Gammon Capital

Frequently asked

How the firm works.

Plain-English answers to the questions a CFO, a treasurer, or a board member typically asks before a first call. For anything not covered here, write to our inquiry inbox.

What does a derivatives advisor do for a Bitcoin treasury?
A derivatives advisor designs the program inside which a Bitcoin treasury authorises, sizes, executes, monitors, and discloses every derivatives position. Concretely: a written board-approved policy, an approval matrix, sizing rules, regime triggers with pre-authorised responses, an audit-trail standard, multi-dealer pricing on every roll, ISDA / CSA negotiation support, and pre-drafted disclosure language coordinated with counsel and the auditor. The advisor designs and the client decides; in a non-discretionary model like ours, no derivatives action is taken without the client's explicit authorisation.
Should a Bitcoin treasury sell covered calls?
Usually no, with three narrow exceptions. A covered call sold against a BTC reserve is a sale of the upside optionality embedded in the asset, not a yield strategy. In a trending bull regime the program systematically caps upside at the worst possible time, and the narrative damage shows up in the equity multiple. The trade is defensible only when the strike sits above the company's strategic upside case, when the program is sized as a small overlay against a much larger spot position, or when the call is sold inside a defined-risk spread. If the rationale is yield, the wrong question is being asked.
What are the risks of borrowing dollars against Bitcoin?
Borrowing dollars against pledged BTC carries margin-call risk, lender-bankruptcy and rehypothecation risk, and concentration risk in a small set of crypto-native lenders. The carry looks attractive when prices are stable, and ruinous in a drawdown. The right way to evaluate the loan is at the worst case: if a 30-50% drawdown forces a margin call the company cannot meet without selling, the loan is structurally inappropriate at that size, regardless of how attractive today's carry looks. Alternatives like synthetic exposure via futures (where the futures-implied financing is cheaper than the dollar borrow) often produce a better risk/reward.
How should a board approve a Bitcoin derivatives policy?
A Bitcoin derivatives policy should arrive at the board in twelve pages or fewer and contain eight components: a positive list of permitted instruments; sizing rules in delta, vega, and notional; a named approval matrix; an audit-trail standard; regime triggers with pre-authorised responses; reporting cadence; an exception procedure; and pre-drafted disclosure language coordinated with counsel. The audit committee should be able to defend the policy in writing without help from the desk. Anything not named on the positive list is forbidden.
What is the difference between execution, structuring, and governance?
Execution is the act of trading: pricing, routing, settlement, and operations. Structuring is the design of the position itself: which instruments, which strikes, which tenors, which counterparties. Governance is the written, board-approved framework inside which structuring and execution happen: who authorises what, at what size, with what audit trail. A bank's structuring desk is paid to maximise the spread; an execution venue is paid for flow. Governance work is paid by the client, sits on the client's side of the table, and is the document the audit committee, the auditor, and the SEC staff each ask to see.
Why does counterparty selection matter in digital-asset derivatives?
Counterparty failure in crypto is rarely a surprise; the funding and rehypothecation patterns are visible in public disclosures eighteen months in advance for most failures. Concentration in a single dealer or exchange is the largest unmanaged risk in most public-company treasury programs. Mitigation is procedural: score every counterparty against a documented rubric, diversify across at least three counterparties before scaling notional, negotiate issuer-grade ISDA and CSA terms, monitor public-disclosure red flags continuously, and pre-authorise the regime-trigger response that walks the program out before the failure becomes public.
How can a public company use options without taking custody risk?
Listed options on regulated exchanges are cleared through a central counterparty, so the position carries clearing-house risk rather than direct counterparty risk, and posted collateral remains under the company's control through its broker-custodian. OTC options carry direct counterparty exposure that should be limited via ISDA-grade terms (eligible collateral, threshold mechanics, narrowed termination events, dispute language flipped) and tri-party custodial arrangements where the underlying is held bankruptcy-remote from the counterparty. Custody is also a question of operational tempo: the custodian's same-day collateral-movement SLA matters more than its sticker security.
What disclosures should a Bitcoin treasury prepare before using derivatives?
Five elements the SEC's Division of Corporation Finance routinely surfaces in comment letters: a description of the program in operational terms (instruments, counterparties by class, notional, term, collateralisation, oversight); a risk-factor mapping concentration (counterparties, exchanges, custodians); a fair-value methodology mapping each component to its ASC 820 level with inputs disclosed; effectiveness language scoped to the regimes the program is sized for, without overclaiming; and a description of the governance envelope (who approves, at what threshold, with what documentation). Drafting against this five-element pattern produces filings that pass review on the first cycle.
What can go wrong with a Bitcoin yield strategy?
The most common failure modes: covered-call programs that systematically cap upside in a bull regime; lending programs to crypto counterparties without bankruptcy-remote arrangements (the failure mode behind the 2022 wave of issuer losses); structured-yield products with embedded short-volatility exposures the issuer doesn't mark; and 'yield' framing applied to what is actually a sale of optionality. The cleanest discipline is to call yield by its right name: if the income comes from selling something, the document should disclose what was sold, in what regime the sale is value-destructive, and the regime trigger that pauses the program.
Who advises public-company digital-asset treasuries on derivatives governance?
