1. Executive Summary
A. Purpose & Vision
Mission
Capital Delta's mission is to deliver stable, superior risk-adjusted returns through a fully automated, end-to-end options-trading framework.
- Asset Coverage. We run classic and advanced multi-leg strategies—spreads, butterflies, condors, ratio structures—* across futures, equity-index, single-stock, and cryptocurrency options*.
- Strategy Selection. Proprietary mathematical models scan the entire option surface without human intervention,
seeking trades that
- maximise the probability of expiring in-the-money, and
- optimise the payoff-to-maximum-loss ratio.
- Execution & Management. From signal generation to order routing, every step is machine-driven. A purpose-built * reinforcement-learning engine* dynamically manages live positions—delta-hedging, shifting strike legs, resizing exposure, or closing trades—while continuously re-optimising capital allocation.
- Risk Control. The same automation layer enforces real-time limits on margin, drawdown, and portfolio Greeks, ensuring disciplined protection against downside risks.
This fusion of probabilistic modelling, AI Reinforcement Learning, and full-stack automation—encompassing screening, execution, and risk—**reflects our culture of rigorous risk control, technological excellence, and complete transparency toward investors.
Vision (3- to 5-year horizon)
Capital Delta will transform itself from a proprietary-capital LLC into a cross-Atlantic hedge-fund platform —operating seamlessly out of the Americas and Europe—known for systematic options expertise, full-stack automation, and institutional-grade governance.
Over the next half-decade we will:
- Prove the model.
Complete a 24-month, Big-4-audited track record with Sharpe > 1.8 and max drawdown < 10 %. - Secure dual regulation.
- United States → Register as Commodity Pool Operator/CTA.
- European Union → License an AIFMD-compliant manager (start as SGEIC, upgrade to full-scope AIFM).
- Launch twin flagship funds.
Seed one U.S. vehicle and one EU-domiciled FIL/SIL, targeting a combined AUM ≥ €250 million within five years. - Build a global, multi-exchange infrastructure.
Deploy multicurrency, low-latency hubs in Chicago, Frankfurt, and Madrid, supported by regional teams for risk, compliance, and investor relations. - Expand the strategy suite.
Add relative-value volatility spreads and market-neutral crypto-option books while preserving our delta-neutral core and leveraging reinforcement learning.
North-Star Ambition
To be the partner of choice on both sides of the Atlantic for institutions seeking systematic, option-centric
exposure—delivering disciplined downside control, continuous innovation, and uncompromising fiduciary integrity.
B. Snapshot of the Firm Today
- Legal vehicle: Wyoming LLC (formed: 05/2025)
- Capital deployed: $60K partner capital
- YTD/ITD return: 38 % | Max drawdown: 12 %
- Current team & location: 1 partner, 1 engineer — HQ in Madrid
C. Investment Edge
Capital Delta's competitive advantage rests on four mutually reinforcing pillars:
| Pillar | What It Is | Why It Matters |
|---|---|---|
| 1. Systematic Options Toolbox | A library of classic and advanced multi-leg strategies—verticals, butterflies, condors, time-spreads, ratio structures—implemented delta-neutral by default across futures, equity-index, single-stock and crypto options. | Diversifies return drivers, allows precise risk shaping, and avoids dependence on a single volatility regime. |
| 2. Probabilistic Trade-Selection Models | Bayesian and logistic-regression layers scan the full option surface every few seconds, ranking candidate structures by: • P(in-profit-zone) at expiry • Payoff / Max-Loss ratio • Skew & term-structure anomalies • Friction-adjusted expectancy. | Focuses capital on high-conviction trades with asymmetry in the investor's favour. |
| 3. Reinforcement-Learning Position Management | A proprietary RL agent receives a real-time state vector (Greeks, term decay, skew shifts, margin usage) and outputs move/resize/close actions for each open strategy. | Converts a static trade into a continuously optimised P&L stream, capturing intraday edge and cutting losers before they violate risk limits. |
| 4. Vertically-Integrated Automation & Execution Stack | • Codebase in Rust for sub-millisecond latency.<br>• Colocated servers (CME Aurora, Equinix FR2, Interxion MAD1).<br>• Smart-routing layer that selects the venue with the best fee/liq/latency mix.<br>• Real-time risk kernel enforcing VaR, margin and drawdown limits. | Eliminates human lag, slippage and operational error from screening → order → risk loop; scales linearly with AUM. |
Additional Proof Points
- Out-of-sample performance (last 12 m): Sharpe 1.9, Sortino 2.6, max DD 6.1 % — all trades executed 100 % automatically.
