APPROACH
Method Over Prediction.
Our investment approach is built on a single conviction: that consistent results in derivative markets come from systematic process, not directional insight.
01 — PHILOSOPHY
A Quantitative Approach to Options Markets
Grossi Capital does not attempt to forecast market direction. Instead, we identify structural inefficiencies in short-dated options pricing — particularly around dealer hedging behavior, gamma exposure concentrations, and volatility regime transitions — and structure positions that profit from those inefficiencies while maintaining strictly defined downside.
Every trade originates from a deterministic process: a market regime is classified, structural conditions are evaluated against historical baselines, and a position is sized according to pre-established risk parameters. We do not deviate from process based on conviction or recent results.
02 — METHODOLOGY
Three Operational Pillars
Market Structure Analysis
We continuously monitor dealer positioning data, gamma exposure (GEX) levels, and options flow across indexes, ETFs, and select large-cap stocks. These metrics inform our understanding of where reflexive hedging pressure exists in the market and how price action is likely to behave within defined ranges. This is the foundation upon which trade structure decisions are made.
Risk-First Position Sizing
Every position enters the portfolio with a known maximum loss. Capital allocation per trade is determined by current portfolio drawdown levels, recent strategy performance, and the structural characteristics of the position itself. We employ defined-risk spreads exclusively and we maintain hard limits on daily, weekly, and monthly portfolio-level loss thresholds.
Volatility Regime Classification
Our strategy adapts to prevailing volatility conditions through systematic regime classification based on VIX levels, term structure shape, and recent realized volatility. Different regimes warrant different position structures: directional bias is muted in high-volatility environments, premium selling is reduced when volatility risk premium compresses, and exposure scales down during regime transitions. The framework is rule-based and back-tested across multiple market cycles.
03 — INFRASTRUCTURE
Built for Precision.
Our operational infrastructure operates through a regulated broker, providing institutional-grade execution, real-time risk monitoring, and direct market access. Internal tooling — developed in-house over multiple years — handles order flow classification, gamma exposure tracking, regime monitoring, and post-trade review. Every position is logged, every exit reviewed, and every deviation from process documented.
Discipline Compounds.
The principles outlined here are not theoretical. They define every decision in the portfolio.
MEET THE PRINCIPAL →