → sizing → overlay → board pack → IR → narrative → volume / NAV-discount compression → expanded overlay capacity. The architecture compounds.

Two-way mandates

Same spine, both directions.

The framework that governs accumulation governs rotation and disposition. A treasury sometimes sells, to fund operations, to retire shares at a discount, to rebalance the asset mix, or under stress; the same regime triggers, the same governance discipline, and the same counterparty leverage apply.

Routine rotation

Programmatic sales of crypto into USD for opex, debt service, or to fund stock buybacks (especially value-accretive when shares trade at a discount to net asset value). Sized inside policy, executed on a schedule, governed by the same spine that governs the buy side.

Discretionary repositioning

Allocation changes between assets, between custodians, or out of the program entirely. Driven by mandate, not by panic. Disclosed cleanly. Hedged through the transition. The board approves the move before the trade hits the tape.

Stress liquidation

Forced sales triggered by covenant pressure, margin calls, or runway compression. The discipline that governs these is the discipline that prevents most of them: liquidity buffers, regime triggers, pre-authorised responses. The board never improvises under fire.

Strategic Treasury Network

Counterparties that bid for your flow.

Pricing power on every roll. Operator-level intelligence the rest of the market doesn’t see. And derivatives products you can offer your own clients.

Multi-dealer pricing

Curated access to OTC options desks, futures and basis desks, structured-product desks, financing counterparties, and prime brokers vetted for digital-asset workflow. Pricing discipline on every roll, every leg.

Operator backchannel

Industry-level intelligence on financing flows, rehypothecation patterns, and 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.

Products for your investors

We engineer derivatives products the DAT itself can offer to its institutional investors and trading partners, turning the treasury into a product platform.

How the counterparty layer works, and how a multi-dealer quote runs: the Strategic Treasury Network.

First 90 days

A defensible chassis, on a calendar.

The Core Architecture Mandate is delivered as a 90-day engagement with named outputs. Specifics adjust to the balance sheet; the cadence does not.

  1. 01 · Days 0–30

    Diagnostic

    Balance-sheet review, decision-rights memo drafted, sizing matrix v0, counterparty inventory, ISDA gap analysis kicked off.

  2. 02 · Days 30–60

    Policy

    Derivatives policy v1, board-pack v1, IR posture review, scenarios run against the current book.

  3. 03 · Days 60–90

    Activation

    Board adoption, overlay program design, counterparty introductions, first monthly board pack delivered.

  4. 04 · Year 1+

    Cadence

    Overlay activated and reviewed, monthly board pack, pre-trade advisory on every proposed transaction.

For the canonical service-line definitions, see the eight service lines.

Reference library

Reference pages for bitcoin treasury derivatives.

Each page answers one question a CFO, treasurer, or audit committee asks before approving a derivatives program.

Questions

Frequently asked questions.

What does a derivatives advisor do for a bitcoin treasury company?
We write the derivatives policy the board approves, design hedges and overlays against the company's actual liabilities, price the embedded options in proposed converts, preferreds, and loans, run multi-dealer pricing on every trade, and negotiate ISDA and CSA terms. The output is a program the CFO can defend line by line to the audit committee, auditors, and analysts.
Does Gammon Capital execute trades or hold the company's bitcoin?
No. Gammon is a non-discretionary advisor. Every recommendation is subject to client approval, the client executes in its own name with its own counterparties, and custody stays with the client's custodian throughout. Gammon is paid by the client, not by dealer spread.
Should a bitcoin treasury hedge at all?
It depends on the liabilities. A treasury with no debt, no preferred dividends, and years of operating runway can carry unhedged exposure by design. A treasury with convert puts, loan LTV triggers, or dividend obligations inside the next two years is already short volatility whether or not it trades a derivative. The policy should state which case applies and what the response is.
What does the board need to approve before the first hedge?
A written derivatives policy covering permitted instruments, sizing limits, premium budget, approval tiers with named signatories, counterparty limits, regime triggers, and reporting cadence. Without it, each trade is an ad hoc decision the CFO has to defend after the fact.
Do you advise ether and Solana treasuries, or only bitcoin?
All three, and other reserve assets. The governance framework is the same. What changes is market depth: ETH options are liquid but thinner than BTC, staking complicates collateral, and SOL protection beyond near tenors usually prices OTC or through proxy hedges with basis risk the policy has to name.

Engagement

Capacity-gated. Non-discretionary throughout. Custody never with us.

All recommendations are non-binding and subject to client approval. Engagements run on a 12-month initial term with annual renewal; either party can wind down with sixty days' written notice. Counterparty relationships and custody remain with the client throughout.

Request Capacity

Engagements 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.