Absolute-Return Volatility

Built to protect what you’ve built — and to do its best work when fear takes hold.

An absolute-return volatility firm for a select group of families and individuals — access to specialist managers most investors can’t reach, assembled into one product built to preserve capital, move on its own, and turn turbulence into opportunity.

What we are

One product, assembled from specialist managers most investors will never reach.

Our equity-volatility managers are capacity-constrained, sourced through relationships rather than databases, and many are already closed to new money. We’ve spent decades inside that world, and we built Zero Delta to give families and individuals a seat in it — with a substantial portion of our own net worth invested right alongside theirs.

What you’re buying

Four reasons families hold Zero Delta.

Protect what you’ve built

Declines far shallower than the market’s, gentle down months, and surprises that have leaned to the upside.

It moves on its own

Zero Delta doesn’t track the stock market. When your business, real estate, and equities all fall together, it’s built to hold up while they do.

Built for the storm

Zero Delta does its best work in the market’s worst months — holding up through the volatility spikes and the collapses that follow.

Skill, not luck

Disciplined relative value, position by position. If the price isn’t wrong, we don’t trade — only playing when we have the edge.

Design intent — not a promise of future results.
Differentiation

Access you can’t get anywhere else — and an edge that only works because it’s small.

The giant multi-strategy firms run volatility books too. Two things keep them out of reach for almost everyone: you can’t get into them, and even if you could, they manage so much capital that they’re forced into the biggest, most liquid trades — index volatility, dispersion, the mega-caps. The granular, single-name mispricings our managers live on are simply too small to move a multi-billion-dollar book.

That’s not a limitation. It’s the whole point.

The day a strategy can hold a billion dollars, the edge is already gone.

Why we stay small

We’re not competing with the giants — we’re working the opportunities they’re too big to bother with, alongside breakaway managers who left the giants to do exactly that.

We find them through a 40-year network of traders, technologists, and service providers — not a database. We evaluate them the way only former derivatives portfolio managers can: by taking their books apart, understanding why the inefficiency exists, and pressure-testing what could go wrong before a dollar goes in. And we only allocate where there’s a real, repeatable edge.

No edge, no allocation

Our managers chose this life on purpose. They had the offers everyone chases — seats at the big multi-strategy platforms, careers at the prop firms — and walked away to compound their own capital, trade with autonomy, and let family and friends invest alongside them. They’re here to trade well, not to gather assets and collect fees. We’ve traded next to many of them for years, and a large share of our own net worth is invested right beside yours.

We also think real risk management looks different than the industry pretends. The firms most fixated on watching every position in real time still suffer catastrophic losses — because seeing a position isn’t the same as understanding it. Real control comes from knowing the trade, knowing the manager, and knowing exactly how the rare, extreme outcomes are handled before they happen. We’ve spent careers learning that difference.

Philosophy

Three principles we never drift from.

iZero Delta

We don’t bet on the market going up or down. Our positions profit from relationships getting out of line and snapping back — not from direction. That’s what “zero delta” means: no reliance on the market cooperating. It’s why our returns move on their own.

iiPreserving capital

Protecting capital comes before chasing return — always. We cap how much rides on any single manager, weight their liquidity terms as heavily as their edge, and never go large on anyone we don’t know cold. And when we’re losing, we don’t press our “best” trades — we shrink everything and wait until we’re back in sync. Humility is a risk control.

iiiTactical

We’re not asset gatherers, and we’re not smarter than the market. We size to the opportunity, scale back without ego when the edge fades, and stay small enough to be nimble. If there’s nothing worth doing, we do nothing.

Strategies

How it works — without the jargon.

Think of it as disciplined card counting.

Options on a single stock — and across baskets of related stocks — are priced against each other all day long. Most of the time those prices are fair. But the market is full of price-insensitive participants: index funds, ETFs, momentum chasers, and mechanical over-writers who transact no matter the price. That carelessness knocks prices out of line. That’s the opening.

Our managers wait for those dislocations — two things that should track each other have drifted apart, and history says they tend to snap back. They buy the cheap side, sell the rich side, and wait for the relationship to normalize. Relative value and mean reversion, one position at a time, across anywhere from dozens to a couple thousand small positions at once. No single trade is a wager on the market’s direction, and no single mistake can sink the book.

