About – Relative Value Arbitrage

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Quantitative trading with a focus on arbitrage in volatility space. Specialize in options trading strategies, volatility arbitrage, VIX ETFs

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Relative Value Arbitrage

Option Pricing Models and Strategies for Crude Oil Markets

Financial models and strategies are usually universal and can be applied across different asset classes. However, in some cases, they must be adapted to the unique characteristics of the underlying asset. In this post, I’m going to discuss option pricing models and trading strategies in commodities, specifically in the crude oil market. Volatility Smile in […]

When Correlations Break or Hold: Strategies for Effective Hedging and Trading

It’s well known that there is a negative relationship between an equity’s price and its volatility. This can be explained by leverage or, alternatively, by volatility feedback effects. In this post, I’ll discuss practical applications to exploit this negative correlation between equity prices and their volatility. A Trading Strategy Based on the Correlation Between the […]

Hurst Exponent Applications: From Regime Analysis to Arbitrage

One of my favourite ways to characterize the market regime is by using the Hurst exponent. However, its applications are not limited to identifying market regimes. There are innovative ways to utilize it. In this post, I will discuss two approaches to applying the Hurst exponent. Using the Hurst Exponent to Time the Market The […]

Examining Contango and Backwardation in VIX Futures

In this post, I will continue exploring various aspects of the volatility index and the associated volatility futures. Data To conduct this study, data is essential. Below are the data sources: Spot VIX: Yahoo Finance provides data but no longer allows direct downloads. With some programming, a workaround can be found, but the most convenient […]

Making Use of Information Embedded in VIX Futures Term Structures

With the U.S. election now over, the VIX futures term structure has normalized. It typically follows the spot VIX term structure. However, before the election, the futures term structure was in backwardation while the spot VIX was in contango most of the time. This is a rare occurrence. Below is a snapshot of the spot […]