Quantitative trader

Volatility and options trading, statistical arbitrage in volatility space.

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A Look At Asset Price Dynamics And A Trading Strategy’s PnL Volatility
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.
Correlation Between The VVIX And VIX Indices
The VIX index is an important market indicator that everyone is watching.
Differences Between The VIX Index And At-the-Money Implied Volatility
When trading options, we often use the VIX index as a measure of volatility to help enter and manage positions.
Is Asset Dynamics Priced In Correctly By Black-Scholes-Merton Model?
A lot of research has been devoted to answering the question: do options price in the volatility risks correctly?
A Simple Hedging System With Time Exit
This post is a follow-up to the previous one on a simple system for hedging long exposure during a market downturn.


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


ADTBOX Advisors Disciplined Trust
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BSMX Grupo Financiero Santander Mexico, S.A.B. de C.V.
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TORRX Torray Institutional Fund
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VIX Volatility Index CBOE
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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.
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.
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.
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.
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.
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.
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.
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.

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