Zane Hassoun
Crypto ETF note

Hedging a crypto ETF is mostly beta, basis, and timing.

This page uses a vanilla crypto ETF as the example and keeps the point narrow: if I am long the ETF, how much of the underlying coin should I short, where does the residual P&L come from, and how quickly does that hedge drift when the market moves?

The charts are the main artifact. The math underneath is simple on purpose: Hedge notional ≈ β30d × ETF market value, then we watch what remains after beta and basis are stripped out.

Setup

One ETF, one benchmark, one hedge ratio.

Controls
Scenario
Selected benchmark shock +5%
Short the benchmark with the beta-adjusted notional. That keeps the note focused on one question: does the hedge actually reduce the move, or does the wrapper leave a measurable leftover?
Hedging math

What the hedge is doing

The first pass is not complicated. Estimate the ETF's beta to the coin over a rolling window, map the ETF dollar exposure into benchmark units, and measure the leftover after the hedge.

$$N_{\text{hedge}} \approx \beta_{k}\cdot \frac{V_{\text{ETF}}}{P_{\text{coin}}}$$

If the ETF beta slips below one, the hedge is too large. If the beta rises, the hedge is too small. Either way, the thing that matters is the residual, not the headline beta.

Basis ETF return minus benchmark return.
Residual What remains after the hedge is applied.
Drift How quickly the hedge ratio moves across windows.

Charts

Price, beta, basis, and the hedged P&L ladder.

Price and trend

ETF versus the underlying coin, with short and medium moving averages on the ETF.

Rolling beta

How much ETF return you get for one unit of benchmark return.

Basis / spread

ETF normalized price minus benchmark normalized price.

Drawdown

ETF drawdown against the benchmark drawdown over the same window.

Hedge ladder

ETF P&L, benchmark hedge, and residual across simple benchmark shocks.

Scenario table

Standardized moves so the hedge can be read quickly.

Benchmark move ETF move Hedge P&L Residual Read

Working notes

Live chart data loads when the endpoint is available. If not, the page falls back to a local series so the note still opens cleanly. 

Hedge notional   ≈ beta(window) × ETF market value
ETF move         ≈ beta × benchmark move + residual
Residual P&L     = ETF P&L - hedge P&L

The point of the page is to see when the residual is small and when the wrapper itself is the thing driving the book.
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