How It Works

Delta-Neutral Position

Delta = how much your portfolio value changes when BTC price moves.

Position	Delta
Long 1 BTC	+1 (moves with price)
Short 1 BTC	-1 (moves against price)
Long + Short	0 (price neutral)

Rhadow holds equal long (spot) and short (perp) positions. When BTC moves:

BTC +10%:

• Spot wBTC: +$5,000
• Short perp: -$5,000
• Net: $0

BTC -10%:

• Spot wBTC: -$5,000
• Short perp: +$5,000
• Net: $0

Funding Rate Yield

Perpetual futures have no expiry. To keep perp price aligned with spot, exchanges use funding:

Every hour:
  If Funding Rate > 0 → Longs pay Shorts
  If Funding Rate < 0 → Shorts pay Longs

Why funding is usually positive:

• Retail traders prefer leveraged longs
• Demand imbalance → longs pay premium to hold
• Rhadow shorts → collects this premium

Historical data: BTC funding positive 70-80% of time, averaging 10-50% APR.

Strategy Lifecycle

IDLE ──────► ACTIVE ──────► CLOSING ──────► IDLE
       │           │              │
       │           ▼              │
       │     REBALANCING          │
       │           │              │
       └───────────┴──────────────┘

IDLE: Wait for positive funding rate above threshold

ACTIVE:

• Collect funding every hour
• Harvest profits to vault (updates share price)
• Rebalance if delta drifts >5%
• Maintain min 20% liquidity

CLOSING: When funding turns negative, unwind position

Share Price Mechanics

Share Price = Total Assets / Total Shares

Total Assets = Vault USDC + Allocated Margin + (wBTC × BTC Price)

As funding accumulates:

• Total Assets increases
• Share price increases
• Your rUSDC is worth more USDC

Example:

• Day 0: 1 rUSDC = 1.00 USDC
• Day 30: 1 rUSDC = 1.015 USDC (1.5% gain from funding)

Risk Parameters

Parameter	Value	Purpose
Max Allocation	80%	Buffer for safety
Min Liquidity	20%	Ensure withdrawals
Stale Threshold	24h	Block withdrawals if keeper offline
Leverage	1x	No liquidation risk
Delta Threshold	5%	Trigger rebalancing