Volatility Arbitrage
Capture mispricings across liquid volatility surfaces, focusing on US Equity Index vol
Instruments
- Equity futures and options
- Equity Index Futures and Options
- Commodity futures and options
- FX futures and options
Approach
- Implied vs realized volatility spreads
- Skew and convexity dislocations
- Event-driven volatility opportunities
- Term-structure and cross-asset vol relationships
- Dispersion and correlation trades
Risk Discipline
- Dynamic exposure adjustments
- Trade and portfolio-level position and PNL limits
- Scenario and stress testing
- Implementation of adverse event hedging
Macro Interest Rates
Monetize shifts in global interest-rate curves and central bank expectations
Instruments & Approach
- Treasury futures and options
- SOFR futures and options
- Fed funds futures
- Curve steepeners / flatteners
- Flies and relative value
- Cross-market relative value
Drivers of Opportunity
- Central bank repricing
- Supply / demand imbalances
- Month-end and quarter-end flows
- Global Rate discrepancies
- Roll and carry
Risk Discipline
- Dynamic exposure adjustments
- Trade and portfolio-level position and PNL limits
- Scenario and stress testing
- Implementation of adverse event hedging