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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 computing ...more
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The Weekend Effect In The Market Indices
Tuesday, January 2, 2024 6:15 AM EDT
The weekend (or Monday) effect in the stock market refers to the phenomenon where stock returns exhibit different patterns on Mondays compared to the rest of the week.
In this article: SPY, VIX
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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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1 to 6 of 6 Posts