Our strength is in our analytics and market knowledge. Our White Paper Series is a platform where these insights are shared with the public.
Our White Paper Series is an on-going project. As we grow, so will our White Paper Series.
The Series is for informational purposes only. It should not be considered as investment advice. For investment advice, please contact us.
White Papers Series
- Black-Scholes Model and Profit and Loss Attribution of Options
- Deriving the Black-Scholes pricing formula in a sideways market environment, illustrating its application of Profit & Loss Attribution of option portfolios.
- Back-testing Options Trading Strategies
- Using five years of data from SPY and VIX, we back-tested various options trading strategies, such as vertical spreads and calendar spreads.
- Back-Testing of Target Volatility Strategy
- This short note is on back-testing of the popular Target Volatility Strategy. It compares the performance of a Target Volatility Portfolio (at 5%, 10%, 15%, 20%) with its original underlying risky assets (SPY, DIA, QQQ, and IWM).
- What is VIX?
- What is VIX? How do we use VIX as an indicator? How do we trade VIX?
- Arbitrage and Statistical Arbitrage
- What is the difference between arbitrage and statistical arbitrage? How can we develop a statistical arbitrage strategy? We backtest a potential strategy using the pair TVIX and VXX.