Volatility · Policy · Governance
Defend the balance sheet. Drive the narrative.
Gammon Capital is a non-discretionary derivatives advisor. We design the hedging program, board policy, and counterparty stack for public companies holding bitcoin and other digital assets, hedge funds, family offices, and DAOs.
The toolkit is cross-asset: volatility, futures and basis, swaps, structured products, and financing trades, sized by regime and aligned with the client. Where a public derivatives market doesn't exist, we structure synthetic markets directly.
Engagements are limited to accredited investors, qualified clients, and qualified eligible persons.
- Headquarters
- New York
- Mandate
- 8 service lines
- Engagement
- Non-discretionary
- Capacity
- By application
Who we work with
A treasury-grade spine, scaled across the network.
Bitcoin treasury companies, hedge funds, family offices, and DAOs all engage the same framework. The treasury case sets the bar; the network is how that bar reaches everyone else.
Digital-asset treasuries
Public companies holding bitcoin, ether, or other reserve assets. We convert an implicit short-vol position into a derivatives program the board can sign off on, one spine governing accumulation, rotation, and stress liquidation.
Explore the practiceHedge funds, family offices, and institutions
Cross-asset derivatives across equities, rates, FX, commodities, volatility, and digital assets: overlays, tail-risk hedges, structured exposure, and financing trades shaped around an existing book.
Explore the practiceCompute and AI infrastructure
Capacity owners, AI labs, and bitcoin miners converting to HPC: forward and volatility programs on GPU capacity, buyer-side hedging of compute costs, and the financeability of lease-backed debt.
Explore the practicePain → Posture
What changes when the architecture is right.
The pattern under most blow-ups isn’t a bad trade. It’s a balance sheet, a policy, and a counterparty stack that weren’t built for the regime that arrived. We work on all three.
From
To
From
A 60% drawdown forces selling at the bottom because converts mature into a bear market.
To
Liability ladder, liquidity buffer, and hedges 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 counterparties bid you wide because they know your flow and you have nowhere else to go.
To
Multi-dealer access, ISDA / CSA terms negotiated for an issuer, and pricing discipline on every roll.
From
Hidden concentration risk in the market (names, financing structures, rehypothecation chains) that nobody on staff is positioned to see.
To
An advisor whose career is the business of seeing those things first. We called a major industry counterparty failure 18 months before it happened in November 2022, and walked our clients out intact.
From
IR can’t articulate the hedging program on the call; analysts give it no credit; the discount-to-NAV widens.
To
Disclosure language, IR posture, and structured products designed to drive trading volume and the right narrative to the street.
Edge
Pedigree in the trade most of the industry can’t price.
Most firms in this space pitch vanilla call-overwrites or inefficient loans. We are paid by the client, not the spread, and draw on a career built around the full derivatives toolkit, applied to the gap-risk geometry that defines a digital-asset balance sheet.
Cross-asset derivatives, not just options
Volatility, futures and basis, swaps, structured products and structured notes, financing trades. The right answer to a treasury question is rarely one instrument; the job is picking the best risk/reward expression and structuring it cleanly.
Special-situations vol pedigree
Risk-arbitrage, M&A, and event-driven options-vol trading at Barclays Capital. Biotech catalysts. The job was pricing the gap: what happens when the binary outcome resolves and the market reprices in step-functions, not Brownian motion. Same muscle, different asset class.
Tail-risk pedigree, in size
One of the largest open-interest holders in triple-leveraged ETF options during the March 2020 COVID dislocation. We do not learn what tail risk looks like from a back-test, we have been positioned for it, in production, in size.
Background
Twenty-plus years of regime change, applied to the digital-asset balance sheet.
Gammon Capital was founded by Michael Mescher. Prior seats: Head of Special-Situations Options Volatility Trading at Barclays Capital; previously a Partner and Equity Options Portfolio Manager at Ronin Capital. Gammon's fund vehicle was named by the Financial Timesamong the publication's top-performing managers.
The same tail-risk discipline is available to funds and family offices through our institutional practice.
“Hedge fund Gammon gains 600% with well-timed bets on volatility.”
Capabilities
Eight service lines, one mandate.
Delivered as one integrated mandate, not a menu of one-offs. The policy informs the overlay, the overlay informs the board pack, and the board pack informs IR. Engage the spine and add modules as the balance sheet evolves.
Governance Spine
Decision rights, sizing limits, approval workflows, and audit trail. The board sees a coherent record; the desk operates inside well-defined rails.
Board Pack
One monthly document that the audit committee, the CFO, and the board chair all read from. Performance, risk, scenarios, and capital-allocation recommendations.
Derivatives Governance
An overlay policy with explicit sizing rules, roll cadence, regime triggers, and reporting designed to survive auditor scrutiny and personnel turnover.
Balance-Sheet Architecture
Liability mapping, forced-sale avoidance, liquidity buffer design, scheduled rotation and disposition programs, and a capital structure that holds together through a regime change rather than a stress test.
Capital-Markets Advisory
Pre-trade convexity and risk consultations on proposed financings, equity issuance, converts, and balance-sheet transactions. Pre-trade, not post-mortem.
Convexity Audit
We map every asymmetric payoff already on the book, including the ones nobody named as such, and identify the cheapest places to add convexity.
IR & Disclosure Posture
How the company talks about volatility, hedging, and balance-sheet posture, to the market, to lenders, to its own investors.
Counterparty Stack
Multi-counterparty access, ISDA / CSA negotiation support, pricing discipline, and execution workflows so quality of fills doesn't depend on a single relationship.
Strategic Treasury Network
Your counterparty stack, on your side of the table.
The dealer is paid on the spread. Gammon is paid by the client. Every advantage in the network falls out of that.
The network
- Multi-dealer pricing
- Curated access to OTC dealers, options market-makers, futures and basis desks, structured-product desks, and prime brokers vetted for digital-asset workflow.
- 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.
- Product engineering for your clients
- Derivatives products the DAT itself can offer to its institutional investors and trading partners.
Client Intelligence Hub
Each engagement is anchored to a private hub the CFO, treasurer, and audit-committee chair use every week.
- Daily intelligence brief
- Overnight counterparty pricing, financing windows, and the signals that matter for your book.
- Overlay PnL, live
- Every overlay leg mapped to portfolio Greeks, with auditor-ready export.
- Counterparty pricing matrix
- Multi-dealer indications across the products you trade.
- Document vault
- ISDAs, CSAs, confirms, board packs, and policy versions, audit-logged.
- Scenario monitor
- Live status against your policy’s regime triggers, with the pre-defined response.
- Network access
- Anonymous peer comparisons across the Strategic Treasury Network.
Research
The ideas this practice is built on.
Canonical reference pages in our Intelligence library, and long-form operator notes for treasurers, board members, and allocators who want the mechanics, not the headlines.
Core frameworks
- Governance spineThe written operating system for board-approved derivatives activity.
- Counterparty stackISDA, CSA, dealer access, custody, pricing verification, execution controls.
- Convexity leakageThe cumulative loss of upside from poor structure, execution, or hedging architecture.
- Volatility overlayA rules-based derivatives program aligned with liabilities, liquidity, and narrative.
Capacity
Survive the next regime change. Display competence to the market.
The CFO who comes through a meltdown is the CFO whose hedging program has a written audit trail, a board-approved sizing matrix, and a counterparty stack that bids for the flow rather than away from it. We work with a small number of clients each year.
Engagements are limited to accredited investors, qualified clients, and qualified eligible persons.