Two things make the strategy convex rather than fragile. We carry a long-vol bias — so where reckless funds sell options for income and break when markets move, we’re generally positioned to benefit. And we stay disciplined on price: if it isn’t wrong, we don’t trade. When markets turn chaotic, related options fall further out of line — so the harder it becomes for everyone else to know what anything is worth, the larger our opportunity set grows.

And here’s the part most people miss: we don’t win by being right more often than everyone else — we’re not. We win because our winners are far larger than our losers; we structure trades to risk a little and make a lot. We don’t need to be right often. We need to be paid well when we are.

Long-vol bias

Positioned to benefit when markets move, not break.

Stay disciplined on price

If there’s no edge, we simply don’t trade.

Thrive on chaos

When prices stop making sense to others, our opportunity set is at its best.

The kinds of edge we pursue

The common thread: we’re the professional card counters, only playing when we have the edge.

Our team

Three principals, one core competency — two former equity-derivatives PMs alongside a derivatives-brokerage veteran, with 40-plus years inside proprietary trading firms, hedge funds, and brokerages and their own capital invested alongside yours.

KG
Kris Gilboy
CEO · Co-Portfolio Manager
14 years at PEAK6 Investments, ending as Director of Trading Business Management; previously ran a book of 20 volatility traders on $125M+ in capital. CBOE market maker. MBA, Kellogg.
View LinkedIn profile
GS
Gary Selz
CIO · Co-Portfolio Manager
11 years as a senior trader and PM at PEAK6 and Nolita Capital, focused on relative-value equity-volatility arbitrage and convex, non-correlated strategies. BSEE, Northwestern; CAIA Level I.
View LinkedIn profile
PS
Peter Striebel
Chief Operating Officer
Co-founder and COO of Pine Point Capital for 12 years — a global derivatives broker registered with the NFA and CFTC and an electronic-options pioneer. BA, Princeton.
View LinkedIn profile
Press

In conversation — and in print.

FAQ

Questions we get.

It can be — when it’s done without discipline. The funds that blow up are the ones selling options for income with no regard for price or for what happens when markets move. We’re built the opposite way: we carry a long-vol bias, we trade in breadth rather than size, and we only act when the price is clearly in our favor. The result has been shallow drawdowns and returns that lean to the upside, not the down.
Yes — and we’ll tell you exactly how. Our deepest drawdown came in our very first year, from one manager we sized too large, too early, before we knew him well enough. His redemption gates meant that when his strategy drifted, we couldn’t pull our capital before he fell sharply. We caught the drift early; the gates held us in. That single position is essentially our entire drawdown history. We rebuilt our process around the lesson — strict single-manager limits, liquidity terms weighted as heavily as the edge, and no large allocation to anyone we don’t know cold — and our drawdowns since have been small.
Because no single volatility edge is large or durable enough to build a whole portfolio on — and concentration is exactly what hurts people. A diversified set of capacity-constrained managers, each with a distinct edge, gives you a smoother, more resilient return than any one of them alone.
Because they’d make the product worse. Running individual accounts is an operational drag that pulls a manager’s focus off the trade — and our managers won’t do it, by choice. Instead you get the fund structure with every institutional safeguard: independent administration, independent audit, and hard capital controls. You get the protections without the overhead that quietly erodes returns.
We see some managers’ books in near-real time and others less frequently — and we think the obsession with constant position-level transparency is largely theater. The firms most fixated on it still blow up. What actually protects capital is understanding each strategy deeply, knowing the manager, and knowing how the extreme scenarios are handled before they arrive. We’ve traded these strategies ourselves for decades; that understanding, not a live position feed, is the real control.
Most tail hedges bleed — they cost you a little every year until the one year they pay, and most investors give up before that year arrives. Our long-vol bias is designed to earn in calm markets and pay in chaos, so you’re not paying a constant insurance premium to stay protected.
Most are closed, capacity-constrained, and don’t market themselves — they’d rather trade than raise assets. The large firms that do run similar books won’t let you in, and run too much capital to trade the small, granular opportunities our managers specialize in. Access — and the expertise to use it — is the product.
Historically, that’s when the strategy has done its best work. When volatility spikes and price discovery breaks down, mispricings multiply and our convex positioning is built to benefit. We can’t promise any single outcome, but the design intent is to be the holding that holds up — or gains — when the rest of your portfolio is under pressure.
Accredited investors, with a $250,000 minimum and quarterly liquidity after an initial lock. If that’s you, reach out to our investor relations team and we’ll walk you through the materials.
For accredited investors

Protect what you’ve built.

Request our materials → IR@zerodeltafunds.com