Delta-Neutral Strategy Simulator

Model a hedged concentrated liquidity position across hundreds of simulated market scenarios. See how delta-neutral hedging stabilizes returns by offsetting directional risk with short perpetual futures.

Simulation Parameters

Capital Efficiency: 6.5xHedge Ratio (calc): 47.9%

Position

Initial Investment?Total capital deployed into the strategy. This is split between the LP position (providing liquidity) and margin for the hedge (short futures). Larger positions earn more fees in absolute dollar terms.

Entry Price (ETH)?The current ETH price when the position is opened. Both the LP and hedge are initialized at this price. The simulation generates random price paths starting from here.

LP Range — Lower?Lower bound of the concentrated liquidity range. If ETH drops below this price, the position converts to 100% ETH and stops earning fees. A lower bound means more downside room before going out of range.

LP Range — Upper?Upper bound of the concentrated liquidity range. If ETH rises above this, the position converts to 100% USDC and stops earning fees. A narrower range (closer to entry) concentrates capital for higher fee yield but increases impermanent loss risk.

Market Assumptions

Annualized Volatility?Expected price volatility of ETH over one year. Higher volatility means larger price swings, which increases impermanent loss and hedge rebalancing costs (gamma cost). Typical ETH: 50-80%. Bull runs can exceed 100%.60%

Fee APR?Annualized return from swap fees earned by the LP position. Depends on pool trading volume, total liquidity, and your range concentration. Fees are only earned while the price stays within your range. This is the primary income driver of the strategy.25%

Funding Rate (ann.)?Annualized funding rate on perpetual futures. When positive, shorts earn funding (bullish market bias — traders pay to be long). When negative, shorts pay funding (bearish pressure). Historically has a slight positive bias, making it a tailwind for this strategy.+10%

Strategy

Hedge Ratio?Percentage of the LP position's delta (directional exposure) that is hedged with short futures. At 100%, the position is fully delta-neutral — immune to price direction. At 0%, you have an unhedged LP with full directional exposure. Try adjusting to see the impact.100%

Rebalance Threshold?How much delta drift (as a fraction of initial delta) is tolerated before the hedge is rebalanced. Lower = tighter hedge with more frequent trades and higher costs. Higher = fewer trades but more directional drift between rebalances. 2% is a reasonable default.2.0%

Simulation

Duration?How many days the simulation runs. Longer durations show more fee compounding and allow larger price moves, giving a clearer picture of strategy sustainability. Short durations (7-30d) are useful for near-term projections.30 days

Monte Carlo Paths?Number of random price paths simulated using Geometric Brownian Motion. More paths produce smoother, more statistically reliable distributions. 200 is a good balance of accuracy and speed. Use 500 for high-confidence results.200

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Configure & Run

Set your position parameters above and click Run Simulation. The engine will generate 200 Monte Carlo price paths and compute the hedged LP strategy returns for each, showing you the distribution of outcomes.

1. Provide Liquidity

Concentrate capital in a Uniswap V3 price range to earn amplified swap fees.

2. Hedge with Shorts

Short perpetual futures to offset the LP position's directional (delta) exposure.

3. Earn Net Yield

Collect fee income + funding while staying market-neutral regardless of price direction.