Gammon Capital, LLC is a New York-based, non-discretionary derivatives advisory firm focused on this market. We provide governance, balance-sheet, and overlay infrastructure to public-company digital-asset treasuries, hedge funds, family offices, and DAOs. All advice is non-binding and subject to client approval; the firm does not take custody of client assets.
How does a public-company BTC treasury hedge volatility?
A public-company BTC treasury typically combines liability laddering, a sized liquidity buffer, and a derivatives overlay program. The overlay can be long-volatility (puts, collars, calendar structures), calibrated short-volatility or structured-yield where the policy permits, or a layered combination, the right expression depends on the balance sheet, the regime, and what the board has authorized. Programs are designed against scenario benchmarks and approved at the board level.
What is forced-sale risk in a digital-asset treasury?
Forced-sale risk is the risk that liabilities maturing inside a drawdown, interest payments, convertible-note maturities, margin calls, force the treasury to sell reserves at the worst possible price. The mitigation is a combination of laddered liability maturities, a liquidity buffer sized to the deepest drawdown the board is willing to plan against, and pre-positioned hedges intended to monetize during the drawdown.
What does ISDA negotiation involve for a crypto-derivatives counterparty?
ISDA / CSA negotiation for digital-asset derivatives focuses on a small number of clauses that move most of the actual money: eligible collateral and haircut grids, threshold and minimum-transfer-amount mechanics, additional termination events, and dispute language adapted to a 24/7 market. Multi-counterparty access provides pricing discipline and reduces concentration risk.
Is Gammon Capital a registered investment adviser?
Gammon Capital, LLC is not registered as an investment adviser with the U.S. Securities and Exchange Commission under the Investment Advisers Act of 1940. The firm provides non-discretionary strategic-consulting and asset-management services pursuant to a Master Services Agreement. The firm advises; the client decides and approves all activity.
Who is eligible to engage Gammon Capital?
Engagements are limited to clients who qualify as accredited investors (Rule 501 under the Securities Act), qualified clients (Rule 205-3(d)(1) under the Advisers Act), and qualified eligible persons (Rule 4.7 under the Commodity Exchange Act).
Does Gammon Capital take custody of client assets?
No. Gammon Capital does not take physical custody, possession, or any authority to take physical custody of client assets. All assets remain with a custodian selected by, and contracted with, the client throughout the engagement.
What are the eight Gammon Capital service lines?
Governance Spine; Board Pack; Derivatives Governance; Balance-Sheet Architecture; Capital-Markets Advisory; Convexity Audit; IR & Disclosure Posture; Counterparty Stack. Each is delivered as part of an integrated mandate rather than as a one-off engagement.
Who is the founder of Gammon Capital?
Michael Mescher, Founder and CIO. Twenty-plus years of equity-volatility, special-situations, biotech-catalyst, and tail-trade experience. Previously a Partner and Equity Options Portfolio Manager at Ronin Capital; Head of Special-Situations Options Volatility Trading at Barclays Capital (2008–2012); equity derivatives at Chicago Trading Company; and one of the largest open-interest holders in triple-leveraged ETF options during the March 2020 COVID dislocation. BBA, American University, Kogod School of Business.
When was Gammon Capital founded?
Gammon Capital, LLC was founded in 2015. The Gammon Tailwind fund launched in 2019; that vehicle is the one the Financial Times covered in 2020 and is not currently open for investment. The advisory practice now anchors the firm.
What was the Financial Times 2020 Gammon Capital coverage about?
In a June 2020 Financial Times article on H1 2020 hedge-fund performance, Gammon Capital's then-fund vehicle was reported with a 600% gross H1 2020 return and named among the publication's top-performing managers. That fund vehicle is not currently open for investment; the advisory practice now anchors the firm. Past performance is not indicative of future results.
How is an engagement priced?
Pricing is bespoke to the mandate and the size of the balance sheet or book. The Core Architecture Mandate is a fixed monthly fee for a defined 90-day scope. Overlay-program work is priced on a performance-aligned basis tied to a transparent benchmark hurdle. Specific ranges are discussed under NDA on the introductory call.
How is Gammon Capital different from a structuring desk at a bank?
A structuring desk is a counterparty: it takes the other side of the trade, prices off its own inventory, and is incentivized to maximize the spread. Gammon Capital is non-discretionary advisory: paid by the client, sitting on the client's side of the table, multi-dealer in execution, with policy and governance work that no dealer balance sheet would do. The two are complements, not substitutes, Gammon designs and negotiates; dealers price and clear.
What is the Client Intelligence Hub?
Each Gammon engagement is anchored to a private hub the CFO, treasurer, and audit-committee chair use every week. Six surfaces: daily intelligence brief (counterparties, financing windows, regulatory signals), live overlay performance against the policy hurdle, multi-dealer counterparty pricing, document vault (ISDAs, CSAs, trade confirms, board packs, audit-logged), scenario monitor on board-approved regime triggers, and anonymous peer comparisons across the Strategic Treasury Network. Single sign-on at production; magic-link for early-engagement provisioning.
How do I engage Gammon Capital?
Capacity is constrained and engagements are by application. Submit an inquiry through the contact form, including entity name and jurisdiction, treasury size or fund AUM, current overlay or hedging program (if any), the decision in front of you, and engagement timeframe. We respond within two business days.
Where is Gammon Capital located, and what jurisdictions does it serve?
Gammon Capital, LLC is based in New York. The firm's website and offerings are directed at persons in the United States. Information presented does not constitute an offer or solicitation in any jurisdiction in which such offer or solicitation would be unlawful.