R Varb

Quantitative trader
Contributor's Links: Relative Value Arbitrage Harbourfront Technologies

Volatility and options trading, statistical arbitrage in volatility space.

We are a boutique financial service firm specializing in quantitative analysis, derivatives valuation and risk management. We combine the power of traditional structured finance with modern high performance ... more

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A Look At Asset Price Dynamics And A Trading Strategy’s PnL Volatility
Saturday, January 1, 2022 5:30 PM EDT
In a previous post, we discussed how the dynamics of assets are priced in the options prices. We recently came across a newly published article that explored the same topic but from a different perspective that doesn't involve options. Let's dive in.
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Correlation Between The VVIX And VIX Indices
Saturday, March 28, 2020 1:00 PM EDT
The VIX index is an important market indicator that everyone is watching.
In this article: VIX
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Differences Between The VIX Index And At-the-Money Implied Volatility
Sunday, March 31, 2019 6:00 AM EDT
When trading options, we often use the VIX index as a measure of volatility to help enter and manage positions.
In this article: VIX
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Is Asset Dynamics Priced In Correctly By Black-Scholes-Merton Model?
Monday, December 31, 2018 9:16 PM EDT
A lot of research has been devoted to answering the question: do options price in the volatility risks correctly?
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A Simple Hedging System With Time Exit
Friday, July 27, 2018 4:18 PM EDT
This post is a follow-up to the previous one on a simple system for hedging long exposure during a market downturn.
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Latest Comments
How To Price A Convertible Bond
4 years ago

Thanks for the suggestion. I will add a case study then submit

In this article: HYG, TLT
1 to 1 of 1 comments

STOCKS I FOLLOW

ADTBOX Advisors Disciplined Trust
AGFAX Allianz Global Investors Solutions Growth Alloca
BREDX Blackrock Emerging Mkts Debt Ptf Blackrock
BSMX Grupo Financiero Santander Mexico, S.A.B. de C.V.
EBLMX Mfs Limited Maturity Fund Share Class 529B
EBMBX Eaton Vance Amt-Free Municipal Income Fund Class
GSISX Goldman Sachs Concentrated International Equity
IKMA INTELAKARE MKTNG INC
LTSKX Alliancebernstein 2040 Retirement Strategy Class
PMABX Putnam Massachusetts Tax Exempt Income Fund Cl B
SARSF SARATOGA ELECTRONIC
TORRX Torray Institutional Fund
TWEIX American Century Equity Income Investor Cl
VIX Volatility Index CBOE
VKQTSX Van Kampen Focus Portfolios
VNLDF VINALAND LIMITED
VXX iPath S&P 500 VIX Short-Term FuturesTM ETN
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Latest Posts
How To Price A Convertible Bond
A convertible bond (or preferred share) is a hybrid security, part debt and part equity. Its valuation is derived from both the level of interest rates and the price of the underlying equity.
In this article: HYG, TLT
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Overnight Index Swap Discounting
An overnight index swap is a fixed/floating interest rate swap that involves the exchange of the overnight rate compounded over a specified term and a fixed rate.
In this article: HYG, TLT
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VIX Mean Reversion After A Volatility Spike
In a previous post, we showed that the spot volatility index, VIX, has a strong mean reverting tendency. In this follow-up installment we’re going to further investigate the mean reverting properties of the VIX.
In this article: SPY, VIX
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A Simple System For Hedging Long Portfolios
In this post, we are going to examine a trading system with the goal of using it as a hedge for long equity exposure. To this end, we test a simple, short-only momentum system.
In this article: SPY
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Is A 4% Down Day A Black Swan?
On February 5, the SP500 experienced a drop of 4% in a day. We ask ourselves the question: is a one-day 4% drop a common occurrence? The table below shows the number of 4% (or more) down days since 1970.
In this article: SPY, VXX
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Correlation Between SPX And VIX
In January, many traders noticed that there was a divergence between SPX and VIX. It’s true if we look at the price series. Graph below shows the 20-day rolling correlation between SPX and VIX prices for the last year.
In this article: VXX, SPY
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Mean Reverting And Trending Properties Of SPX And VIX
In the previous post, we looked at some statistical properties of the empirical distributions of spot SPX and VIX. In this post, we are going to investigate the mean reverting and trending properties of these indices. To do so, we are going to calculate their Hurst exponents.
In this article: SPY, VXX
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Statistical Distributions Of The Volatility Index
VIX related products (ETNs, futures and options) are becoming popular financial instruments, for both hedging and speculation, these days. The volatility index VIX was developed in the early 90’s. In its early days, it led the derivative markets.
In this article: SPY, VXX
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