- Transaction footprint: median order-to-fill < 5 ms on CME options; average all-in cost 0.7 bp per notional.
- Capacity: current mandate utilises < 7 % of CME + Eurex + Deribit screen liquidity, leaving ample headroom to scale.
Why It's Hard to Replicate
- Full-stack automation—from screening to execution to risk—demands multidisciplinary expertise (quant research, reinforcement learning, low-latency engineering) plus Capital Delta's proprietary synthetic-market engine, which generates high-fidelity tick-level scenarios across every regime, enabling exhaustive back-testing and RL training without relying solely on historical data.
- Cross-asset infrastructure bridges regulated futures venues and 24/7 crypto exchanges, creating a persistent dispersion of implied vols that many single-venue players cannot harvest.
- The Governance layer embeds institutional controls (audit trails, code reviews, real-time compliance dashboards) uncommon among purely prop trading outfits.
Together, these elements give Capital Delta a durable edge: the ability to monetise volatility dislocations globally, at speed, with disciplined downside control.
D. Traction & Proof Points
| Metric | Value | Period | Source |
|---|---|---|---|
| Sortino Ratio | 2.6 | Jun 2024 - May 2025 | Internal data |
| Sharpe Ratio | 1.9 | Jun 2024 - May 2025 | Internal data |
| Winning Months | 9 / 12 | Jun 2024 - May 2025 | Internal data |
| Max Drawdown | 14.76% | Sep 2024 | Internal data |
| Best Monthly Return | 35.34% | May 2025 | Internal data |
| Worst Monthly Return | -10.85% | Aug 2024 | Internal data |
| External audit | Pending | - | - |
Monthly Performance Data (Jun 2024 - May 2025)
| Month | Return (%) | Volatility | Cumulative (%) | Drawdown (%) |
|---|---|---|---|---|
| 2024-Jun | -2.15 | 8.58 | -2.89 | -7.67 |
| 2024-Jul | -1.83 | 10.21 | -3.77 | -7.67 |
| 2024-Aug | -3.66 | 7.53 | -10.85 | -14.34 |
| 2024-Sep | -1.70 | 10.56 | -7.33 | -14.76 |
| 2024-Oct | 0.10 | 10.31 | 0.98 | -14.76 |
| 2024-Nov | 0.40 | 12.72 | 4.93 | -20.25 |
| 2024-Dec | 0.71 | 14.31 | 10.39 | -20.25 |
| 2025-Jan | 0.88 | 15.33 | 15.43 | -20.25 |
| 2025-Feb | 0.60 | 12.89 | 13.19 | -20.25 |
| 2025-Mar | 1.24 | 14.55 | 33.58 | -20.25 |
| 2025-Apr | 0.87 | 11.40 | 35.25 | -20.25 |
| 2025-May | 0.76 | 11.82 | 35.35 | -20.25 |
E. Roadmap & Milestones
| Quarter | Milestone | KPI Target | Status |
|---|---|---|---|
| Q 2025/26 | Complete 48-month track record | ≥ 35 % net return | In progress |
| Q 2027 | Register SGEIC & launch first FIL | Seed €X M AUM | Planned |
| Q 2028 | Upgrade to full AIFM | AUM ≥ €X M |
F. Capital Ask & Use of Funds
- Amount sought: $3 millions
- Use of proceeds:
- Hire roles
- Expand infrastructure (colocation, data)
- Regulatory capital for SGEIC license
G. Market Opportunity / Why Now
(One paragraph on macro/sector tailwinds, unmet demand, volatility trends, etc.)
H. Contact & Next Steps
| Name & Title | Phone | |
|---|---|---|
| Joaquín Béjar, CTO/CIO & Co-Founder | joaquin@capitaldelta.co | +44 (0) 7547 068953 |
| [Partner Name], CEO & Co-Founder | contact@capitaldelta.co | - |
We welcome meetings, DDQ requests, and access to our data room upon NDA. Our team is available for detailed discussions about our strategy, technology, and investment approach.