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Quantitative trader
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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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.
Are Short Out-Of-The-Money Put Options Risky? Part 2: Dynamic Case
This post is the continuation of the previous one on the riskiness of OTM vs. ATM short put options and the effect of leverage on the risk measures.
Volatility Trading Strategies: Volatility Risk Premium And Roll Yield
In previous posts, we presented 2 volatility trading strategies: one strategy is based on the volatility risk premium and the other on the volatility term structure, or roll yield. In this post we present a detailed comparison of these 2 strategies and analyze their recent performance.
Are Short Out-Of-The-Money Put Options Risky?
Are Short Out-Of-The-Money Put Options Risky?
Using A Market Timing Rule To Size An Option Position, A Static Case
Using a Market Timing Rule to Size an Option Position, A Static Case
Using A Market Timing Rule To Size An Option Position
An option position can be sized by using, for example, a Markov Model where the size of the position can be a function of the regime transition probability
1 to 13 of 13 Posts